The examples in Figure 2.2 show the influence of the correlation coefficient
on the shape of the pdf. What happens is that the axis of the ellipse referred
before will no longer be parallel to the axis x and y. The greater the correlation
coefficient, the larger the misalignment of these axis. When ρ = 1 or ρ = −1 the
axis of the ellipse has an angle of π/4 relative to the x-axis of the pdf.