...and if X not \in [-1,1], Y is randomly sampled from a Gaussian normal until it lands outside [-1,1].
Well, with the proviso that I learned everything I know about pt from the back of a cereal box,
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if you restrict to the near-extreme values then you can see why they become anticorrelated.
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Yeah, but that's just range restriction. And the anticorrelation you see is among values that are all still pretty high.
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