Suppose g is ntimesn non-negative definite and alpha is, Ask an Expert

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Suppose G is n×n non-negative definite, and α is n×1.

(a) Find an n×1 vector U of normal random variables with mean 0 and cov(U) = G. Hint: let V be an n×1 vector of independent N(0, 1) variables, and let U = G1/2V.

(b) How would you modify the construction to get E(U ) = α?

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