Question: Q2.12 Assume a random vector x = x1 x2 follows a bivariate Gaussian distribution: Nx j , , where = 1

Q2.12 Assume a random vector x =



x1 x2



follows a bivariate Gaussian distribution: N¹x j , º, where  =



1

2



is the mean vector and  =



2 1 12

12 2 2



is the covariance matrix. Derive the formula to compute mutual information between x1 and x2 (i.e., I¹x1, x2º).

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