**Unformatted text preview: **) T with { Z i } p i =1 being i.i.d. N (0 , 1). For any given positive deﬁnite p × p matrix Σ, using the result from (1), ﬁnd a transform matrix A such that Y = A Z follows a multivariate normal with mean μ = (0 ,..., 0) T and covariance Σ. 3. Textbook page 233, 4.4.8. 4. Textbook Page 233, 4.4.10. 1...

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- Fall '08
- Staff
- Normal Distribution, Variance, σ, Covariance matrix, Multivariate normal distribution, covariance matrix Σ.