Bivariate Normal Distribution – derivation of the covariance and correlation by integration of the probability density
In a previous post of this blog we have derived a function g2(x,y for the probability density f a Bivariate Normal Distribution [BVD] of two 1-dimensional random variables X and Y). By rewriting the probability density function [pdf] in terms of vectors (x, y)T and a coupling matrix Σ-1 we recognized that a coefficient appearing in a central exponential of… Read More »Bivariate Normal Distribution – derivation of the covariance and correlation by integration of the probability density