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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!

  • 0
    The formula you were given is $X_2=pZ_1+\sqrt{1-p^2}Z_2$, please correct your post.2012-03-13
  • 0
    Still incorrect.2012-03-13

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