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Tut 06

The document contains code to generate random numbers and calculate their mean and covariance. It generates random vectors X and Y, calculates their theoretical and empirical covariance, and shows that cov(aX+b,X) = a*cov(X,X).

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Anuj Said
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6 views2 pages

Tut 06

The document contains code to generate random numbers and calculate their mean and covariance. It generates random vectors X and Y, calculates their theoretical and empirical covariance, and shows that cov(aX+b,X) = a*cov(X,X).

Uploaded by

Anuj Said
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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(a)

N=10000;
x=rand(N,1);
F=zeros(N,1);
% F(Y|X)=e^(x)*(e^(-x)-e^(-y))
for i=1:N
F(i)=2-log(1-x(i));
end
mean(F)

ans = 3.0029

%Numerically and theoretically we optimal predictor of Y|X=2 is 3.


%We did this by through MMSE predictor Linear Predictor

(b) 1

a=2

a = 2

b=3;
X = randn(N,1);
Y = randn(N,1);
% As cov(X,Y) = E(XY) - E(X)E(Y)
Z=X.*Y

Z = 10000×1
0.0768
-0.0004
-2.0947
-0.5937
-0.3483
-0.2673
0.1809
-0.0157
-0.0441
-0.0034

cov_th_matrix=zeros(2,2);
cov_th_matrix(1,2)=mean(Z)-mean(X)*mean(Y);
cov_th_matrix(2,1)=mean(Z)-mean(X)*mean(Y);
cov_th_matrix(1,1)=var(X);
cov_th_matrix(2,2)=var(Y);
cov_th_matrix

cov_th_matrix = 2×2
0.9942 -0.0083
-0.0083 0.9856

cov_emp=cov(X,Y)

1
cov_emp = 2×2
0.9942 -0.0083
-0.0083 0.9856

Z=a*X+b;
cov(Z,X)

ans = 2×2
3.9766 1.9883
1.9883 0.9942

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