Given are two random variables and . They can be represented as a vector . There holds . Using the KL expansion, find with .
Solution
Jul 25, 20241 min read
Given are two random variables X1∼N(2,0.5) and X2∼N(3,1.5). They can be represented as a vector (X2X1). There holds E[X1X2]=6. Using the KL expansion, find (X2X1)=f(ξ2ξ1) with ξ1,ξ2∼N(0,1).