11/19/2010

Complete discussion of bivariate normal distribution

• Find the marginal density of X.
• Theorem - If two random variables have a bivariate normal distribution, they are independent if and only if rho = 0.
• Class Exercise - If X and Y have a bivariate normal distribution, then the conditional distribution of Y given X=x is normal. Find the mean and variance of this conditional distribution.

Please read Section 8.3 and have a great break!