Question: Let X be a r.vec., E{X} = 0, and Y = Q X, where Q is a non-random orthogonal matrix. Using a probability theory argument,

Let X be a r.vec., E{X} = 0, and Y = Q X, where Q is a non-random orthogonal matrix. Using a probability theory argument, prove that the covariance matrices C_Y and C_X have the same traces (the sums of the diagonal entries).

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