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Math Help - Joint Probability

  1. #1
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    Joint Probability

    I have a question for you and thank you in advance for your answers and ideas.

    Let us suppose that we have the marginal distributions of two r.v X and Y, and also the law of X-Y (or any measurable/linear function of X and Y).

    How could we find the joint distribution f(x,y) (not always unique) of both my r.v?
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  2. #2
    MHF Contributor matheagle's Avatar
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    I'd advise you to look up copulas.
    A bunch oof my colleagues worked on that topic for 30 plus years now, including Abe Sklar.
    http://en.wikipedia.org/wiki/Copula_(statistics)
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