Q9. (a) Let X = (X1 X2 X3)' ~ N3(µ, I) with µ = (2 – 3 1)'. Then obtain the distribution of (i) 3X1 - 2X2 + 5X3 and (ii) (X1 - X2 X2 - X3).
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Step 1: We know that if X ~ N3(µ, I), then any linear combination of X is also normally distributed. Show more…
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