Quote:
Originally Posted by magdon
You got it mostly right. Your error is assuming both term, the H term and the one without the H give an N to cancel the N in the denominator. One term gives an N and the other gives a (d+1).

Yes I realize that only one term should have the N so the issue must be in how I'm expanding the expression.
I think my problem is how I'm looking at the trace of the
matrix.
I'm under the impression that
produces an NxN matrix with a diagonal of all
values and 0 elsewhere. I come to this conclusion because the
are all independent so when multiplied together the covariance of any two should be zero while the covariance of any
should be the variance of
. So then the trace of this matrix should have a sum along the diagonal of
, shouldn't it?