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Q157Section III (Statistics)157 of 190

When a linear transform of a spherical normal has uncorrelated components

Let X‾∼Nn(μ‾,σ2I)\underline X\sim N_n(\underline\mu,\sigma^2I) and A be a n×nn\times n matrix. Then Y‾=AX‾\underline Y=A\underline X are uncorrelated normally distributed if and only if which of the following conditions hold?

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