Question: Let X = (x 1 , . . . , x p ) be a p-dimensional random vector with independent and identically distributed entries x

Let X = (x₁, . . . , x_p) be a p-dimensional random vector with independent and identically distributed entries x_i such that [x_i] = 0 and [x_i²] = ² . Let M be a p p matrix. Show that [XMX] = tr(M) for some constant .

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