given Y is a k by 1 vector, A is a p by k matrix, B is a p by 1 vector
how to prove $\displaystyle cov (AY+B) = A cov(Y) A^T$
where $\displaystyle cov(Y)$ is a k by k matrix with entries $\displaystyle cov(Y_i, Y_j)$
thanks
given Y is a k by 1 vector, A is a p by k matrix, B is a p by 1 vector
how to prove $\displaystyle cov (AY+B) = A cov(Y) A^T$
where $\displaystyle cov(Y)$ is a k by k matrix with entries $\displaystyle cov(Y_i, Y_j)$
thanks