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Covariance matrix of uniform spherical distribution - Cross Validated
https://stats.stackexchange.com/questions/22764/covariance-matrix-of-uniform-spherical-distribution
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I need to figure out the covariance matrix of a uniform spherical distribution. But there I can't even find a closed form of the distribution. This link says it is $\frac{1}{n}\mathbf{I}$, where $\