Suppose I have a matrix, whereby $$cov(a, Bc) = cov(a,c)B^T$$
Why do we have $B^T$ from the covariance equation, and is this condition strict, when do I know that $$cov(a,Bc) = cov(a,c)B$$
Suppose I have a matrix, whereby $$cov(a, Bc) = cov(a,c)B^T$$
Why do we have $B^T$ from the covariance equation, and is this condition strict, when do I know that $$cov(a,Bc) = cov(a,c)B$$
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If $x, y$ are random vectors, then the covariance matrix is $xy^T$. Apply this and note that $(Bc)^T = c^TB^T.$ The result follows.