Question: Correlated Distributions Suppose we need a two-dimensional random variable (X1, X2) that must be normally distributed with mean 0, and given variances 2 1, 2

Correlated Distributions Suppose we need a two-dimensional random variable (X1, X2) that must be normally distributed with mean 0, and given variances σ2 1, σ2 2 and prespecified correlation ρ. How is X1, X2 obtained out of Z1, Z2 ∼ N (0, 1)?

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