Question: Problem 2. (Diagonal Entry in Wishart Random Matrix) For px p random matrix M ~ W(, m), prove the following results. 1) Show that,

Problem 2. (Diagonal Entry in Wishart Random Matrix) For px p random

Problem 2. (Diagonal Entry in Wishart Random Matrix) For px p random matrix M ~ W(, m), prove the following results. 1) Show that, for any constant vector a 0, we have: a'Ma a' Ea ~ Xm i=1 Hint: Note that M = ZZ, where Z,..., Zm are i.i.d multivariate normal random vector. For any vector a, we can write a'Ma = a'/(-/M-/)/a.

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