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
I need to calculate $E[XY]$ for $(X,Y) \sim N(\mu_{1},\mu_{2},\sigma_{1}^{2}, \sigma_{2}^{2}, \rho)$ by using integration and then determine the correlation coefficient afterwards.
Now, when $X \sim N(\mu_{1},\sigma_{1}^{2})$ and $Y \sim N(\mu_{2}, \sigma_{2}^{2})$, the probability density funct...