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ST4250 23S1 Assignment 1

The document provides instructions for submitting Assignment 1 for the course ST4250 Multivariate Statistical Analysis at the National University of Singapore. It includes 4 questions on multivariate normal distributions and properties. Students are asked to show their working and are reminded that copying others' solutions is not allowed. Submissions are due by 11:59 pm on September 21, 2022 as a PDF file.

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Loo Guan Yee
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65 views2 pages

ST4250 23S1 Assignment 1

The document provides instructions for submitting Assignment 1 for the course ST4250 Multivariate Statistical Analysis at the National University of Singapore. It includes 4 questions on multivariate normal distributions and properties. Students are asked to show their working and are reminded that copying others' solutions is not allowed. Submissions are due by 11:59 pm on September 21, 2022 as a PDF file.

Uploaded by

Loo Guan Yee
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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NATIONAL UNIVERSITY OF SINGAPORE

Department of Statistics and Data Science

2022/23 Sem 1 ST4250 Multivariate Statistical Analysis Assignment 1


Submit a soft copy of your solution in pdf format with filename “name student_number
Assign1.pdf” (e.g. Tan Ah Teck A1234567B Assign1.pdf) to the tutorial submission
folder in Canvas before 11:59 pm on 21/9/22 (Thursday). Late submission and photos
(e.g. jpg files) will not be accepted. You may convert your hard copy solution into a pdf
file using any scan Apps. Show all your workings leading to the answers or conclusions.
Please be reminded that copy others’ solutions is not allowed.

Question 1
Suppose 𝑌 ~ 𝑁3 (𝜇, Σ), where
𝑌1 3 6 1 −2
𝑌 = (𝑌2 ) , 𝜇 = (1) , Σ = ( 1 13 4 )
𝑌3 4 −2 4 4
(a) Find a vector 𝑎 such that 𝑎𝑇 𝑌 = 2𝑌1 − 𝑌2 + 3𝑌3 . Hence, find the distribution of 𝑍 =
2𝑌1 − 𝑌2 + 3𝑌3 .
𝑌 + 𝑌2 + 𝑌3
(b) Find a matrix 𝐴 such that 𝐴𝑌 = ( 1 ). Hence, find the joint distribution
𝑌1 − 𝑌2 + 2𝑌3
𝑊
of 𝑊 = ( 1 ), where 𝑊1 = 𝑌1 + 𝑌2 + 𝑌3 and 𝑊2 = 𝑌1 − 𝑌2 + 2𝑌3 .
𝑊2
𝑌
(c) Find the joint distribution of 𝑉 = ( 1 ).
𝑌3
𝑌1
(d) Find the distribution of 𝑍 = ( 𝑌3 ).
1
(𝑌1 + 𝑌2 )
2

Question 2
Suppose that the random vector 𝑋 = (𝑋1 𝑋2 𝑋3 )𝑇 has variance matrix
16 −2 4
Σ = (−2 4 1)
4 1 9
(a) Derive the correlation matrix Ρ = 𝑉 −1/2 Σ𝑉 −1/2 of X.
𝑋1 + 𝑋2 − 3
(b) Derive the variance matrix of the random vector 𝑊 = ( )
2𝑋1 − 𝑋2 + 𝑋3 + 1

Question 3
𝑌
Assume Y and X are subvectors, each of dimension 2 × 1, where ( ) ~ 𝑁4 (𝜇, Σ) with
𝑋
2 7 3 −3 2
−1 3 6 0 4
𝜇 = ( ), Σ = ( )
3 −3 0 5 −2
1 2 4 −2 4
(a) Find 𝐸(𝑌|𝑋).
(b) Find 𝑉𝑎𝑟(𝑌|𝑋)
3
(c) Find the conditional distribution of 𝑌 given 𝑥 = ( ).
−1

1
Question 4
Suppose that 𝑋1 , 𝑋2 , ⋯ , 𝑋𝑛 are 3 × 1 random vectors which are independent and identically
4 6 4 −2 𝑋̅1
1
distributed with mean (2) and variance matrix ( 4 4 1 ). Let 𝑋̅ = (𝑋̅2 ) = 𝑛 ∑𝑛𝑖=1 𝑋𝑖 .
1 −2 1 2 𝑋̅3
̅
𝑋𝑋 ̅
Find the asymptotic distribution of 𝑊 = ( ̅ 2 1 2̅ 2 ).
𝑋1 − 𝑋3

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