Question: Consider a vector of random variables, X = [X1, X2. XN] T. Suppose we form a new random variable Z by performing a weighted average

Consider a vector of random variables, X = [X1, X2. XN] T. Suppose we form a new random variable Z by performing a weighted average of the components of X. That is,

Where

Find the values of the constants bi such that the variance of Z is minimized.

,20 andb 1

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