Re: Multivariate normal distribution
- To: mathgroup at smc.vnet.net
- Subject: [mg97727] Re: Multivariate normal distribution
- From: Ray Koopman <koopman at sfu.ca>
- Date: Thu, 19 Mar 2009 05:24:12 -0500 (EST)
- References: <gpsr2o$mfg$1@smc.vnet.net>
The mean vector is *defined* as the expected value of the random vector. It does not depend on the variances or the correlation. On Mar 19, 12:09 am, "tarpane... at libero.it" <tarpane... at libero.it> wrote: > 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