0
$\begingroup$

Suppose that $n$-dimensional random vector $Y$ has covariance matrix $\Sigma$. It is well known that for any $a\in\mathbb{R}^n$ we have

\begin{align} var(a^TY)=a^T\Sigma a. \end{align}

Is there any similar interpretation for scalar product induced by $\Sigma$, i.e. for expressions of the form

\begin{align} a^T\Sigma b \end{align} given $a,b \in \mathbb{R}^n$?

Thank you for any comments.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.