Exercise 1.5.7 Let A be symmetric, Y dent χ2 N(0,V), and w, wi,... , Ws be...
Let A be symmetric, Y N(O,V), and w...,ws be indepen- dent X2(1) random variables. Show that for some value of sand some numbers λί Hint: YQZ so Y'AY~Z'OAQZ. Write Q'AQ PD()P
Question 4. (Jacod and Protter 20.2) Let (Y/),21 be a sequence of indepen- dent Bernoulli random variables, all defined on the same probability space, with distribution P(Y) = 1) = p and P(Y) = 0) = 1 - p. Show that X = Y, converges a.s. is distributed according to the binomial distribution, and that to p.
Let exp(-т*) + vk Yk where dent M and V N(0, o2 are mutually indepen R, k = 1, (a) Construct the likelihood T(y|x) and the negative log-likelihood. (b) Compute the maximum likelihood estimate îML (c) Bonus question: How does the estimate change if E(k) t0?
Let exp(-т*) + vk Yk where dent M and V N(0, o2 are mutually indepen R, k = 1, (a) Construct the likelihood T(y|x) and the negative log-likelihood. (b) Compute the maximum likelihood estimate...
Exercise 6.15. Let Z, W be independent standard normal random variables and-1 < ρ < l. Check that if X-Z and Y-p2+ VI-p-W then the pair (X, Y) has standard bivariate normal distribution with parameter ρ. Hint. You can use Fact 6.41 or arrange the calculation so that a change of variable in the inner integral of a double integral leads to the right density function.
Problem 4. Let X and Y be independent Geom(p) random variables. Let V - min(X, Y) and Find the joint mass function of (V, W) and show that V and W are independent
Slove 4.3.8
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axbycz d be the equation of a plane with normal Exercise 4.3.16 a. Show that w- (u x v) = u (vxw) = v x (w x u) holds for all vectors w, u, and v. n= C w and (u x v) + (vxw) +(wxu) b. Show that v- a. Show that the point on the plane closest to Po has vector p given by are orthogonal Exercise 4.3.17 Show u x (vxw) = (u w)v-...
Exercise 6.55 Let X and Y be random variables with joint density function f(x, y)- 4 0 otherwise Show that the joint density function of U = 3(X-Y) and V = Y is otherwise, where A is a region of the (u, v) plane to be determined. Deduce that U has the bilateral exponential distribution with density function fu (11) te-lul foru R.
Exercise 6.55 Let X and Y be random variables with joint density function f(x, y)- 4 0...
(5) Let Yi,...Y be independent random variables from a distribution with distribution function PlY Su)- Fu), and density function f(w). Now let Ya) be the minimum of all the observations. Show that the density function of Ya) is given by fm) (y) = n(1-F(v))"-1/(y) Hint: First write out the CDF, P(Ya) S y), then using independence of the observations put it in terms of the distribution function F(v), and then take the derivative to get the density.
(5) Let Y,... Y2 be independent random variables from a distribution with distribution function P(У у-F(y), and density function f(s). Now let yl) be the minim um of all the observations. Show that the density function of Yu) is given by ow let Y(1 Yo ()n(1 - F(w)-f(w) Hint: First write out the CDF. P(W1) y), then using independence of the observations put it in terms of the distribution function F(), and then take the derivative to get the density.]
and Y ~ Geometric - 4 Let X ~ Geometric We assume that the random variables X and Y are statistically independent. Answer the following questions: a (3 marks) For all x E 10,1,2,...^, show that 2+1 P(X>x) P(x (3 = Similarly, for all y [0,1,2,...^, show that Show your working only for one of the two identities that are pre- sented above. Hint: You may use the following identity without proving it. For any non-negative integer (, we have:...