0
$\begingroup$

What I have is a bivariate vector W and a constant 6x2 Matrix B, what would the resulting distribution then be of BW? Can it be posed as a multivariate normal vector with a certain Covariance Matrix? I thought the covariance matrix would simply be BAB' where A is the covariance matrix of W, but this doesn't seem to work for me.

The reason I ask is that I need the PDF of BW.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.