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Linear combination of jointly normal random variables
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Area of mathematics
Probability and statistics
Probability theory
Probability distribution
Normal distribution
Multivariate Gaussian distribution
Created
2026-09-29
Updated
2026-10-05
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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
.
Ancestors
(8)
Multivariate Gaussian distribution
Normal distribution
Probability distribution
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2019
/
ia
/
Paper 2
/
11F
/
b
/
Solution
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