Question: Attached is the question Problem 3. (20 points.) Suppose A is an m x n (constant) matrix, B is a p x q (constant) matrices,

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Problem 3. (20 points.) Suppose A is an m x n (constant) matrix, B is a p x q (constant) matrices, X is an n x p random matrix, Y is an n-dimensional random column vector, and Z is an q-dimensional column vector. Verify that COV (AY, BZ) = ACOV (Y, Z) B

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