Exercise Solution 3.11

By [3.22],

[s1]

Accordingly, we should first calculate μ₁ and μ₂. This will enable us to calculate σ₁ and σ₂. Then we can calculate ρ_1,2. From [3.25], we determine the marginal PFs:

[s2]

and

[s3]

From these and definitions [3.3] and [3.7], we calculate

[s4]

[s5]

[s6]

[s7]

We calculate the numerator of [s1] as

[s8]

[s9]

We obtain

[s10]