Respected Tutor, please help me to solve following question, as I am stuck in it, can you please please help to solve and explain following sum Consider a random vector XN(0,I n ), where I n R nn is the unit matrix, and an orthonormal matrix UR kn Prove that there holdsU XN(0,I k )without relying on the definition of the density of a Gaussian random vector

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Question: Respected Tutor, please help me to solve following question, as I am stuck in it, can you please please help to solve and explain following

Respected Tutor, please help me to solve following question, as I am stuck in it, can you please please help to solve and explain following sum???

Consider a random vector XN(0,I_n), where I_nRⁿⁿis the unit matrix, and an orthonormal matrix UR^kn. Prove that there holdsU XN(0,I_k)without relying on the definition of the density of a Gaussian random vector.

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