- #1

gatorain

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## 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?