向量的期望和方差

对于向量而言它的期望和方差公式如下：
设有一个向量$\mathbf{x}$:
$$\mathbf{x}=\left[\begin{array}{c}{x}_1\\ x_2\\ ⋮\\ x_n\end{array}\right]$$
它的期望为：
$$E(\mathbf{x})=\left[\begin{array}{c}E(x_1)\\ E(x_2)\\ ⋮\\ E(x_n)\end{array}\right]$$
它的属性有：
$$\begin{gathered} E({\mathbf{x}}_1+{\mathbf{x}}_2)=E({\mathbf{x}}_1)+E({\mathbf{x}}_2) \\ E(\mathbf{A}\mathbf{x})=AE(\mathbf{x}) \\ E(a\mathbf{x})=aE(\mathbf{x}) \end{gathered}$$
它的方差为：

$$\begin{gathered} \text{var}(\mathbf{x})=\text{E}[(x-\mu )(x-\mu {)}^T] \\ =\left[\begin{array}{cccc}\text{var}(x_1)& cov(x_1,x_2)& \dots & cov(x_1,x_n)\\ cov(x_2,x_1)& var(x_2)& \dots & cov(x_2,x_n)\\ \dots & \dots & \dots & \dots \\ cov(x_1,x_n)& \dots & \dots & var(x_n)\end{array}\right] \\ =\left[\begin{array}{cccc}(x_1-\mu {)}^2& (x_1-\mu )(x_2-\mu )& \dots & (x_1-\mu )(x_n-\mu )\\ (x_2-\mu )(x_1-\mu )& (x_2-\mu {)}^2& \dots & (x_2-\mu )(x_n-\mu )\\ \dots & \dots & \dots & \dots \\ (x_n-\mu )(x_1-\mu )& \dots & \dots & (x_n-\mu {)}^2\end{array}\right] \end{gathered}$$
方差的属性有：
$$\begin{gathered} \text{var}(\mathbf{A}\mathbf{x})=\text{E}[(\mathbf{A}\mathbf{x}-\mathbf{A}\mu )(\mathbf{A}\mathbf{x}-\mathbf{A}\mu {)}^T] \\ =\text{E}[\mathbf{A}(\mathbf{x}-\mu )(\mathbf{x}-\mu {)}^T{\mathbf{A}}^T] \\ =\mathbf{A}\text{E}[(\mathbf{x}-\mu )(\mathbf{x}-\mu {)}^T]{\mathbf{A}}^T \\ =\mathbf{A}\text{var}(\mathbf{x}){\mathbf{A}}^T \end{gathered}$$