An 77,-dimensional Gaussian vector W has a block diagonal
Chapter 8, Problem 8.49(choose chapter or problem)
An 77,-dimensional Gaussian vector W has a block diagonal covariance matrix where C x is m,x m,, C y is (11,- m) x (11,-m ,). Show that W can be written in terms of component vectors X and Y in the form such that X and Y are independent Gaussian random vectors.
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