[R] bivariate normal and rho
Agostino Capponi
acapponi at caltech.edu
Wed May 6 06:58:10 CEST 2009
Hi,
Let f(rho) = E[F_1(x) F_2(y)], i.e f(rho) is the expectation of
F(x) * F(y) with respect to the bivariate Gaussian density with mean 0
and covariance matrix [1 rho; rho 1].
Moreover, assume F_1(x) and F_2(y) to be increasing functions of x and y
respectively.
I was wondering if it was true that f(rho) is an increasing function of rho.
If so, are there any references?
Best,
Agos
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