Find a transformation matrix a for the vector

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Reference no: EM13283621

A zero mean gaussian random vector X=(X1, X2)T has a covariance matrix given by K=[ 3 -1 -1 3 ] Find a transformation matrix A so that the vector Y=AX is a gaussian random vector with uncorrelated (and therefore independent) components of unity variance.

Reference no: EM13283621

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