58. Let X = Nx(u, E) with a positive definite 2. (a) Show that EX = u and Var(X) = E. (b) Let A be an l xk matrix and B

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58 Let X Nx U E With A Positive Definite 2 A Show That Ex U And Var X E B Let A Be An L Xk Matrix And B 1 (26.66 KiB) Viewed 118 times

58. Let X = Nx(u, E) with a positive definite 2. (a) Show that EX = u and Var(X) = E. (b) Let A be an l xk matrix and B be an m x k matrix. Show that AX and BX are independent if and only if AEBT = 0. (c) Suppose that k = 2, X = (X1, X2), u = 0, Var(X1) = Var(X2) = 1, and Cov(X1, X2) = p. Show that E(max{X1, X2}) = V(1 - )/T.