Verify directly using basic principles that, for Gij i.i.d.

∼ N(0, 1),

Try to extend this, also using only rudimentary distribution theory, to the more general case

with A, B ∈ {2, 3,…}. Whether possible or not using basic principles, prove the latter using projection matrix results.

22 =1 j=1 (G-G-G +..) ~ X2-1 (2-1)