Let UT = (XT, YT) be a jointly Gaussian random vector of size (n + m)....
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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 nonsingular. Further, show that if Ky is nonsingular and if B C Kj¹: then B and D are also nonsingular and positive definite. CT D 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 nonsingular. Further, show that if Ky is nonsingular and if B C Kj¹: then B and D are also nonsingular and positive definite. CT D
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