Let x andnbsp y be jointly gaussian random variables - show
Let X and Y be jointly Gaussian random variables.
Show that is also a Gaussian random variable.
Hence, any linear transformation of two Gaussian random variables produces a Gaussian random variable.
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let x andnbsp y be jointly gaussian random variablesshow thatnbspnbspis also a gaussian random variablehence any linear
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is also a Gaussian random variable.