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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


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