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Let $A_{ij}$ be a random matrix, satisfying $A_{ii}=0$ and $A_{ij}=A_{ji}$. Suppose we know that $\operatorname{var}\left(\sum_{ij}A_{ij}v_{i}v_{j}\right)=0$ for any vector $v_i$. What can we say about the statistics of the entries $A_{ij}$?

The title of this question is meant only as an example: Does it follow that $\operatorname{var}(A_{ij})=0$ ? If this is not true, I am still interested what kind of constraints can be derived on the distribution of $A_{ij}$ from this assumption.

We know that

$$\operatorname*{var}\left( \sum_{ij}v_{i}v_{j}A_{ij} \right) = \sum_{ij}\sum_{i'j'} v_{i}v_{j} v_{i'}v_{j'} \operatorname*{cov}(A_{ij},A_{i'j'}) = 0$$

for any $v_i$. This must impose some constraints on the distribution of the entries $A_{ij}$. However I'm not sure this equation is sufficient to conclude that $\operatorname*{cov}(A_{ij},A_{i'j'}) = 0$, for example.

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    $\begingroup$ Do you mean $\operatorname{var}\left(\sum_{ij}A_{ij}v_{i}v_{j}\right)=0$ for all $v_i, v_j \in \mathbb R$? $\endgroup$
    – statmerkur
    Commented Dec 1 at 21:51
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    $\begingroup$ Consider the vector $v$ such that all the entries are zero except for two elements, label them $v_m$ and $v_n$, which equal one, for arbitrary $m, n$. What does the sum reduce to? What does this imply about the variance of $A_{mn}$? $\endgroup$
    – jbowman
    Commented Dec 1 at 22:00
  • $\begingroup$ @jbowman Right, this shows $\operatorname{var}(A_{mn})=0$. If you post an answer I'll accept it. $\endgroup$
    – a06e
    Commented Dec 1 at 22:17
  • $\begingroup$ Actually it seems I was missing a condition here which seems to make things more tricky, I might post a second question later on. $\endgroup$
    – a06e
    Commented Dec 1 at 22:18

1 Answer 1

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Consider the vector $v$ such that all the entries are zero except for two elements, label them $v_m$ and $v_n$, which equal one for arbitrary $m,n$. The sum

$$\sum_{ij}A_{ij}v_{i}v_{j}$$

equals $A_{mn}$, and, since the sum's variance equals zero, the variance of $A_{mn} = 0$ as well. Since $m$ and $n$ are arbitrary, it must be that the variances of all the entries in $A$ are individually equal to zero.

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