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Assignment 1(Updated)

This document is an assignment for the SI 422: Regression Analysis course at IIT Bombay, due on January 18, 2021, for a total of 20 marks. It includes three problems related to probability density functions, limits of expected values, and convergence of random variables. Each problem has specific requirements and marks allocated.

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Aman Sharma
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8 views

Assignment 1(Updated)

This document is an assignment for the SI 422: Regression Analysis course at IIT Bombay, due on January 18, 2021, for a total of 20 marks. It includes three problems related to probability density functions, limits of expected values, and convergence of random variables. Each problem has specific requirements and marks allocated.

Uploaded by

Aman Sharma
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Assignment 1

SI 422: Regression Analysis

Department of Mathematics,
Indian Institute of Technology Bombay

Due on Monday January 18, 2021 Full Marks 20

Pk
1. Let X ∼ Np (0p , Ip ), A ∈ Rp be symmetric and idempotent, A = i=1 Ai and Rank(A) =
Pk p×p is symmetric for all 1 ≤ i ≤ k. Obtain the joint probability
i=1 Rank(A i ) where A i ∈ R
density function of X0 A1 X, X0 A2 X, . . . , X0 Ak X. (5)

2. Let {Xi } be a sequence of i.i.d. random variables with mean 0 and variance σ 2 > 0. Take
 2
1 Pn |X̄n |
X̄n = n i=1 Xi for all n ≥ 1. Compute lim E . (5)
n→∞ |X̄n | + 1
3. Let {Xn } be a sequence of random variables. If E(Xn ) → θ ∈ R and Var(Xn ) → 0, then show
P
that Xn → θ as n → ∞. Also show that the converse may not hold. (5+5=10)

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