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If Xp×1∼Np(μ,Σ)X_{p\times1}\sim N_p(\mu,\Sigma)Xp×1​∼Np​(μ,Σ)​​, then AX follows, where A is a matrix of rank q≤p,\leq p,≤p,​​​
Question

If Xp×1∼Np(μ,Σ)X_{p\times1}\sim N_p(\mu,\Sigma)​​, then AX follows, where A is a matrix of rank q≤p,\leq p,​​​

A.

​Np(Aμ,AΣA′)N_p(A\mu,A\Sigma A')​​

B.

​Nq(Aμ,AΣA′)N_q(A\mu,A\Sigma A')​​

C.

​Np(Aμ,A′ΣA)N_p(A\mu,A'\Sigma A)​​

D.

​Nq(Aμ,A′ΣA)N_q(A\mu,A'\Sigma A)​​

Correct option is B

Given:AμA\mu​
​X∼Np(μ,Σ)X\sim N_p(\mu,\Sigma)​​​
A is a q×pq\times p​​ matrix of rank q.
Formula Used:
If X∼Np(μ,Σ)X\sim N_p(\mu,\Sigma).​, then
​AX∼Nq(Aμ,AΣA′).AX\sim N_q(A\mu,A\Sigma A').​
Solution:
Since A has q rows, AX is a q-dimensional random vector.
Its mean is  and its covariance matrix is AΣA′.A\Sigma A'.​​​
Hence,
​AX∼Nq(Aμ,AΣA′).AX\sim N_q(A\mu,A\Sigma A').​​​
The correct answer is (b) Nq(Aμ,AΣA′). N_q(A\mu,A\Sigma A').​

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