11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)...
= = 3, Cov(X1, X2) = 2, Cov(X2, X3) = -2, Let Var(X1) = Var(X3) = 2, Var(X2) Cov(X1, X3) = -1. i) Suppose Y1 = X1 - X2. Find Var(Y1). ii) Suppose Y2 = X1 – 2X2 – X3. Find Var(Y2) and Cov(Yı, Y2). Assuming that (X1, X2, X3) are multivariate normal, with mean 0 and covariances as specified above, find the joint density function fxı,Y,(y1, y2). iii) Suppose Y3 = X1 + X2 + X3. Compute the covariance...
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.
how to calculate cov(x1,x2), cov(x2,x3),cov(x3,x1)? and how to calculate var(x1),var(x2),var(x3)? Given three random variables Xi, X2, and X such that X[Xi X2 X 20 -1 E [X] ,1-10 | and var(X)=Σ-| 0 3 0. 1 0.5 1 compuite: 2
Let X1, X2, X3 be independent random variables with E(X1) = 1, E(X2) = 2 and E(X3) = 3. Let Y = 3X1 − 2X2 + X3. Find E(Y ), Var(Y ) in the following examples. X1, X2, X3 are Poisson. [Recall that the variance of Poisson(λ) is λ.] X1, X2, X3 are normal, with respective variances σ12 = 1, σ2 = 3, σ32 = 5. Find P(0 ≤ Y ≤ 5). [Recall that any linear combination of independent normal...
Suppose that X1, X2, X3 and X4 are independent Poisson where E[X1] = lab E[X2] = 11 – a)b E[X3] = da(1 – b) E[X2] = X(1 — a)(1 – b) for some a and b between 0 and 1. Let S = X1 + X2+X3+X4, R= X1 + X2 and C = X1 + X3. (a) Find P(R = 10) (b) Find P(X1 = 6 S = 16 and R= 12). (c) Suppose we want to condition on the...
3) Let (x, y), (X2, y2), and (X3. Y3) be three points in R2 with X1 < x2 < X3. Suppose that y = ax + by + c is a parabola passing through the three points (x1, yı), (x2, y), and (x3, Y3). We have that a, b, and c must satisfy i = ax + bx + C V2 = ax + bx2 + c y3 = ax} + bx3 + c Let D = x X2 1....
Please send the detail solution ASAP Assume X = [X1, X2, X3, X4]T ~ N(µ, C). Consider [1 2 2 6 7 8. µ = E[X] C= 3 7 11 12 4 8 12 16 o What is the pdf of px,(x) ? o What is the pdf of px1,X3(x1, 13) ? O Determine E[X2] ? O Determine E[X2 + X3] ? O Determine E[(X2 – X2)²] ? O Determine E[(X2 – X2)(X3 – X3)] ? O Determine E[X2X3] ?
4.) Let X1, X2 and X3 be independent uniform random variables on [0,1]. Write Y = X1 + X, and Z X2 + X3 a.) Compute E[X, X,X3]. (5 points) b.) Compute Var(x1). (5 points) c.) Compute and draw a graph of the density function fy (15 points)
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).
Let X- (Xi, X2,X3) be an absolutely continuous random vector with the joint probability density function elsewhere. Calculate 1. the probability of the event A -(Xs 3. the probability density function xx (,s) of the (XX)-marginal 4. the probability density function fx, () of the Xi-marginal, and the probability density function fx (r3) of the X3-marginal 5. Are Xi and X independent random variables? 6. E(Xi) and Var(X) 8. the covariance cov(Xi, X3) of Xi and X,3 9. Which elements...