Are you able to provide a suitable reference (book, article, class notes, examples in R) to compute the
P(|X|>x and |Y|>y)?
Give thant X and Y ~BVN(mu1, mu2, sigma1, sigma2, rho) ?
X and Y are actually standard normal variables with mean 0 and variance 1. The correlation is known, say, rho, and rho > 0.
Sorry for my bad notation. My background in statistics is very limited.