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Let X1 and X2 follow a bivariate normal distribution with means , and M2, Var(X1) = Var(X2), and correlation p. Show that the sum X1

Let X1 and X2 follow a bivariate normal distribution with means , and M2, Var(X1) = Var(X2), and correlation p. Show that the sum X1 + X2 and the difference X1 - X2 are independent

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