3.9 Use (3.76) to verify (3.83), cov(z) = I, where z = (21/2) -1(y - /). The more general linear transformation z = Ay + b has population mean vector and covariance matrix E(Ay + b) = AE(y) + b = Au +b. (3.75) cov(Ay + b) = ADA'. (3.76) A' = (y -4)'S-'(y - #) = (y - m)'(81/2x/2 )-1(y -/) = [(E /3)-(y - A))'(2 /2) (y- A)] = z'z, where z = (21/2)-(y - p) = (21/?)-ly _ (21/2)-lu. Now, by (3.76) it can be shown that cov(2) = -I. (3.83) n