[R] help computing a covariance
Eugene Salinas (R)
r-eugenesalinas at comcast.net
Fri Jul 2 15:27:33 CEST 2004
(This is related to my posting on chi-squared from a day ago. I have
tried simulating this but I am still unable to calculate it analytically.)
Let y be an n times 1 vector of random normal variables mean zero
variance 1 and x be an n times k vector of random normal variables mean
zero variance 1. x and y are independent.
Then P is the projection matrix P=x*inv(x'*x)*x'
I need to figure out the covariance
Cov ( y'*P*y , (A'*x'*y)^2 ) where A is a constant of dimension k times 1.
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