Exercise 1.8 Prove Theorem 1.3.9. Hints: Let V = QQ and write Y = +QZ, where Z N(0, I). Using |= to indicate

Exercise 1.8 Prove Theorem 1.3.9.

Hints: Let V = QQ and write Y = μ +QZ, where Z ∼ N(0, I). Using

|=

to indicate independence, show that



QAQZ

μAQZ

|=



QBQZ

μBQZ and that, say, YAY is a function QAQZ and μAQZ.