Question: need help with those two questions ,thanks 1. Let A be a matrix and let z be a random vector with covariance matrix B. Recall
need help with those two questions ,thanks

1. Let A be a matrix and let z be a random vector with covariance matrix B. Recall that the covariance matrix for Az is VIAz] = ABA' . If you are in PSTAT 174, verify this when A, B E R2x2 and z E R2; if you are in PSTAT 274, verify this for A, B E Rnxn and z E R" where n 2 1. 2. Let E E Rnx" be an n x n covariance matrix for a multivariate normal RV, and let U be a matrix such that UU" = E. If z is a vector of n IID N(0,1) random variables, Uz will follow a MVN distribution. What is the covariance matrix for Uz? (Use the previous part.)
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