Re: Dependent, Indentically Distributed Random Variables

zathraszathras@xxxxxxxxx wrote:
Suppose I know that 2 random variables X and Y have identical
distribution function f, and they are correlated with correlation
coefficient r. Do I have enough information to determine the joint
probability function? If not, what additional information would be
sufficient?

There are lots of examples of normal random variables X and Y which are
uncorrelated, but not jointly normal.

If you know the distribution of all linear combinations of X and Y, this
determines the joint distribution.

--
David Marcus
.

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