Let $A=B+C$, with B and C independent.
$\mathbf E[B]=m$, $\textrm{var}(B)=v$,
$\mathbf E[C]=0$, $\textrm{var}(C)=h$.
$\mathbf E[A]=\mathbf E[B+C]=\mathbf E[B]+\mathbf E[C] = m$
$\textrm{var}(A)=\textrm{var}(B+C)=\textrm{var}(B)+\textrm{var}(C)=v+h$.
I have trouble calculating $\textrm{cov}(B,A)$ using two different methods. Can someone tell me what went wrong?
Method 1:
$\textrm{cov}(B,A) = \mathbf E[BA] - \mathbf E[B]\mathbf E[A]$
$= \mathbf E[B(B+C)] - \mathbf E[B]\mathbf E[B+C]$
$= \mathbf E[B^2] + \mathbf E[BC] - (\mathbf E[B])^2 -\mathbf E[BC]\Leftarrow\textrm{problem here}$
$= \mathbf E[B^2] - (\mathbf E[B])^2$
$=\textrm{var}(B)=v$.
Method 2:
$\textrm{cov}(B,A) = \mathbf E[BA] - \mathbf E[B]\mathbf E[A]$
$= \mathbf E[(A-C)A] - \mathbf E[A-C]\mathbf E[A]$
$= \mathbf E[A^2] - \mathbf E[AC] - (\mathbf E[A])^2 + \mathbf E[AC]\Leftarrow\textrm{problem here}$
$= \mathbf E[A^2] - (\mathbf E[A])^2$
$=\textrm{var}(A)=v+h$.
Correction from Ian and drhab's inputs.
Problem step 1:
$= \mathbf E[B^2] + \mathbf E[BC] - (\mathbf E[B])^2 - \mathbf E[B]\mathbf E[C]$
$= \mathbf E[B^2] + \mathbf E[BC] - (\mathbf E[B])^2 - \mathbf E[BC]$
Can simplify as $B$ and $C$ are independent.
Problem step 2:
$= \mathbf E[A^2] - \mathbf E[AC] - (\mathbf E[A])^2 +\mathbf E[A]\mathbf E[C]$
Cannot simplify as $A$ and $C$ are not independent.
In the third line of method 1 I read $\mathbb EBC$ as last term while it actually should be $\mathbb EB\mathbb EC$.
This is wrong but harmless because $B$ and $C$ are independent.
In the third line of method 2 I read $\mathbb EAC$ as last term while it actually should be $\mathbb EC\mathbb EA$.
Again it is wrong but this time not harmless because $A$ and $C$ are not independent.
It is more handsome to make use of bilinearity of covariance which leads to:$$\mathsf{Cov}\left(B,A\right)=\mathsf{Cov}\left(B,B+C\right)=\mathsf{Cov}\left(B,B\right)+\mathsf{Cov}\left(B,C\right)=\mathsf{Var}B+0=\mathsf{Var}B$$where the third equality is based on independence.