Please answer the following question.

Let X1, X2, ..., Xn be independent random variables following a normal distribution, each with a different mean u; but with common variance o2; that is: Xi~ N(uj, 62) for i = 1,2, ..., n. Let X denote X = = . En, Xi . n Show that for i = 1,2, ..., n: 02 Cov(X;, X) = n