Let $\Sigma \in \mathbb{R}^{n \times n}$ be a positive definite matrix and $\mu$ be the Haar measure over all orthogonal matrices $\in \mathbb{R}^{n\times n}$.
What is
$$\mathbb{E}_{R \sim \mu} \left[R\cdot\textrm{diag}(R^\top \Sigma R) \cdot R^\top\right]?$$
2026-03-26 17:33:33.1774546413
Expectation w.r.t. Haar measure of $R\cdot\text{diag}(R^\top \Sigma R) \cdot R^\top$
62 Views Asked by user122283 https://math.techqa.club/user/user122283/detail AtRelated Questions in PROBABILITY
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