3. Let X = (X1, ..., Xm)', m > 2, be random vector with covariance matrix 011 0 12 E = 0 21 E22 The multivariate correlation coefficient between X1 and X2, ..., Xm, denoted R1.2,...,m, the maximum correlation between X1 and any linear function w2X2 + ... + WmAm. (i) Show that 1/2 012 2 22 021 R1.2,...,m = 011 (ii) Suppose that random vector X has multivariate normal distribution. Show that R1.2,...,m is equal to the correlation between X1 and EX, |X2, ..., Xm]