It is true. As x and m have the same dimension say pxq, simply multiply out each side of your equation, you should get pxp in both cases.
That is exactly what I was thinking. Unfortunately problem I need to solve is this:
where
Prove that the expression for the covariance matrix (above) can be rewritten as:
I might have split the question wrong before. Anyone who sees now how you can rewrite the expression?