Skip to main content
1 of 3
Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229

Let $X:=\mathbf x$. For each nonrandom vector $a$, the real-valued function $g$ defined on the set of all symmetric positive-definite matrices by the formula $g(A):=a'A^{-1}a$ is convex. So, by Jensen's inequality, $$a'E(XX')^{-1}a=Ea'(XX')^{-1}a=Eg(XX')\ge g(EXX')=a'(EXX')^{-1}a.$$ So, $$E(XX')^{-1}\ge(EXX')^{-1},$$ as desired.

Iosif Pinelis
  • 127.7k
  • 8
  • 107
  • 229