All Questions
1 question
0
votes
1
answer
181
views
expectation of a quadratic function of a matrix variate normal distribution
I want to compute the following expectation term:
$E[{\bf{XA}}{{\bf{X}}^T}]$
where ${\bf X} \in R^{M \times M}$ and its elements are normal random variables such that
$vec\left( {\bf{X}} \right)\...