Let (G sim mathrm{N}(m, C)) be a (d)-dimensional Gaussian random vector and (A in mathbb{R}^{d times d}).

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Let $G \sim \mathrm{N}(m, C)$ be a $d$-dimensional Gaussian random vector and $A \in \mathbb{R}^{d \times d}$. Show that $A G \sim \mathrm{N}\left(A m, A C A^{\top}ight)$.

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

ISBN: 9783110741254

3rd Edition

Authors: René L. Schilling, Björn Böttcher

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Question Posted: Mar 16, 2024 03:00 AM

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Let (G sim mathrm{N}(m, C)) be a (d)-dimensional Gaussian random vector and (A in mathbb{R}^{d times d}).

Question:

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Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook

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