Texts: A p x p matrix A is orthogonal if A^T A = A A^T = I_p. Suppose Z_{p x 1} ~ MVN(0, I_p), where 0 is the zero vector. Find the distribution of W = AZ.
Added by Hugo M.
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Step 1: Recall that the distribution of a multivariate normal random variable with mean vector μ and covariance matrix Σ is given by MVN(μ, Σ). Show more…
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