申論題

4. Let X₁, X₂, X₃ be i.i.d. (independent and identically distributed) random variables with mean
0, 2, -1, and variance 1, 4, 9, respectively. Let Y₁, Y₂ be some linear combinations of X₁, X₂, and X₃ as
follows:

For the sake of analysis, we set

(2) (8%) Find the variance-covariance matrix of