Question: (Spherical Distributions) Let y be a vector of N random variables with a spherical joint distribution. Show that if we rewrite y = Rz, where

(Spherical Distributions) Let y be a vector of N random variables with a spherical joint distribution.

Show that if we rewrite y = Rz, where the columns of R are an orthogonal basis for RN, then the elements of the vector z are uncorrelated.

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