c. (10 points) Assume that we generate a p X 1 random vector Z such that Zi ~ Normal(0, 1) and 197 . ! # !A0 = ('Z "Z)Mop V = WA 1/2 Z where E = WAW as described at the beginning of this question. i. What are the E(V) and Var(V) ? ii. What is the distribution of Vi