Bivariate Normal Distribution:
Bivariate normal distribution describes the joint probability distribution of two variables, say X and Y, that both obey the normal distribution. The bivariate normal is completely specified by 5 parameters:
mx, my are the mean values of variables X and Y, respectively;
sx, sy are the standard deviation s of variables X and Y;
rxy is the correlation coefficient between X and y.
An essential feature of the bivariate normal distribution is that zero correlation (r=0) necessarily means that X and Y are independent random variables .