2 25 (Sec 2 4) Let X have a (singular) normal distribution with mean 0 and covariance matrix (a) Prove I is of rank 1 (b) Find a so X a 'Y and Y has a nonsingular normal distribution, ane give the density of Y (2 3) 1,...

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2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix (a)...

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2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix

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(a) Prove I is of rank 1.

(b) Find a so X = a'Y and Y has a nonsingular normal distribution, ane! give the density of Y.

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An Introduction To Multivariate Statistical Analysis

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3rd Edition

Authors: Theodore W. Anderson

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2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix (a) Prove I is of rank 1. (b) Find a so X = a'Y and Y has a nonsingular normal distribution, ane! give...
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2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix (a)...

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==(2 3). 1,

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An Introduction To Multivariate Statistical Analysis

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