Let w be an m times 1 vector with covariance matrix sigmaw
Question: Let W be an m × 1 vector with covariance matrix Σw, where Σw is infinite and positive definite. Let c be a nonrandom m x 1 vector, let Q = c'W-
a. Show that var(Q) = c'Σwc.
b. Suppose that c ≠ 0m. Show that 0 < var(Q) < ∞.
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