Probability 2 - Notes 11 The bivariate and multivariate ...
This is just the m.g.f. for the multivariate normal distribution with vector of means Am+b and variance-covariance matrix AVAT. Hence, from the uniqueness of the joint m.g.f, Y » N(Am+b;AVAT). Note that from (2) a subset of the Y0s is multivariate normal. NOTE. The results concerning the vector of means and variance-covariance matrix for linear
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