Question: Could you please help with this question? Thanks 431 Exercise 4.22: Normal distributions under linear transformations Given the normally distributed random variable, & E R,

Could you please help with this question? Thanks

431 Exercise 4.22: Normal distributions under linear transformations Given the normally distributed random variable, & E R", consider the random variable, n E R", obtained by the linear transformation n = AS in which A is a nonsingular matrix. Using the result on transforming probability den- cities, show that If 5 ~ N(m, P), then n ~ N(Am, APAT). This result establishes that (invertible) linear transformations of (nonsingular) normal random variables are normal. Exercise 4.23: Normal with singular cox

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