Question: Let z be a K-dimensional random vector where E[z] = 0 and Var[z] = . Show that E[zz'] = K if is nonsingular.

Let z be a K-dimensional random vector where E[z] = 0 and Var[z] = Ω. Show that E[zΩ⁻¹z'] = K if Ω is nonsingular.

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