Q2.9 Assume a random vector x 2 Rn follows a multivariate Gaussian distribution (i.e., px = N ???? x , ). If we

Q2.9 Assume a random vector x 2 Rn follows a multivariate Gaussian distribution (i.e., p¹xº = N

????

x

, 

).

If we apply an invertible linear transformation to convert x into another random vector as y = Ax + b

(A 2 Rnn and b 2 Rn), prove that the joint distribution p¹yº is also a multivariate Gaussian distribution, and compute its mean vector and covariance matrix.