Covariance
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Extra Problem: Let Y1, Y2, ..., Yn be n independent normally distributed random variables as follow
Y; - N (Mi, 04), i = 1, 2, ..., n.
Let U = 2h-1 ajY; and W = 21- bịY;.
a) Derive the distribution of U.
b) Derive the joint distribution of U and W. Note: We need these results to find the marginal and joint
distributions of the OLS estimators in a linear regression model with normally distributed error terms.
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