Moment generating function of a bivariate normal distribution?

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1108800

2026-03-31 02:40

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MX,Y(s,t) = exp{μxs + μYt + ½(σX2s2 + 2ρσXσYst + σY2t2)} Where X ~ N (μx , σX) and Y ~ N (μY , σY). Also Corr(X,Y) = Cov (X,Y)/{Var(X) . Var(Y)} = ρ

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