4.16 Let X1,...,Xr have a multivariate normal distribution with E(Xi) = i and with covariance matrix .

4.16 Let X1,...,Xr have a multivariate normal distribution with E(Xi) = ξi and with covariance matrix . If X is the column matrix with elements Xi and B is an r × r matrix of constants, then BX has a multivariate normal distribution with mean Bξ and covariance matrix BB

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