Hello,
Does anyone there know how to calculate the expected value of the nice expression below
y' X inv(X' X) X' y
where y ~ Nn(0, Sy)
and X~ Nn,p (0,U,V)
for the general case of any Sy (nxn) definite positive
and any U (nxn) and V (pxp) definite positive?
THANK YOU in advance for your help.
Bernard Pelletier, Ph.D.
Natural Resource Sciences
Macdonald Campus, McGill University
Ste-Anne-de-Bellevue, QC
Canada, H9X 3V9
e-mail: [log in to unmask]
tel: (514) 398-7851 ext.7572
fax:(514) 398-7990
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