Variance
In general, the variance of a quadratic form depends greatly on the distribution of . However, if does follow a multivariate normal distribution, the variance of the quadratic form becomes particularly tractable. Assume for the moment that is a symmetric matrix. Then,
In fact, this can be generalized to find the covariance between two quadratic forms on the same (once again, and must both be symmetric):
Read more about this topic: Quadratic Form (statistics)
Famous quotes containing the word variance:
“There is an untroubled harmony in everything, a full consonance in nature; only in our illusory freedom do we feel at variance with it.”
—Fyodor Tyutchev (1803–1873)