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What is Jointly Gaussian Random Variables Explained about?

1) Jointly Gaussian random variables have a joint characteristic function that is the exponential of a quadratic form, where the quadratic form depends on the means and covariance matrix of the variables. 2) Any linear combination of jointly Gaussian random variables is also Gaussian. Additionally, conditional expectations of jointly Gaussian variables take an affine form. 3) The document provides theorems and proofs regarding properties of jointly Gaussian random variables, such as their characteristic

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naghibianmajid

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EN