Let (G sim mathrm{N}(m, C)) be a (d)-dimensional Gaussian random vector and (A in mathbb{R}^{d times d}).
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Let \(G \sim \mathrm{N}(m, C)\) be a \(d\)-dimensional Gaussian random vector and \(A \in \mathbb{R}^{d \times d}\). Show that \(A G \sim \mathrm{N}\left(A m, A C A^{\top}ight)\).
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Related Book For 
Brownian Motion A Guide To Random Processes And Stochastic Calculus De Gruyter Textbook
ISBN: 9783110741254
3rd Edition
Authors: René L. Schilling, Björn Böttcher
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