Question
If two jointly Gaussian random vectors X and Y are uncorrelated, show that they are also independent. (BONUS) Will this be true if X
If two jointly Gaussian random vectors X and Y are uncorrelated, show that they are also independent. (BONUS) Will this be true if X and Y are not jointly Gaussian but marginally Gaussian?
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Linear Algebra with Applications
Authors: Steven J. Leon
7th edition
131857851, 978-0131857858
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