Question: 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

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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