A = matrix(c(1/sqrt(2),-1/sqrt(2),1/sqrt(2),1/sqrt(2)),2,byrow = TRUE)
covX = matrix(c(3,2.9,2.9,3),2)
E = c(0,2)

#M1 = matrix(c(1,1,1,2),2)
#M2 = matrix(c(1,2),1)

EY = A%*%E
CovY = A%*%covX%*%t(A)

ellipse(E,covX,alpha = 0.1,newplot = TRUE, draw = TRUE)