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)

Prof. Michael Kozdron

November 13, 2015

**Lecture #23: The Bivariate Normal Density Function
**

Reference. §5.5 pages 125–126

Last lecture we derived the density function for the multivariate normal by starting with

independent and identically distributed N (0, 1) random variables, performing a linear transformation, and using the change-of-variables formula from Chapter 1.

⇤] > 0 is

Definition III. A random vector X with E(X) = µ and Cov(X) = ⇤ where det[⇤

µ, ⇤ ) if and only if its density function is given by

N (µ

✓ ◆ n2

⇢

1

1

1

p

x µ )0⇤ 1 (x

x µ) .

x) = fX (x1 , . . . , xn ) =

exp

fX (x

(x

2⇡

2

⇤]

det[⇤

µ, ⇤ )

The case of the bivariate normal is of particular importance. Let X = (X1 , X2 )0 2 N (µ

with

2

µ1

⇢ 1 2

1

µ=

and ⇤ =

.

2

µ2

⇢ 1 2

2

2

j ),

In particular, Xj 2 N (µj ,

j = 1, 2, with Cov(X1 , X2 ) = ⇢

Cov(X1 , X2 )

⇢

Corr(X1 , X2 ) = p

=

Var(X1 ) Var(X2 )

Furthermore,

⇤] =

det[⇤

Provided

1

1

⇢2

2 2

1 2

=

2 2

1 2 (1

1 2

Notice that

= ⇢.

1 2

⇢2 ).

**⇤] > 0 so that X has a density. Since
**

> 0, and 1 < ⇢ < 1, then det[⇤

2

2

1

1

⇢ 1 2

⇢ 1 2

2

2

=

=

2

2

2

2

2

⇢ 1 2

⇢ 1 2

⇤]

det[⇤

⇢)

1

1

1 2 (1

1

1/ 12

⇢/ 1 2

=

,

2

⇢/ 1 2

1/ 22

1 ⇢

> 0,

⇤

2 2

1 2

1 2.

2

**we conclude that
**

fX (x1 , x2 )

=

2⇡

1 2

1

p

1

⇢2

exp

(

1

⇢2 )

2(1

**In the special case that µ = 0 ,
**

fX (x1 , x2 ) =

✓

2⇡

p

2

1

1

1

=

x1

µ1

1

◆2

2⇢

(x1

µ1 )(x2

µ2 )

+

1 2

✓

x2

µ2

2

◆2 !)

(⇤)

2

2

= 1, we find

⇢

1

exp

x21

2)

2

2(1

⇢

⇢

2⇢x1 x2 + x22

.

**Remark. The density is nicely typed on page 126. At the top of page 126, a general formula
**

for ⇤ 1 is used (and given in equation (1.6) on page 119). We will not require this fact, and

will only be concerned with the bivariate density as derived above.

23–1

.

fX (x) fY |X=x (y) = Since X 2 N (µx . ⇤ ) with Suppose that X = (X.Y (x. y) is given by fX.Y (x. X 2 N (µx . and Corr(X. To compute the conditional density function for Y |X = x. x2 ). we see that Y |X = x 2 N ✓ µy + ⇢ y (x 2 y (1 µx ). y2 ). Suppose further that ⇤] > 0 so that X has a density given by Definition III.6 pages 127–130 µ. Y 2 N (µy . By definition.Y (x.Y (x. det[⇤ Goal. In particular. y) by fX (x) and simplifying gives ( ✓ 1 1 fY |X=x (y) = p p exp y 2 y2 (1 ⇢2 ) 1 ⇢2 y 2⇡ µy ⇢ y x In other words.Conditional Distributions for the Bivariate Normal Reference. E(Y |X) = µy + ⇢ y (X µx ) x and Var(Y |X) = 23–2 2 y (1 ⇢2 ). (x We also know from (⇤) that the joint density fX. 2 ◆ ⇢) . (x + ✓ y µx ) µy y ◆2 ) ◆2 !) . y) . . x In particular. 2 x) we know that fX (x) = x 1 p 2⇡ ⇢ exp 1 2 2 x µx ) 2 . . Y ) = ⇢. fX. §5. y) = 2⇡ x 1 p 1 y ⇢2 exp ( 1 2(1 ⇢2 ) ✓ x µx x ◆2 2⇢ (x µx )(y µy ) x y Dividing fX. Y )0 2 N (µ µx µ= and ⇤ = ⇢ µy 2 x ⇢ x y x y 2 y .

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