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Problem 1 (6-47) The random variables X1 and X2 are jointly normal with zero mean. Show that their density can be written in the form
Problem 1 (6-47) The random variables X1 and X2 are jointly normal with zero mean. Show that their density can be written in the form U11 /12 f (21, 2) = expi- XC-'X'}, C= 2TVA 2 M21 /22 where X : [x1, x2], Mij = E[X;X;], and A = /11/22 - M12
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