Question: Random variables X1 and X2 have zero expected value and variances Var[X1] = 4 and Var[X2] = 9. Their co-variance is Cov[X1, X2] = 3.

Random variables X1 and X2 have zero expected value and variances Var[X1] = 4 and Var[X2] = 9. Their co-variance is Cov[X1, X2] = 3.
(a) Find the covariance matrix of X = [X1 X2]ʹ.
(b) Find the covariance matrix of Y = [Y1 Y2]ʹ given by
Y1 = X1 - 2X2,
Y2 = 3X1 + 4X2.

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