Let X1 and X2 be independent standard normal random variables. Show that the joint distribution of

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Let X1 and X2 be independent standard normal random variables. Show that the
joint distribution of
Y, = a11X1+A12X2 + b1
Y2 = a2] X1 + A22X2+ b2
%3D
is bivariate normal.
Transcribed Image Text:Let X1 and X2 be independent standard normal random variables. Show that the joint distribution of Y, = a11X1+A12X2 + b1 Y2 = a2] X1 + A22X2+ b2 %3D is bivariate normal.
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