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Stat 425 Assignment2

The document contains a series of questions related to multivariate statistics, focusing on joint probability density functions, variance-covariance matrices, and moment generating functions. It includes specific tasks such as obtaining constants, mean vectors, and variances for given distributions. The questions also cover the interpretation of correlation coefficients and the distribution of linear combinations of random variables.

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Enoch Kurr
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11 views1 page

Stat 425 Assignment2

The document contains a series of questions related to multivariate statistics, focusing on joint probability density functions, variance-covariance matrices, and moment generating functions. It includes specific tasks such as obtaining constants, mean vectors, and variances for given distributions. The questions also cover the interpretation of correlation coefficients and the distribution of linear combinations of random variables.

Uploaded by

Enoch Kurr
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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STAT 425 MULTIVARIATE STATISTICS

Q1. Show that 1 R1 2


.23 (1 12
2
)(1 2
13 .2 ) with the usual notation.
Q2. The vector (X1, X2, X3) has the joint pdf

1
f (x1,x2,x3) C exp (X12 2X22 3X32 2X1 4X2X3 1)
2
0 distribution find
i) Obtain the Variance-Covariance matrix
ii) Find C iii) Write the
the mean vector 2
4 4 0
t
3
Q3. Let X (X1, X 2, X3) follow a N 2 , 0 4 2

1 3 2 4

i) Find R1.2,3 and interpret your answer


ii) Find 1.2,3

iii) Find E(X1 X 2 , X 3 ) iv)


Find Var(X1 X 2 , X 3 )

Q4. Let X p 1 ~ N( , ). Define Y a1X1 a2 X 2 .... apXp .


i) Obtain the Moment generating function Y of ii)
What is the distribution of Y ?
3 1 2

iii) Given X (X1, X2, X3)t follow a N 1 , 2 5

4 00
distribution of Y=X1+X2

1
1 2
y2 2xy 22x 14y 65)
Q5. If f (x, y) exp (2x
2 2
Find E(Y/X) and E(X/y)
0

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