Question: Problem 1 (Required, 30 marks) X1 We let X = X 2 X 3 be a vector of random variable with expected value E X

Problem 1 (Required, 30 marks) X1 We let X = X 2 X 3 be a vector of random variable with expected value E X = 2 and -1 O O W 2 N 1 O covariance matrix Cov(X) = 2 1 9 -2 2 O -2 4 Using the property of covariance matrix, find (a) the variance of 2X1 + 3X2 + 4X3 - X4 and (b) the covariance matrix of Y where Y = ( X1+X2 - 2X3 X1+X3 + 3X (CHint: Think about the property of covariance matrix)

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