X and Y independent and has Normal distribution. Their Joint Distribution is a normal bivariate distribution.

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If X has normal distribution, Y has normal distribution, X and Y are independent, but (X, Y) has no bivariate normal distribution.

This is false right?

Is it possible to obtain a counter example?

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If they are independent and normal then $(X,Y)$ definitely has a bivariate normal distribution. You can write down the two dimensional normal density using that fact that$f_{X,Y} (x,y)=f_X(x)f_Y(y)$.