For X distributed as find the distribution of
To find the distribution of the given matrix, let's denote the random vector \( X \) as \( X = (X_1, X_2, X_3)^T \), where \( X_1, X_2, X_3 \) are normally distributed with mean vector \( \mu \) and covariance matrix \( \Sigma \).
Now, let's compute the given matrix:
\[
\begin{bmatrix} X_1 & -X_2 & X_3 \\ -X_1 & X_2 & X_3 \end{bmatrix}
\]
This matrix operation essentially constructs two new random variables from \( X_1, X_2, X_3 \). Let's denote these new variables as __________ ___ ____ _______ _____ _____.
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