assume that s is a vector of states which is distributed according to a gaussian with mean $\mu$ and variance $\Sigma$. A is the state transition matrix
How can I proof that As ~ N(A$\mu$, A$\Sigma$A')??
I don't fully understand the notation if A is a state transition matrix and s a vector then As will be a vector containing all futures states, right? if the mean of As is A$\mu$, how can this be if $\mu$ is a scalar and A a matrix, then A$\mu$ will also be a matrix??
Thanks