Question: Let UT = (XT, YT) be a jointly Gaussian random vector of size (n + m). Show that if K is non- singular, then

Let UT = (XT, YT) be a jointly Gaussian random vector of

Let UT = (XT, YT) be a jointly Gaussian random vector of size (n + m). Show that if K is non- singular, then both Ky and Ky are non-singular. Further, show that if Ky is non-singular and if B C Kj: then B and D are also non-singular and positive definite. CT D

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