Let X and Y have a bivariate normal distribution with parameters μ1 = 24, μ2 = 40, σ21 = 9, σ22 = 4, and ρ = 0.6. Find the shortest interval for which 0.90 is the conditional probability that Y is in the interval, given that X = 22

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Page 208, 3.5.8.* Let X and Y have a bivariate normal distribution with parameters μ1 = 24, μ2 = 40, σ21 = 9, σ22 = 4, and ρ = 0.6. Find the shortest interval for which 0.90 is the conditional probability that Y is in the interval, given that X = 22.

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