Use the delta method of the previous exercise to show that if N(vN ) L

Use the delta method of the previous exercise to show that if

√

N(vN − θ) L

→ N

0, Σ(θ)

, then for any r × q matrix A,

√

N(AvN − Aθ) L

→ N

0, AΣ(θ)A

.

Show that if Cov(√

NvN ) = Σ(θ), then Cov(√

NAvN ) = AΣ(θ)A

.