The multivariate normal random variables

Reference no: EM131059948

Prove Theorem 2.13.

THEOREM 2.13

The multivariate normal random variables X _I , X₂, . X_kare mutually independent if and only if they are pairwise uncorrelated. The proof consists of invoking Theorem 2.10 and using the moment generating function (Eq. 2.97) (see Exercise 2.1).

THEOREM 2.10

A set of multivariate normal variates X 1 , X2, . . . Xk are independent if and only if X is diagonal.

Reference no: EM131059948

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