Question: Problem 4. Assume X = (X, Y)' ~ N(M1, M2, 03, 02, p). (i) Derive the pdf of (X + Y, X - Y) by

Problem 4. Assume X = (X, Y)' ~ N(M1, M2, 03, 02, p). (i) Derive the pdf of (X + Y, X - Y) by using bivariate transform, and then identify the corresponding distribution. (ii) Design a 2 x 2 matrix A such that AX is uncorrelated and hence inde- pendent

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