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nshepperd comments on Why the tails come apart - Less Wrong

115 Post author: Thrasymachus 01 August 2014 10:41PM

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Comment author: nshepperd 03 August 2014 01:46:28AM *  3 points [-]

Why should it form an ellipse?

Multivariate CLT perhaps? The precondition seems like it might be a bit less common than the regular central limit theorem, but still plausible, if you assume x and y are correlated by being affected by a third factor, z, which controls the terms that sum together to make x and y.

Once you have a multivariate normal distribution, you're good, since they always have (hyper-)elliptical envelopes.