2 (12)(n1)/2(1r) (n1)(1r2)(n3)/2, |r| < 1. (Rastogi [89]) [Hint: Let U = (X+Y)/2 and V =...

2

 (1−ρ2)(n−1)/2(1−ρr)

−(n−1)(1−r2)(n−3)/2, |r| < 1.

(Rastogi [89])

[Hint: Let U = (X+Y)/2 and V = (X−Y)/2, and observe that the random vector

(U,V) is also bivariate normal. In fact, U and V are independent.]