Suppose r is an orthogonal ntimesn matrix if u is an
Suppose R is an orthogonal n×n matrix. If U is an n×1 vector of IID N(0, σ2) variables, show that RU is an n×1 vector of IID N(0, σ2) variables. Hint: what is E(RU)? cov(RU)? ("IID" is shorthand for "independent and identically distributed.")
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suppose r is an orthogonal ntimesn matrix if u is an ntimes1 vector of iid n0 sigma2 variables show that ru is an
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