- #1
gatorain
- 1
- 0
Homework Statement
Z = (Z1, Z2, ... Zd) is a d-dimensional normal variable with distribution N(0, E).
Let A be invertible matrix such that AA' = E. (E = sigma = covariance matrix).
Find the distribution of Y = (A^-1)*Z.
The Attempt at a Solution
I'm pretty sure the solution is normal, but what would be its mean and variance?