Suppose that two random variables X1 and X2 have a

Chapter 5, Problem 10

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Suppose that two random variables X1 and X2 have a bivariate normal distribution, and two other random variables Y1 and Y2 are defined as follows: Y1 = a11X1 + a12X2 + b1, Y2 = a21X1 + a22X2 + b2, where a11 a12 a21 a22 = 0. Show that Y1 and Y2 also have a bivariate normal distribu

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