1. The problem statement, all variables and given/known data 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. 3. The attempt at a solution I'm pretty sure the solution is normal, but what would be its mean and variance?