I am given $Z_1$ and $Z_2$ independent standard normal variables, I have to find two random variables $X_1$ and $X_2$ with correlation $\operatorname{corr}(X_1,X_2) = p$, where $p\in (−1, 1)$.
Any help as to how I can get to the answer or which property or formula I should look into to get to this answer..
Thanks!