Question: Xi = u + Zi, for i = 1,..., n, where u ~ N(0,0), and is independent of 21,...,n N(0,0%). Find the PDF of

Xi = u + Zi, for i = 1,..., n, where u ~ N(0,0), and is independent of 21,...,n " N(0,0%). Find the PDF of the conditional distribution of X1,..., X, from the joint distribution of (u, X1,...,xn). In inverting the covariance matrix, you may need to use this formula: (In + auv')-1 = In v'u+a-T where u, v are two column vectors of length n. 9 uu

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