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Q112Section III (Statistics)112 of 190

A linear combination of iid normal vectors by row-vector weights is scalar (univariate) normal

Suppose Y1,Y2Y_1,Y_2 and Y3Y_3 are independent and identically distributed pp-variate random vectors having normal distribution. Then the distribution of a1Y1+a2Y2+a3Y3a_1Y_1+a_2Y_2+a_3Y_3, where a1,a2,a3a_1,a_2,a_3 are vectors of order 1×p1\times p, is:

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