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:
“A youthful mind is seldom totally free from ambition; to curb that, is the first step to contentment, since to diminish expectation is to increase enjoyment.”
—Frances Burney (1752–1840)
“The expectation that every neurotic phenomenon can be cured may, I suspect, be derived from the layman’s belief that the neuroses are something quite unnecessary which have no right whatever to exist. Whereas in fact they are severe, constitutionally fixed illnesses, which rarely restrict themselves to only a few attacks but persist as a rule over long periods throughout life.”
—Sigmund Freud (1856–1939)
“In the United States, though power corrupts, the expectation of power paralyzes.”
—John Kenneth Galbraith (b. 1908)