Question: Exercise 6.80 Let the pair (X, Y) have the bivariate normal distribution of (6.76), and let a, b R. Show that aX + bY

Exercise 6.80 Let the pair (X, Y) have the bivariate normal distribution of (6.76), and let

a, b ∈ R.

Show that aX + bY has a univariate normal distribution, possibly wth zero variance.

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