# Exercise Solution 3.11

By [3.22],

[s1]

Accordingly, we should first calculate μ_{1} and μ_{2}. This will enable us to calculate σ_{1} and σ_{2}. 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]

## Comments are closed.