3. The Multivariate Normal Distribution
(a) nd the mean and variance of the linear combination a0X 1 of the three components of X 1 where a= [a 1 a 2 a 3]0. (b)Consider two linear combinations of random vectors 1 2 X 1 + 1 2 X 2 + 1 2 X 3 + 1 2 X 4 and X 1 + X 2 + X 3 3X 4: Find the mean vector and covariance matrix for each linear combination of vectors and also the covariance ...
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