Does anyone know how to calulate the joint density function of X and Z
in this question
Let X and Y be independent standard normal random variable, and
Z (equals) aX (plus) (1-a^2)^1/2 * Y
Z is a normal, since this is linear in X and Y.
Thus just find the mean and variance of Z and you're done.
You can use MGFs, but that silly.
It does prove what I'm saying though.
Oh gave you the marginal of Z.
If you want the joint of X and Z, you need to transform, calc 3 from X,Y to X,Z.
Obtain the jacobian and substitute from one density to the other.