For n 2, let ​ have n-dimensional normal distribution MN( ​ ,  ). For any 1  m < n , let ​1 denote the vector consisting of the last n-m coordinates of ​.

a) Find the mean vector and the variance-covariance matrix of ​1.

b) Show that ​1 is a (n-m) dimensional normal random vector.

Could you please solve and provide detailed explanations on how to solve this? Thank you!

 

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