The Bivariate Normal Distribution

The bivariate normal distribution for two related, normally distributed variablesandis


Ifandare independent then and

The bivariate normal PDF defines a surface in theplane.

Like its one dimensional counterpart, the bivariate normal distribution has the following properties:


Intuitively the probability of observing a valuebetweenandandbetweenandis

This integral is typically done numerically.

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