List of top Statistics Questions on Multivariate Normal Distribution

Let \((X_1,X_2,X_3)^T\) follow a trivariate normal distribution with mean vector \(\mu\) and covariance matrix \(\Sigma\) given by
\[\mu=\begin{pmatrix}1\\1\\1\end{pmatrix}\quad\text{and}\quad \Sigma=\begin{pmatrix}2&1&1\\1&2&1\\1&1&2\end{pmatrix}.\]
Then \(\text{Var}(X_1\mid X_2=1,X_3=-1)\) equals ______ (rounded off to two decimal places).

Suppose that \(X = (X_1, \ldots, X_p)^T\) follows \(N_p(\mu, \Sigma)\), where \(\mu \in \mathbb{R}^p\) and \(\Sigma\) is a positive definite matrix. Let \(A\) be a \(p \times p\) matrix such that \(A^T A = I_p\).
Let \(Y = (Y_1, \ldots, Y_p)^T = AX\). Then which of the following statements is/are correct?

Suppose that \(X = (X_1, \ldots, X_p)^T\) follows \(N_p(0, \Sigma)\), where \(\Sigma\) is a positive definite matrix. Then which of the following statements is/are correct?

Let \(Y = (Y_1, Y_2, Y_3)^T \sim N_3(0, I_3)\), where \(I_3\) denotes the identity matrix of order \(3\). Let
\[ A = \begin{pmatrix} \frac{1}{3} & \frac{1}{3} & \frac{1}{3} \\ \frac{1}{3} & \frac{1}{3} & \frac{1}{3} \\ \frac{1}{3} & \frac{1}{3} & \frac{1}{3} \end{pmatrix} \quad \text{and} \quad B = I_3 - A. \] Let \(\chi_1^2\) denote chi-square distribution with \(1\) degree of freedom. Then which of the following statements is/are correct?

Given that \(X \sim N_3(\mu_1, \Sigma)\), where \(\mu_1 = (0\ 1\ 0)'\) and \(Y \sim N_3(\mu_2, \Sigma)\), where \(\mu_2 = (0\ -1\ 0)'\), then which of the following statements are true?
Statement 1: \((X+Y)^2\) has a central Chi-square distribution.
Statement 2: \((X-1)^2 + (Y+1)^2\) has a central Chi-square distribution.

Given that \(X=(X_1\ X_2\ X_3)' \sim N_3(\mu, \Sigma)\), where \(\mu=(0\ 0\ 0)'\) and \(\Sigma = \begin{pmatrix}1 & 0 & 0\\0 & 4 & -1\\0 & -1 & 1\end{pmatrix}\).
Which of the following is true?

Which of the following expressions of the multivariate normal density function describes the shape of the density curve?