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Hi,
Suppose I have two random variates X,Y following normal distribution,
X = N(u1,v1)
Y = N(u1-u2, v1(1-z))
where u1 is the mean and v1 is the variance. u2 < u1 and z ranges
between 0-0.95. Is there an analytical expression for the covariance of
X and Y in terms of u1,v1, u2, and z?
Thanks
Kumara
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