Question: Let X N(0,) be a random vector having normal distribution and W be a random variable independent of X. Recall that random vector Y =

Let X N(0,) be a random vector having normal distribution and W be a random variable independent of X. Recall that random vector Y = WX has elliptical distribution.

Suppose that W can take two values, value a with probability p and value b with probability 1 p. Find the covariance matrix and kurtosis parameter of Y .

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