Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2008/p/4/b/solution

The first column is five times . Its orthogonal companion in the first-and-third-coordinate plane is , and the second column has positive residual seven times that vector. The remaining coordinate directions can therefore be read off immediately rather than performing a general four-dimensional orthogonalization. One obtains
The columns of are visibly orthonormal. Taking their inner products with each column of the given matrix gives the displayed , which also verifies and positive diagonal entries.

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