Fall 2011 Strategic Practice 11: Section 2 (Multivariate Normal) - Question 1
Show that if is Multivariate Normal, then so is the subvector .
Solution: Consult iTunes course for full detailed solutions.
Any linear combination t1X1 + t2X2 can be thought of as a linear combination of X1, X2, X3 (where the coefficient of X3 is 0), so t1X1 + t2X2 is Normal for all t1, t2, which shows that (X1, X2) is MVN.
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