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Math Help - Bivariate Normal Distribution: Joint distribution of functions of random variables

  1. #1
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    Bivariate Normal Distribution: Joint distribution of functions of random variables

    Hi, I need your help with this problem: Suppose (X, Y)' follows a Bivariate Normal Distribution with parameters μ1 ,μ2, σ1^2, σ2^2, and ρ. Let U = X + Y and V = X - Y. Considering that X and Y are not independent random variables, how will I get the joint distribution of U and V. Thanks in advance!
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  2. #2
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    Re: Bivariate Normal Distribution: Joint distribution of functions of random variable

    Hey Mach.

    Check your other thread for a response.
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