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question: Let X ~N(0, E). Find the distribution of Y= AX. For the bivariate case with E = 02 po102 P0102 find a 2 x

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Let X ~N(0, E). Find the distribution of Y= AX. For the bivariate case with E = 02 po102 P0102 find a 2 x 2 A such that cov()" ) is an identity matrix. Hint: Consider eigen-decomposition

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