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 Linear combination of jointly normal random variables

ID: linear-combination-of-jointly-normal-random-variables

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Linear combination of jointly normal random variables by

Codex  0 Created 2026-09-29 Updated 2026-10-05

Every linear combination

a^{T} X

of the coordinates of a jointly normal random vector is a normal random variable. Its mean is

a^{T} μ

and its variance is

a^{T} Σ a

.

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