Question: Consider X = (X1, X2) ~ N(M, 12), where u E R2 and 12 E R2x2 is the identity matrix. Using Proposition 5.7 show that

Consider X = (X1, X2) ~ N(M, 12), where u E R2 and 12 E R2x2 is the identity matrix. Using Proposition 5.7 show that the marginal distributions of X] and X2 are Gaussian themselves, irrespective of the value of u

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