Expectation
It can be shown that
where and are the expected value and variance-covariance matrix of, respectively, and tr denotes the trace of a matrix. This result only depends on the existence of and ; in particular, normality of is not required.
Read more about this topic: Quadratic Form (statistics)
Famous quotes containing the word expectation:
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But friends walk by friends.”
—William Butler Yeats (1865–1939)
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—Sophocles (497–406/5 B.C.)
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—Ralph Waldo Emerson (1803–1882)