Distribution of Maximum of Two Normal Variables

4 Aug 2015

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Hello!

Would you please let me know whether we have a function to directly find the distribution of maximum of two normal variables? Thank you!

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Torsten on 4 Aug 2015

Independent or correlated ?

If they are independent, just multiply the two individual distribution functions to get the distribution function of max(X1,X2).

Best wishes

Torsten.

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