MathDB
Miklos Schweitzer 1969_12

Source:

October 15, 2008
vectorlinear algebramatrixprobability and stats

Problem Statement

Let A A and B B be nonsingular matrices of order p p, and let ξ \xi and η \eta be independent random vectors of dimension p p. Show that if ξ,η \xi,\eta and \xi A\plus{} \eta B have the same distribution, if their first and second moments exist, and if their covariance matrix is the identity matrix, then these random vectors are normally distributed. B. Gyires
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