I have been struggling with this apparently hard question (my background is on medical sciences):
There are two standard normal variables
X1 ~N (0,1)
with correlation = rho.
I would like to obtain the probability density function for
X3 = max(abs(X1),abs(X2))
where max = maximum and
abs = absolute value
I have spent considerable time on this during the last few weeks, and could not find an adequate reference to solve this issue.
If you have any tips (references, solutions, websites) I really appreciate it.
All the best,