There was one assumption in the StackExchange post I didn’t immediately get, that the variance of y=Ax is AΣAT. But I just realized the proof for that is rather short: Assuming Σ (the variance of x) is the identity then the left side is Var(yi)=Var(Aijxj)=∑jA2ijVar(xj)=∑jA2ij and the right side is (AAT)i=∑jAij(AT)ji=∑jA2ij so this works out. (The ∑ symbols are sums here.)
Thanks for finding this!
There was one assumption in the StackExchange post I didn’t immediately get, that the variance of y=Ax is AΣAT. But I just realized the proof for that is rather short: Assuming Σ (the variance of x) is the identity then the left side is
Var(yi)=Var(Aijxj)=∑jA2ijVar(xj)=∑jA2ij
and the right side is
(AAT)i=∑jAij(AT)ji=∑jA2ij
so this works out. (The ∑ symbols are sums here.)