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Results tagged with random-matrix
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user 11887
A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.
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Expected value and variance of trace function
Since $X^TAX$ is a scalar, $$\text{Tr}(X^TAX)= X^TAX = \text{Tr}(AXX^T)$$ so that
$$\text{E}(X^TAX) = \text{E}(\text{Tr}(AXX^T)) = \text{Tr}(\text{E} (A XX^T)) =
\text{Tr}(A\text{E}(XX^T))$$.
Here we …
- 82.8k
1
vote
Random matrix theory and research - a lot like doing linear algebra?
Go ahead! Within statistics, random matrices is used in multivariate analysis, a good "intro" is https://www.amazon.com/Aspects-Multivariate-Statistical-Theory-Muirhead/dp/0471769851 but is useful als …
- 82.8k