Question: Exercise 1.5.5 Let Y = (y1, y2) have a N(0, I ) distribution. Show that if A = 1 a a 1 B

Exercise 1.5.5 Let Y = (y1, y2)

have a N(0, I ) distribution. Show that if A =

1 a a 1

B =

1 b b 1

, then the conditions of Theorem 1.3.7 implying independence of Y AY and Y BY are satisfied only if |a| = 1/|b| and a = −b.What are the possible choices for a and b?

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