1. Suppose the covariance matrix of three dimensional random vector X is given by o2po2 0 Σ = po² o2 0 po2 02 po2 Suppos
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1. Suppose the covariance matrix of three dimensional random vector X is given by o2po2 0 Σ = po² o2 0 po2 02 po2 Suppose the underlining random vector is N3(0, 2). Find the joint distribution and marginal distributions of principal components of X.