Let $X \in \text{Random}(\mathbb{R}^{N \times 1})$ be a D5210: Random real column matrix such that

(i)	\begin{equation} \mathbb{E} |X|^2 < \infty \end{equation}

Let $a \in \mathbb{R}^{N \times 1}$ be a D5200: Real column matrix.

Then \begin{equation} \mathbb{E} |X - \mathbb{E} X|^2 = \mathbb{E} |X - a|^2 - |\mathbb{E} X - a|^2 \end{equation}