Price's Theorem

Consider a bivariate normal distribution in variables x and y with covariance


and an arbitrary function g(x,y). Then the expected value of the random variable g(x,y)




See also

Covariance, Bivariate Normal Distribution

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McMahon, E. L. "An Extension of Price's Theorem." IEEE Trans. Inform. Th. 10, 168-171, 1964.Papoulis, A. "Price's Theorem and Join Moments." Probability, Random Variables, and Stochastic Processes, 2nd ed. New York: McGraw-Hill, pp. 226-228, 1984.Price, R. "A Useful Theorem for Non-Linear Devices Having Gaussian Inputs." IEEE Trans. Inform. Th. 4, 69-72, 1958.

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Price's Theorem

Cite this as:

Weisstein, Eric W. "Price's Theorem." From MathWorld--A Wolfram Web Resource.

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