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:
“I have no expectation that any man will read history aright who thinks that what has been done in a remote age, by men whose names have resounded far, has any deeper sense than what he is doing to-day.”
—Ralph Waldo Emerson (1803–1882)
“The joy that comes past hope and beyond expectation is like no other pleasure in extent.”
—Sophocles (497–406/5 B.C.)
“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)