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Suppose 21, 22, 23, 24 ~ N(0, 1) where 21, 22, 23, 24 are all independent....
1. Suppose that X1, X2, and X3 E(X1) = 0, E(X2) = 1, E(X3) = 1, Var(X1) = 1, Var(X2) = 2, Var(X3) = 3, Cov(X1, X2) = -1, Cov(X2, X3) = 1, where X1 and X3 are independent. a.) Find the covariance cov(X1 + X2, X1 - X3). b.) Define U = 2X1 - X2 + X3. Find the mean and variance of U.
Suppose that (Wn: n 2 0) is an autoregressive sequence of order 1, so that for n 2 0, where the Z's are i.i.d. and independent of Wo. a) Express Wn as a function of Wo, Z1, , Zn Suppose that |ρ| 〈 1 and var(WD+var(ZI) 〈 OO b) Compute cov(Wm, Wn) for m, n 2 0 c) Prove that there exists a deterministic constant a for which as n -oo and compute a. (Hint: Compute var(Wn)) Suppose, in addition,...
4. Suppose X1, . . . ,X, are independent, normally distributed with mean E(Xi) and variance Var(X)-σί. Let Żi-(X,-μ.)/oi so that Zi , . . . , Ζ,, are independent and each has a N(0, 1) distribution. Show that LZhas a x2 distribution. Hint: Use the fact that each Z has a xî distribution i naS
FRI (2+2+3=7 points) Suppose (X1,X2) has joint pmf 9! za2(9-21-1/2)9-71-+9, X1,X2(T1, 2) where z1, z2 are integers , 1, 2 2 0,1 + 2 s 9. Find (a) E(X2), (b) cov XI, X2), (e) E(xiX2 3) (conditional mean of Xi given X2 3. Ans. (a) Ans. (b) Ans. .(c) FRI (2+2+3=7 points) Suppose (X1,X2) has joint pmf 9! za2(9-21-1/2)9-71-+9, X1,X2(T1, 2) where z1, z2 are integers , 1, 2 2 0,1 + 2 s 9. Find (a) E(X2), (b) cov...
3. (25 pts.) Let X1, X2, X3 be independent random variables such that Xi~ Poisson (A), i 1,2,3. Let N = X1 + X2+X3. (a) What is the distribution of N? (b) Find the conditional distribution of (X1, X2, X3) | N. (c) Now let N, X1, X2, X3, be random variables such that N~ Poisson(A), (X1, X2, X3) | N Trinomial(N; pi,p2.ps) where pi+p2+p3 = 1. Find the unconditional distribution of (X1, X2, X3). 3. (25 pts.) Let X1,...
5. Let X1,X2, . , Xn be a random sample from a distribution with finite variance. Show that (i) COV(Xi-X, X )-0 f ) ρ (Xi-XX,-X)--n-1, 1 # J, 1,,-1, , n. OV&.for any two random variables X and Y) or each 1, and (11 CoV(X,Y) var(x)var(y) (Recall that p vararo 5. Let X1,X2, . , Xn be a random sample from a distribution with finite variance. Show that (i) COV(Xi-X, X )-0 f ) ρ (Xi-XX,-X)--n-1, 1 # J,...
Let X1, X2, , xn are independent random variables where E(X)-? and Var(X) ?2 for all i = 1, 2, , n. Let X-24-xitx2+--+Xy variables. is the average of those random Find E(X) and Var(X).
3. [20 marks] Consider the multinomial distribution with 3 categories, where the random variables Xi, X2 and X3 have the joint probability function where x = (zi, 2 2:23), θ = (θί, θ2), n = x1 + 2 2 + x3, θι, θ2 > 0 and 1-0,-26, > 0. (a) [4 marks] Find the maximum likelihood estimator θ of θ. (b) [4 marks] Find that the Fisher information matrix I(0) (c) [4 marks] Show that θ is an MVUE. (d)...
Suppose X1, X2, Xz~exp(1) and they are independent. (a) Compute the cdf of X1 (b) Let Y- max(Xi, X2, X3). Find the cdf of Y (c) Derive the pdf of Y
1. Let Z = (Z1, Z2, Z3) be a vector with i.i.d. N(0, 1) components. Let r be a constant with 0 < r < 1. Define X1 = √ rZ1 + √ 1 − rZ2 and X2 = √ rZ1 + √ 1 − rZ3. (a) Give the distribution of X1 and the distribution of X2. Find Cov(X1, X2). (b) Give the matrix A so that the vector X = (X1, X2) is a transform X = AZ. Give...