Exercise 11.8 In Proposition 11.4, consider the bivariate case with Obtain the Cholesky decomposition of , and

Exercise 11.8 In Proposition 11.4, consider the bivariate case with

Obtain the Cholesky decomposition of Σ, and state (Y1, Y2) explicitly.

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= ( 2 po102 ). 01, 02 > 0.