X and Y are bivariate normal with mew 1 = mew 2 = 0 and var 1 = var 2 = 1 and correlation coefficient of rho. Find the distribution of Z = aX + bY (where a and b are non-zero).
I solved this by writing Z as a linear transformation of x and y and then applying the theorem that a transformation of a multivariate normal is also multivariate normal. I just wanted to compare my final answer with the correct solution.
EDIT: FInal solution is:
N2(2x1 zero vector matrix, [a b]' * [1 rho rho 1] * [a b])
Second matrix is 2x2 not sure how to write it...