Disclaimer: This was generated using AI with Mathestral on Ollama and then edited by an underqualfied human.
Denote the bivariate normal random variables as
-
Mean vector:
$\mu = (\mu_X, \mu_Y)$ -
Covariance matrix:
$\Sigma = \binom{\sigma_X^2 , \rho \sigma_X \sigma_Y}{\rho \sigma_X \sigma_Y , \sigma_Y^2}$