Expected value and variance of trace function

For random variables $X \in \mathbb{R}^h$, and a positive semi-definite matrix $A$: Is there a simplified expression for the expected value, $\mathop {\mathbb E}[Tr(X^TAX)]$ and variance, $Var[Tr(X^TAX)]$? Please note that $A$ is not a random variable.

Answer

Since $X^TAX$ is a scalar, $$\text{Tr}(X^TAX)= X^TAX = \text{Tr}(AXX^T)$$ so that
$$\text{E}(X^TAX) = \text{E}(\text{Tr}(AXX^T)) = \text{Tr}(\text{E} (A XX^T)) =
\text{Tr}(A\text{E}(XX^T))$$
.

Here we have used that the trace of a product are invariant under cyclical permutations of the factors, and that the trace is a linear operator, so commutes with expectation. The variance is a much more involved computation, which also need some higher moments of $X$. That calculation can be found in Seber: “Linear Regression Analysis” (Wiley)

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Source : Link , Question Author : hearse , Answer Author : Community

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