Multivariate normal distribution
- To: mathgroup at smc.vnet.net
- Subject: [mg97695] Multivariate normal distribution
- From: "tarpanelli at libero.it" <tarpanelli at libero.it>
- Date: Thu, 19 Mar 2009 02:09:23 -0500 (EST)
- Reply-to: "tarpanelli at libero.it" <tarpanelli at libero.it>
Hello, is there anyone who is able to show me how solve in Mathematica the following problem? I have two random variable S_i and S_j whose mean and variances are m_i, m_j and sigma_i and sigma_j and whose correlation is rho_ij how can I compute ExpectedValue(S_j , S_j) and its derivative Thanks PT