(adsbygoogle = window.adsbygoogle || []).push({}); 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?

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# Homework Help: Multivariate Normal Distribution

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