2.33. (Sec. 2.5) lnuariallceofthe mulliple cOITelalion coefficient. Prove that Ri .q+ l , '~;P is an invariant

Question:

2.33. (Sec. 2.5) lnuariallceofthe mulliple cOITelalion coefficient. Prove that Ri .q+ l , "'~;P is an invariant characteristic of the multivariate normal distribution of Xi and X(2) under the transformation xi = bix; + c; for b; *" 0 and X(2)* = HX(2) + k for H nonsingular and th~ every function of J..'-;, CTii' U(;» I.lP), and 122 that is invariant is a function of Rj •q + I, ,,' p'

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