1 Let X ~ Nn(1,), where 1 = and is the variance covariance matrix of X. Let 1 1 0 0 0 1 1 1 1 0 1 0 0 1 1 1 1 = (1 p)I + pJ, with p > -11, I = and J = . Therefore, 0 0 0 1 1 1 1 1 when p = 0 we have X ~ N (1, I), and in this case we showed in class that X and (Xi-X) are independent. Are they independent when p# 0?