Ok so i have X and Y that are independent standard random variables, each with mean = 0 and variance = 1

i.e X = AY

i need to get the covariance matrix of X.

i Know the format of the covariance matrixie

a11 = (sigma1)^2 a21= correlation co-efficient*sigma1*sigma2

a12= correlation co-efficient*sigma1*sigma2 a22= (sigma2)^2

Ok so if we are only looking for the covariance matrix of X? Does that mean we have a 2*1 matrix with 1 being in the location a11, and zero being in a21?? Or is it simply the identity matrix??