Suppose is an n1 random vector with E( ) = 0. Show that cov( ) =

Suppose ξ is an n×1 random vector with E(ξ ) = 0. Show that cov(ξ ) =

E(ξ ξ 

).

Notes. Generally, cov(ξ ) = E(ξ ξ 

) − E(ξ )E(ξ 

) and E(ξ 

) = [E(ξ )]



.