Expected value of square of sum over sum of squares

180 Views Asked by At

I need to obtain an analytical formula for the following expected value depending on $n$: $$ \mathbb{E}\left[\frac{\left( \sum_i^n X_i \right)^2 }{\sum_i^n X_i^2}\right], X_i \sim \mathcal{N}(\mu, \sigma^2) $$ All the $ X_i $ come from the same normal distribution. I derived that $ \mathbb{E}\left[\left( \sum_i^n X_i \right)^2 \right] = n^2 \mu^2 + n \sigma^2 $ and $ \mathbb{E}\left[\sum_i^n X_i^2 \right] = n \mu^2 + n \sigma^2 $ and actually checked it by sampling. However, the ratio of these two partial expected values does not provide the exact results for the overall expected value as they are correlated. The difference is not big, yet it is important to me as I am interested especially in expected values for small $n$. Any ideas how to account for the correlation and obtain an analytical formula for the expected value correctly?