If c is a fixed vector of size 31, show that var(c U ) = c cov(U
Question:
If c is a fixed vector of size 3×1, show that var(c
U ) = c
cov(U )c and cov(U +
c) = cov(U ).
Comment. If V is an n×1 random vector, C is a fixed m×n matrix, and D is a fixed m×1 vector, then cov(CV + D) = Ccov(V )C
.
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