Suppose $Z \sim N(0, \Sigma)$ and define $\widetilde{Z} \overset{\text{def}}{=}Z/\|Z\|_2$. Is there a closed-form distribution for $P \overset{\text{def}}{=} \widetilde{Z} \widetilde{Z}^\intercal$? I'm willing to accept just computing $\mathbb{E} P$.
2026-02-23 03:30:24.1771817424
Distribution of outer product of two uniform r.v.'s on ellipsoid
38 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in PROBABILITY
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