How to find joint distribution of two normally distributed random variables?

Elisabeth Esparza

Elisabeth Esparza

Answered question

2022-07-18

Let Y 1 and Y 2 be independent random variables with Y 1 N ( 1 , 3 ) and Y 2 N ( 2 , 5 ) . If W 1 = Y 1 + 2 Y 2 and W 2 = 4 Y 1 Y 2 , what is the joint distribution of W 1 and W 2 ?

Answer & Explanation

polishxcore5z

polishxcore5z

Beginner2022-07-19Added 14 answers

Step 1
First note that ( Y 1 , Y 2 ) is bivariate normal because Y 1 , Y 2 are independent.
Next observe that
( W 1 W 2 ) = A ( Y 1 Y 2 )
A = ( 1 2 4 1 ) , ,
and use the fact that affine transforms of normal random vectors are normal, i.e.
X N ( μ , Σ ) A X + b N ( A μ + b , A Σ A ) . .

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