Question: Suppose that X is a multivariate random (column) vector with mean vector x and covariance matrix x. Form Y = AX, where A is a

Suppose that X is a multivariate random (column) vector with mean vector x and covariance matrix x. Form Y = AX, where A is a (possibly non-square) matrix. Specify the mean vector and covariance matrix of Y . If X is multivariate Gaussian prove that Y is multivariate Gaussian

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