Question: Show that ( + ) = ( ) where is a random vector and is a constant matrix and is a constant vector using the

Show that ( + ) = () where is a random vector and is a constant matrix and is a constant vector using the definition of the variance-covariance matrix.

[Reference: Johnson, Richard A. and Dean W. Wichern. Applied Multivariate Statistical Analysis, 6th edition. New Jersey: Prentice Hall, 2007.]

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