Deriving the joint density function of general bivariate normal distribution using transformations.

We derive the joint probability density function of a general bivariate normal distribution using transformation finding the Cumulative Distribution Function (CDF).

*** CORRECTION ***

@ 18:22 .... When I did twice first term by the second term in the binomial expansion, the last expression in the numerator should by divided by Sigma_x. Note @ 20:38, I wrote Sigma_x that was left out in the denominator multiplied by Sigma_y.

You can watch my other video on how this is done using transformations and joint pdfs.