grandes-ecoles 2022 Q29

grandes-ecoles · France · centrale-maths1__pc Discrete Random Variables Covariance Matrix and Multivariate Expectation

We set $A_2 = \operatorname{diag}(9, 5, 4)$. Justify the existence of a random vector whose covariance matrix is $A_2$.

We set $A_2 = \operatorname{diag}(9, 5, 4)$. Justify the existence of a random vector whose covariance matrix is $A_2$.