Show that for standard bivariate normal variables X and Y with correlation "rho" E(max(X,Y)) = sqrt((1-rho)/pi) Thanks in advance
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Originally Posted by realfunboy Show that for standard bivariate normal variables X and Y with correlation "rho" E(max(X,Y)) = sqrt((1-rho)/pi) Thanks in advance Several approaches are possible. One approach might start by first proving that the two random variables and are independent and standard normal. Then note that if and only if .
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