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Q156Section III (Statistics)156 of 190

Equicorrelated normals: sums of two coordinates share one law

Let X=(X1,X2,X3,X4)∼N4(0‾,Σ)X=(X_1,X_2,X_3,X_4)\sim N_4(\underline0,\Sigma) where

Σ=[1ρρρ ρ1ρρ ρρ1ρ ρρρ1]\Sigma=\begin{bmatrix}1&\rho&\rho&\rho\ \rho&1&\rho&\rho\ \rho&\rho&1&\rho\ \rho&\rho&\rho&1\end{bmatrix}

is positive definite. Then which of the following statements is true?

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