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Q112Section III (Statistics)112 of 190

Linear combinations of iid trivariate normal vectors

Suppose X1,X2,X3X_1,X_2,X_3 and X4X_4 are independent and identically distributed tri-variate random vectors having normal distribution. Then the distribution of a1X1+a2X2+a3X3+a4X4a_1X_1+a_2X_2+a_3X_3+a_4X_4, where a1,a2,a3,a4a_1,a_2,a_3,a_4 are real numbers, is:

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