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MathGroup Archive 2009

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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


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