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EXERCISE 1 X1 - X X2 - X Let X1, ..., Xn i.i.d. random variables with Xi ~ N(u, o). Express the vector Xn - X in the form AX and find its mean and variance covariance matrix. Show some typical ele- ments of the variance covariance matrix. EXERCISE 2 Refer to exercise 1. Use properties of the trace to find the expected value of X'(I - 111')X. Note: I is the n x n identity matrix and 1 = (1, 1, ..., 1)