Variance of the Euclidean norm of a multivariate random vector from its covariance matrix

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Alex Minetto
Alex Minetto el 15 de Jul. de 2020
Editada: Alex Minetto el 15 de Jul. de 2020
Given a general random vector and its covariance matrix , is it possible to compute the variance of its Euclidean norm based on its covariance matrix ?

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