15. Let the n x 1 random vector x have a normal density with mean vector equal...
Question:
15. Let the n x 1 random vector x have a normal density with mean vector equal to μ
and covariance matrix equal to D, where D is a diagonal matrix. Show that
$$
8[(x - \mu)'A(x - \mu)] = \sum_{i=1}^{n} a_{ii}d_i
$$
where $d_i$ is the i-th diagonal element of D.
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Related Book For
Matrices With Applications In Statistics
ISBN: 9780534980382
2nd Edition
Authors: Franklin A Graybill
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