If M(t 1 , t 2 ) is the mgf of a bivariate normal distribution, compute the
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If M(t1, t2) is the mgf of a bivariate normal distribution, compute the covariance by using the formula
Now let ψ(t1, t2) = log M(t1, t2). Show that ∂2ψ(0, 0)/∂t1∂t2 gives this covariance directly.
Transcribed Image Text:
²M (0,0) Ət1 Ət₂ M (0,0) Əti M (0,0) Ət₂
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The mgf of a bivariate normal distribution is Mt1 t2 emu1t1 mu2t2 05s...View the full answer
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Related Book For
Introduction To Mathematical Statistics
ISBN: 9780321794710
7th Edition
Authors: Robert V., Joseph W. McKean, Allen T. Craig
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