Question: Consider the Gaussian vector X=(X 1 ,X 2 ,X 3 ) with mean 0 and covariance matrix C= 2 1 1 1 2 1 1

Consider the Gaussian vector X=(X 1 ,X 2 ,X 3 ) with mean 0 and covariance matrix C= 2 1 1 1 2 1 1 1 2 Find Z=(Z 1 ,Z 2 ,Z 3 ) and a matrix A such that X=AZ. You can use the work of Example 2.17

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Consider the Gaussian vector X=(X 1 ,X 2 ,X 3 ) with mean 0 and covariance matrix C= 2 1 1 1 2 1 1 1 2 Find Z=(Z 1 ,Z 2 ,Z 3 ) and a matrix A such that X=AZ. You can use the work of Example 2.17

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