Question: 2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix (a) Prove I is of rank 1. (b) Find

2.25. (Sec. 2.4) Let X have a (singular) normal distribution with mean 0 and covariance matrix

==(2 3). 1,

(a) Prove I is of rank 1.

(b) Find a so X = a'Y and Y has a nonsingular normal distribution, ane! give the density of Y.

==(2 3). 1,

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