Originally Posted by

**Alonso** Dear all,

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)

X2~ 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,

Alonso