I am summarizing some theory and now I've got the following code
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{\bf Theorem 4.3} If $c_1, c_2,\ldots,$ and $c_n$ are constants, then
\begin{equation*}
E\begin{bmatrix}
\sum\limits_{i=1}^{n}c_ig_i(X)
\end{bmatrix} = \sum\limits_{i=1}^{n}c_iE[g_i(X)]
\end{equation*}
{\bf{\textit{Proof}}} According to Theorem 4.1 with $g(X) = \sum\limits_{i=1}^{n}c_ig_i(X),$ we get
\begin{align*}
E\begin{bmatrix}
\sum\limits_{i=1}^{n}c_ig_i(X)
\end{bmatrix}
&=\sum\limits_x
\begin{bmatrix}
\sum\limits_{i=1}^{n}c_ig_i(X)
\end{bmatrix}
f(x)\\
&= \sum\limits_{i=1}^{n}\sum\limits_{x}c_ig_i(x)f(x)\\
&= \sum\limits_{i=1}^{n}c_i\sum\limits_{x}g_i(x)f(x)\\
&= \sum\limits_{i=1}^{n}c_iE[g_i(X)]
\end{align*}