6. (13 marks) where {U, } ~ WN(0,00) is Consider two independent AR(1) series< independent of {K} ~ WN(0,OF). Does their sum Z,-X,-X necessarily follow an AR(1) series? Prove or disprove. (Hint: C...
6. Consider the Cauchy problem for the advection equation, u +cu0, where c>0 a) Expand u(z,t + k) in a Taylor series up to O(k3) terms. Then use the advection equation to obtain c2k2 uzz(x, t) + O(k"). u(z, t + k) u(x, t) _ cku(x, t) +- b) Replace u and ur by centered difference approximations to obtain the explicit scheme This is the Lax-Wendroff method. It is von Neumann stable for 0 < 8 < 1 and it...
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:...
Question 8 (Chapters 6-7) 12+2+2+3+2+4+4-19 marks] Let 0メS C Rn and fix E S. For a E R consider the following optimization problem: (Pa) min a r, and define the set K(S,x*) := {a E Rn : x. is a solution of (PJ) (a) Prove that K(S,'). Hint: Check 0 (b) Prove that K(S, r*) is a cone. (c) Prove that K(S,) is convex d) Let S C S2 and fix eS. Prove that K(S2, ) cK(S, (e) Ifx. E...