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The question is shown below Exercise 2 (5+5 pts.). Multivariate Normal Distribution. Suppose (X, Y, Z) follow the multivariate normal distribution: 1 1 0.4 0.2

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Exercise 2 (5+5 pts.). Multivariate Normal Distribution. Suppose (X, Y, Z) follow the multivariate normal distribution: 1 1 0.4 0.2 (X,Y,Z)~N 3 , 0.4 1 0.3 4 0.2 0.3 1 1. Find the distribution of X + Y + Z ; 2. Find Cov(2X 3Y + Z,X + Y Z)

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