$\newcommand{\one}{\mathbf 1}\newcommand{\convd}{\stackrel{\text d}\to}\newcommand{\convp}{\stackrel{\textp}\to}\newcommand{\p}{\mathbf p}\newcommand{\0}{\mathbf 0}\newcommand{\X}{\mathbf X}\newcommand{\Mult}{\text{Mult}}\newcommand{\E}{\operatorname{E}}\newcommand{\e}{\varepsilon}\newcommand{\Var}{\operatorname{Var}}\newcommand{\R}{\mathbb R}\newcommand{\rank}{\operatorname{rank}}\newcommand{\H}{\mathcal H}$Let $X$ be a continuous random vector in $\mathbb R^n$ with distribution $P_X$…