Exercise 1.5.7 Let A be symmetric, Y N(0,V), and w1, . . . ,ws be independent

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Exercise 1.5.7 Let A be symmetric, Y ∼ N(0,V), and w1, . . . ,ws be independent

χ2(1) random variables. Show that for some value of s and some numbers λi, YAY ∼ Σsi

=1λiwi.

Hint: Y ∼ QZ so YAY ∼ ZQAQZ. Write QAQ = PD(λi)P.

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Exercise 1.5.7 Let A be symmetric, Y N(0,V), and w1, . . . ,ws be independent

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