The Bivariate Normal Distribution - gatech.edu
ences, section 4.5. First, lets define the bivariate normal distribution for two related, normally distributed variables x ∼ N(µ x,σ2), and x ∼ N(µy,σ2 y). Then, the bivariate normal distribution is defined by the following probability density function: f(x,y) = 1 2πσxσy p 1 −ρ2 exp " − 1 2(1 −ρ2) " x−µx σx 2 + y −µy ...
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