Let X be an n-dimensional random vector and the random vector Y be defined as Y = AX + b, where A is a fixed m by n matrix and b is a fixed m-dimensional vector. Show that CY = ACXAT .

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter3: Matrices
Section3.7: Applications
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Let X be an n-dimensional random vector and the random vector Y be defined as

Y = AX + b,

where A is a fixed m by n matrix and b is a fixed m-dimensional vector. Show that

CY = ACXAT .

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