Anyone knows about the following property?
If $X$, $Y$ jointly are normal with zero means and correlation coefficient $\rho$, then the correlation coefficient between $X^2$ and $Y^2$ is $\rho^2$.
Thank you
Anyone knows about the following property?
If $X$, $Y$ jointly are normal with zero means and correlation coefficient $\rho$, then the correlation coefficient between $X^2$ and $Y^2$ is $\rho^2$.
Thank you