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Q157Section III (Statistics)157 of 190

Eigenvector rows diagonalize Σ\Sigma, guaranteeing independent marginals

Let X‾∼Nn(μ‾,Σ)\underline X\sim N_n(\underline\mu,\Sigma) where Σ\Sigma is a ++ve definite matrix. Then which of the following is a necessary condition for Y‾=AX‾\underline Y=A\underline X to have independently distributed marginal distributions?

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