Question: Let X be a two- element zero- mean random vector. Suppose we construct a new random vector Y according to a linear transformation, Y =

Let X be a two- element zero- mean random vector. Suppose we construct a new random vector Y according to a linear transformation, Y = TX. Find the transformation matrix, T, such that Y has a covariance matrix of

For this problem, assume that the covariance matrix of the vector X is an identity matrix.

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