Two state Tax returns

In 2018 I lived the entire 12 months in AZ. In addition to my 1040 I also filed return with AZ. I reported and was taxed on my salary as well as my investment income.  But Vanguard send my 1099 Div to my parent's house in CA.  I reported all my Vang invest income on my AZ return.  Now I receive letter from FTB in CA telling me that I need to file a tax return in CA for the investment income.  I think they received copy of the 1099-Div from Vanguard since it went to my parents home in CA.  I am 35 and not a dependent.  Advice please? Seems to me I was properly taxed by AZ for all of my income including the investment income.

Thank you.