Question: Let X1 and X2 be independent standard normal random variables. Show that the joint distribution of Y1 = anXI + a12X2 + b1 Y2 =

Let X1 and X2 be independent standard normal random variables. Show that the joint distribution of Y1 = anXI + a12X2 + b1 Y2 = a21X1 + a22 X2 + b2 is bivariate normal

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