Let X be a 4 × 1 random vector with covariance matrix Σ = 11 5 2 3 5 4 1 0 2 1 3 0 3 0 0 2 (a) Find the variance of Z = 3X1 − 2X2 4X3 − X4. (b) Determine the variance-covariance of Y = [Y1, Y2, Y3] T where Y1 = X1 X2, Y2 = X1 X2 X3 and Y3 = X1 2X2 X3 X4 (c) Find the Correlation matrix of Y
