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Reliabilty of Structures

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The joint (bivariate) PDF for X1,2 is

2

x22

1 1 1 x1 x1x2

fX1X2 (x1, x2) = exp − + − 2ρ

2π (1 − ρ2)1/2 ρ ) σ12

2 σ22

2(1 − σ1 σ2

A more useful of writing this PDF is to use the column vector X = col (X1, X2) and the

covariance matrix

2

σ1 σ1 σ2 ρ

C=

2

σ1 σ2 ρ σ2

1 1

2π(det C)1/2 2

The bivariate Gaussian is used frequently in likelihood and Bayesian estimation to display

contours for parameter estimates.

1

Figure 1: Scatter plots of two random variables X1,2 that have a joint Gaussian PDF for four different values of correlation coefficient, ρ.

2

Generating Correlated Random Variables

Consider a (pseudo) random number generator that gives numbers consistent with a 1D Gaus-

sian PDF ≡ N(0, σ 2) (zero mean with variance σ 2).

How do we create two Gaussian random variables (GRVs) from N(0, σ 2) but that are correlated

with correlation coefficient ρ?

So we want

h(X1 − hX1i) (X2 − hX2i)i

ρX1,X2 = .

σ2

Define Y1, Y2 as independent N (0, σ 2) GRVs, so ρY1,Y2 = 0 and let

X1 = aY1 + bY2

X2 = cY1 + dY2.

Since the means of all variables are zero, we have

hX1X2i = h(aY1 + bY2)(cY1 + dY2)i

= achY12i + bdhY22i + (ad + bc)hY1Y2i

= (ac + bd)σ 2

Therefore

hX1X2i

ρX 1 X2 = = ac + bd (1)

σ2

3

We also want

hX12i = (a2 + b2)σ 2 = σ 2

hX22i = (c2 + d2)σ 2 = σ 2

so

a2 + b2 = c2 + d2 = 1 (2)

A natural solution is to use a = cos φ b = sin φ

c = sin φ d = cos φ.

Then the constraint equations (1) and (2) are satisfied and

ac + bd = ρX1X2 = 2 cos φ sin φ = sin 2φ

so

1 −1

φ= sin ρX1X2 .

2

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