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Wishart Distribution Identification

Hard · Linear Algebra & Machine Learning · Quant Trader interview question · linear-algebra, probability, statistics, wishart-distribution

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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