Exercise Solution 3.11

Exercise Solution 3.11

By [3.22],


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:




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





We calculate the numerator of [s1] as



We obtain


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