I want to calculate the variance of a sum of linear combinations, so $$\operatorname{Var}\left(w'R_1 + w'R_2\right)$$ where $w$ is a $N\times 1$ vector and both $R_1$ and $R_2$ are $N\times 1$ vectors as well. I have a cross autocorrelation matrix $Q$ which is a $N\times N$ matrix. Now the covariance matrix of $R_i$ is denoted by $\Sigma_i$. Uhm I guess $\operatorname{Var}(w'R_i)=w'\Sigma_iw$.
Here is the thing $R_1$ and $R_2$ are correlated, hence the $Q$ matrix. How to calculate the above mentioned variance component?