For point 2), I found how to do it.
It's described here, pages 87-88.
However, still don't know how to find .
I need some help here...
Have 2 r.v.'s , such that the PDF of is known and
Then I need to find
1) Best predictor of given , and of given .
So for this I do:
(the square root confuses me here)
2) Same as 1) but the predictors have to be linear
I don't know how to solve this