Wishart Distribution Identification - Quant Trader Interview Question
Difficulty: Hard
Category: Linear Algebra & Machine Learning
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Topics: linear-algebra, probability, statistics, wishart-distribution
Problem Description
Let $X$ be a $p imes n$ matrix where each column is independently and identically distributed as $N(0, \Sigma)$, where $\Sigma$ is a $p imes p$ positive definite covariance matrix. What distribution does $X X^T$ follow?
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