Let X denote an n-dimensional random vector with a multivariate normal distribution with mean vector 0 and covariance matrix give by ? ² l _n . Let M ₁ and M ₂ denote orthogonal linear subspace or R ⁿ and let P _j denote the matrix representation orthogonal projection onto M _j , j=1,2. Find the distribution of

Transcribed Image Text:

XT PIX XT P₂X XT PIX XT P₂X

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Since P j is a projection operator so P j is the idempotent matrix and since M 1 and ... View the full answer