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Q45Section ST (Statistics (Q11–Q65))45 of 65

Variance of a Wishart quadratic form

Let X1,X2,…,X5X_1, X_2, \dots, X_5 be i.i.d. random vectors following the bivariate normal distribution with zero mean vector and identity covariance matrix. Define 5×25 \times 2 matrix XX as X=(X1,X2,…,X5)TX = (X_1, X_2, \dots, X_5)^T. Further, let W=(Wij)=XTXW = (W_{ij}) = X^T X, and Z=W11+4W12+4W22Z = W_{11} + 4W_{12} + 4W_{22}. Then Var⁡(Z)\operatorname{Var}(Z) equals

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