Suppose X, Y, and Z are independent Gaussian random variables
with σx = 0.2, σy = 0.3, σz = 1, μx=3.0,
μy=7.7, and μz = 0 Determine the
following:
(a) The joint PDF of X, Y, and Z
(b) Pr( (7.6<Y<7.8) | (X<3, Z<0)
c) The Correlation matrix and covariance matrix of X, Y, and
Z