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 ρ1,2. 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]