Let X be a two-element zero-mean random vector. Suppose we construct a new random vector Y according to a linear transformation, . Find the transformation matrix, Y=TX, such that has a covariance matrix of T such that Y has a covariance matrix of
![](https://test.transtutors.com/qimg/46862237-9be4-4c3d-8e0b-0c0085ad17d8.png)
For this problem, assume that the covariance matrix of the vector X is an identity matrix.