Question: 2.6.8. Let X = (X1,...,Xn) be an n-dimensional random vector, with the variancecovariance matrix given in display (2.6.13). Show that the ith diagonal entry of

2.6.8. Let X = (X1,...,Xn) be an n-dimensional random vector, with the variancecovariance matrix given in display (2.6.13). Show that the ith diagonal entry of Cov(X) is 2 i = Var(Xi) and that the (i, j)th off diagonal entry is Cov(Xi, Xj ).

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