011 Let = 012 be a bivariate covariance matrix. Find a lower diagonal 2 ...

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011 Let Σ = 012 be a bivariate covariance matrix. Find a lower diagonal 2 × 2 012 22 matrix C such that Σ = CC'. Let Y = CX + μ where X is a 2 x 1 random vector with mean zero and covariance identity. Find E(Y) and COV(Y). 011 Let Σ = 012 be a bivariate covariance matrix. Find a lower diagonal 2 × 2 012 22 matrix C such that Σ = CC'. Let Y = CX + μ where X is a 2 x 1 random vector with mean zero and covariance identity. Find E(Y) and COV(Y).

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To find a lower diagonal 2x2 matrix C such that Sigma CC where Sigma is the given covariance matrix ... View the full answer