Let X be a random n-vector and let Y be a random vector with Y1 = X1,...

Let X be a random n-vector and let Y be a random vector with Y₁ = X₁,

a. If the X_i are independent random variables with variances σ², find the covariance matrix of Y.

b. If the Y_i are independent random variables with variances σ², find the covariance matrix of X.