Gaussian empirical Gram matrix

ID: gaussian-empirical-gram-matrix

For a matrix with independent standard normal entries, is a Gaussian empirical Gram matrix and has expectation equal to the identity. With mean known to be zero it is the raw empirical second moment. Subtracting a sample mean would give a different estimator. On any fixed unit vector its quadratic form is a chi-squared variable divided by .

New to topics? Read the docs here!