[Math] Variance of Transformed Random Vectors

normal distributionprobability distributionsprobability theoryself-learning

Consider an $n$-dimensional normal random vector $\mathbf X:= (X_1, \dots, X_n)^T$ with mean $\mathbf 0$ and covariance matrix $\mathbf \Sigma$. Now define a new random vector $\mathbf Y:= (a_1X_1, \dots, a_nX_n)^T$, where $a_1, \dots, a_n$ are distinct constants. What is the distribution of $\mathbf Y$, please? I vaguely remember that $\mathbf Y$ should still be a normal random vector with mean $\mathbf 0$. However, I cannot figure out its covariance matrix. Could anyone help me, please? Thank you!

Best Answer

You have $$Y=Diag(a_1,\dots,a_n)(X_1,\dots,X_n)^T$$

So $Y$ is normally distributed as a linear transform of a normally distributed vector.

Now you have the following properties for random vector $X$ and a (non-random) matrix $A$: $$E(AX)=AE(X)$$ This implies that $E(Y)=0$. $$V(AX)=AV(X)A^T$$ From this you can find the covariance matrix of $Y$. You can also find it "by hand" by calculating $Cov(Y_i,Y_j)$ for $1\leq i,j\leq n$.

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