Let (mathbf{x}) be a random vector and (boldsymbol{V}) its variance matrix. Show that (mathbf{x}^{top} boldsymbol{V}^{-1} mathbf{x}) is
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Let \(\mathbf{x}\) be a random vector and \(\boldsymbol{V}\) its variance matrix. Show that \(\mathbf{x}^{\top} \boldsymbol{V}^{-1} \mathbf{x}\) is invariant under linear transformation. More precisely, let \(\boldsymbol{A}\) be some nonsingular square matrix, \(\mathbf{x}^{\prime}=\boldsymbol{A} \mathbf{x}\), and \(\boldsymbol{V}^{\prime}\) the variance of \(\mathbf{x}^{\prime}\). Then, \(\mathbf{x}^{\prime \top}\left(\boldsymbol{V}^{\prime}\right)^{-1} \mathbf{x}^{\prime}=\mathbf{x}^{\top} \boldsymbol{V}^{-1} \mathbf{x}\).
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Applied Categorical And Count Data Analysis
ISBN: 9780367568276
2nd Edition
Authors: Wan Tang, Hua He, Xin M. Tu
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