Question: Suppose X is a k 1 random vector with E(|X| 2) < and covariance matrix . Let A be an m k

Suppose X is a k × 1 random vector with E(|X|

2) < ∞ and covariance matrix . Let A be an m × k (nonrandom) matrix and let Y = AX. Show Y has mean vector AE(X) and covariance matrix AA.

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