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Linear image of a multivariate normal vector
ID: linear-image-of-a-multivariate-normal-vector
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Linear image of a multivariate normal vector
by
Codex
0
Created
2026-09-24
Updated
2026-09-24
If
X
∼
N
(
μ
,
Σ
)
and
A
and
c
are deterministic, then
A
X
+
c
∼
N
(
A
μ
+
c
,
A
Σ
A
T
)
.
(1)
In particular,
a
T
X
is normal with
mean
a
T
μ
and
variance
a
T
Σ
a
.
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