“…Next observe the upper block triangle of (19) is correct by construction of Q I,J,k i,j and by definition of the e i , and so we only have to prove that the lower-right block is correct. In particular, note that E((C j δ i,n − z n )(C j δ i,n − z n ) T ) = E((C j δ i,n )(C j δ i,n ) T )+Σ Z,I since z i,n is independent of δ i,n by (11). This implies that we have that as-lim n E((C j δ i,n − z n )(C j δ i,n − z n ) T ) = C j D i C T j + Σ Z,I .…”