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12.2. Recall the definition of the bivariate normal (X1, X2): X1 = /1 + 0121, X2 = /2 + 02pZ1 + 02\\/1- p2Zz, where Z1, Z2 are independent standard normal rvs. (a) Compute the covariance matrix S of the bivariate normal. X1 (b) By setting X = and Z = Z1 , write the bivariate normal in the form X2 H2 Zz X =u+ AZ, and identify the matrix A. (c) Verify that S = AA" for the A you found in part (b)