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Math Help - Bivariate Normal

  1. #1
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    Bivariate Normal

    Hi,

    If you have a bivariate normal distribution f(x,y), can you derive closed form solutions for the marginal distribution fx(x) and/or the conditional distribution fx|y(x,y)?

    I was able to do it if corr(x,y) = 0 but not sure if it is possible when corr(x,y) != 0

    Thanks
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  2. #2
    MHF Contributor matheagle's Avatar
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    If you have a bivariate normal, then the marginals are normal and the mean and variance of X, and Y too,
    have to be the same as they were in the joint distribution.

    The conditional is also normal and can be found in http://en.wikipedia.org/wiki/Multiva...l_distribution
    Look under ...Conditional distributions... they even give you the mean and variance of Y|X.
    So for X|Y just switch your random variables.
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