Transcription of General Bivariate Normal - Statistical Science
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Lecture 22: Bivariate Normal DistributionStatistics 104 Colin RundelApril 11, DistributionsGeneral Bivariate NormalLetZ1,Z2 N(0,1), which we will use to build a General Bivariate (z1,z2) =12 exp[ 12(z21+z22)]We want to transform these unit Normal distributions to have the followarbitrary parameters: X, Y, X, Y, X= XZ1+ XY= Y[ Z1+ 1 2Z2] + YStatistics 104 (Colin Rundel)Lecture 22 April 11, 20121 / DistributionsGeneral Bivariate Normal - MarginalsFirst, lets examine the marginal distributions ofXandY,X= XZ1+ X= XN(0,1) + X=N( X, 2X)Y= Y[ Z1+ 1 2Z2] + Y= Y[ N(0,1) + 1 2N(0,1)] + Y= Y[N(0, 2) +N(0,1 2)] + Y= YN(0,1) + Y=N( Y, 2Y)Statistics 104 (Colin Rundel)Lecture 22 April 11, 20122 / DistributionsGeneral Bivariate Normal - Cov/CorrSecond, we can findCov(X,Y) and (X,Y)Cov(X,Y) =E[(X E(X))(Y E(Y))]=E[( XZ1)]
General Bivariate Normal - Density (Matrix Notation) Obviously, the density for the Bivariate Normal is ugly, and it only gets worse when we consider higher dimensional joint densities of normals. We can write the density in a more compact form using matrix notation, x = x y = X Y = ˙2 X ˆ˙ X˙ Y ˆ˙ X˙ Y ˙2 Y f(x) = 1 2ˇ (det ) 1=2 exp ...
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