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Respected Tutor, kindly help me to solve following problem as i tried to solve but I am stuck into it, please help me to answer

Respected Tutor, kindly help me to solve following problem as i tried to solve but I am stuck into it, please help me to answer this question please.

(Gausian Random Vector)

Consider a random vectorXN(0,I_n), where I_nRⁿⁿis the unit matrix, and anorthonormal matrix UR^kn. Prove that there holds UXN(0,I_k)without relying on the definition of the density of a Gaussian random vector.

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