Question: Consider the two-dimensional random variable z where the variance matrix is not scalar: Find so that the elements of w = R()z are uncorrelated.

Consider the two-dimensional random variable z where the variance matrix is not scalar:

Var[z]=o Let a family of orthogonal matrices be denoted by 1-92 R(9)

Find θ so that the elements of w = R(θ)z are uncorrelated. Draw a figure of the covariance ellipses illustrating the rotation.

Var[z]=o Let a family of orthogonal matrices be denoted by 1-92 R(9) = -6 6

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