Let's say $W$ is a symmetric matrix random variable, i.e., $W=W_{ij}$ with probability $P_{ij}$. We already know the definition of $\mathbf{E}[W]$. Is there a definition for $\mathbf{Var}[W]$? And does any relationship between $\mathbf{Var}[W], \mathbf{E}[W]$ and $\mathbf{E}[W^TW]$ exist?
2026-03-25 20:41:14.1774471274
Variance of random matrix?
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