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4
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Accepted
Multivariate normal concentration
Let $ Y := Z^T \Sigma Z $. We have $ \operatorname{var}(Y) = \mathbb{E}(Y^2) - \mathbb{E}(Y)^2 $ and $ \mathbb{E}(Y) = \sum_i \sigma_{i, i} $. We thus need to compute $ \mathbb{E}(Y^2) $. For this, wr …