Hi all,

Just came across this site, and I've enjoyed reading through some of the responses. I am hoping someone could help me with my problem.

I have been provided two normally correlated, dependent variables with a mean of zero and a standard deviation of 1 (N~(0,1)). I am trying to find the expectation, and the variance, of the maximum of the two random variables at hand. I know that the maximum is simply the joint cumulative distribution, and so in the independent case this is quite simple. However, I am unsure about how to go about this in the correlated case.

Given there is no "probability" section, it seemed appropriate to perhaps post my question here. Thanks ahead of time!