Consider the following model:

• xRNhas a multivariate distribution with meanx and covariancex
• yRMhas a multivariate distribution with meann and covariancen
• y=Ax+b+nwhereARMN andbRM are constants

1. Assume thatx andn are independent. Derive the mean and covariance of y.
2. Assumex andn are not independent and have covariance:

Cov[x,n]=E[(xx)(nn)T]

Derive the mean and covariance ofy