Question

For $n\geq 2$, let $\bar{\bf{X}}$ have an n-dimensional normal distribution $MVN(\bar{\mu},V)$ . For any $1 \leqslant m < n$ , let $\bar{\bf{X}_{1}}$ denote the vector consisting of the last n-m coordinates of $\bar{\bf{X}}$ .

a. Find the mean vector and variance covariance matrix of $\bar{\bf{X}_{1}}$

b. Show that $\bar{\bf{X}_{1}}$ is a (n-m) dimensional normal random vector.

Answer 1

Answer: