 Gaussian sign-correlation identity

For centered, unit-variance jointly Gaussian random variables with correlation coefficient $\rho$, the displayed identity holds. Realize the pair as projections onto unit vectors of angle $\theta =\arccos \rho$. Rotational symmetry of the two-dimensional Gaussian random vector direction makes sign disagreement have probability $\theta /\pi$. The expectation is therefore $1-2\theta /\pi =(2/\pi )\arcsin \rho$. Perfectly correlated and anticorrelated endpoints follow directly; the sign at zero does not affect the result.