Demonstrate that the weighted sum of correlated P normal variables y = is itself normal with mean
Question:
Demonstrate that the weighted sum of correlated P normal variables y =
is itself normal with mean μy =
and variance
(Hint: use Cholesky decomposition together with the characteristic function for a normal variate.)
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Related Book For
The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market
ISBN: 9781848167728,9781908979582
1st Edition
Authors: George Kaye
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