Question: Please solve this question with detailed steps and good handwriting! thanks! 4.4 Suppose we have a vector 1 which has a multivariate normal distribution, 1

Please solve this question with detailed steps and good handwriting! thanks!

4.4 Suppose we have a vector 1 which has a multivariate normal distribution, 1 \" Nola: E} Let y = a'z for some k x 1 vector 11, and let x = B: for some p x 1: matrix B. Using (Al?) and (A18) in Appendix AIL show that the conditional distribution of ylx is normal and that the conditional mean is a linear function of x. Get expressions for the parameters of the conditional distribution

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