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QUESTION
For n \ge 2, let \vec{X} have n-dimensional normal distribution MN( \vec{\mu} , \mathbf{V} ). For any 1 \le m n , let \vec{X} 1 denote the vector...
For n 2, let have n-dimensional normal distribution MN( , ). For any 1 m < n , let 1 denote the vector consisting of the last n-m coordinates of .
a) Find the mean vector and the variance-covariance matrix of 1.
b) Show that 1 is a (n-m) dimensional normal random vector.
Could you please solve and provide detailed explanations on how to solve this? Thank you!
