Assume that (Y₁, Y₂) follows a bivariate distribution with mean vector (μ₁, μ₂) and covariance matrix with entries σ₁², σ₂², σ₁₂, and let ρ=Cor(Y₁,Y₂).
If we collect i.i.d. observations (Yᵢ₁, Yᵢ₂) from this bivariate distribution, then the expected squared perpendicular distance of each such point from the 45 degree line in 2d plane is given by
E[((Y₁-μ₁) - (Y₂-μ₂) + μ₁-μ₂)²] =
E[((Y₁-μ₁) - (Y₂-μ₂))²] + (μ₁-μ₂)² =
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