Let X~ N₂(μ, E), p≥ 2. Let (ui, Ai) (1 ≤ i ≤p) be the ith eigenvector-eigenvalue pair of Σ. Let Z, be the ith principal component (score). (a) What is Var (Z₁)? (b) What is the distribution of Z= (Z1, Z₂)'?

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