Finding E[xAx’]

linear algebraprobability theory

Wikipedia has a section on "expectation of a quadratic form" E[x'Ax], however the approach they use doesn't directly apply to find E[xAx'], is there a simple expression for it?

Also, is there a name for xAx' quantity, something like weighted outer product matrix?

Best Answer

$x A x'$ does not make sense unless $A$ is a $1 \times 1$ matrix, in which case the problem reduces to computing $E[xx'] = (E[x_i x_j])_{i,j=1}^n = C + E[x] E[x']$ where $C = (\text{Cov}(x_i, x_j))_{i,j=1}^n$ is the covariance matrix of $x$.