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Let X and Y be bivariate Gaussian random variables. For simplicity, let us assume that Ax = my = 0 and ox = oy =

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Let X and Y be bivariate Gaussian random variables. For simplicity, let us assume that Ax = my = 0 and ox = oy = 1. But, px,y is arbitrary, i.e., it can take any value in the open interval (-1, 1). Under the above assumption, prove Theorem 5.19, i.e., show that the correlation coefficient of X and Y is indeed px,y.Random variables X and Y have a bivariate Gaussian PDF with parame- ters ux, My, ox > 0, oy > 0, and px y satisfying -1

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