If
$X \sim N(0,{a^2})$,
$Y \sim N(0,{b^2})$ and
$Corr(X,Y) = \rho $,
then can we say that $(X,Y) \sim BVN(0,0,{a^2},{b^2};\rho )$?
If this is true, then can someone please tell me how can I proceed to show this mathematically?
Thanks!
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Kaustav Sen
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3I think that is not true. See http://stats.stackexchange.com/questions/30159/is-it-possible-to-have-a-pair-of-gaussian-random-variables-for-which-the-joint-d – Deep North Nov 30 '15 at 06:08