n维正态各分量的线性组合服从正态分布的一个证明

A method to prove linear combinations of components of n-dimensional normal random variable obey normal distribution

利用微积分和矩阵代数的基本知识,证明了n维正态随机变量各分量的线性组合一定服从正态分布的结论.

This paper develops a method which uses basic knowledge of calculus and matrix algebra to prove that linear combinations of components of n-dimensional normal random variable certainly obey normal distribution.