Solutions Stat755 Homework 4

4.1considerabivariatenormaldistributionwith 1 = 1, 2 = 3, 11 = 2, 22 = 1 and
12 = .8.

(a)Writeoutthebivariatenormaldensity.

(b)Writeoutthesquaredstatisticaldistanceexpression ( x ) ' 1 ( x ) asa

quadraticfunctionofx1andx2.

Sln:(a)thedensityfunctionofbivaratenormaldistributionisthefollowing:

( ) + ( ) 2 ( )( )
2 2
1
f ( x1 , x2 ) = exp 2 11 2 x1 1 x2 2 x1 1 x2 2

2 11 22 (1 12 )
2
( 12 )
11 22 12 11 22

=
6 2
5
exp 18{
25
( ) x1 1
2
2
+ ( x2 3) + 85
2
( )( x
x1 1
2 2 3)
}
(b)Thequadraticfuncitonisthefollowing:

( x ) ' 1 ( x )

( ) + ( ) 2 ( )( )
2 2
x1 1 x2 2 x1 1 x2 2
= 1
(1 12
2
) 11 22 12 11 22

( ) + ( x2 3) + 85 ( )( x 3)
2
x1 1 x1 1
= 25 2
9 2 2 2

475 20 2 25 x1 20 2 x1 25 x12 50 x2 20 2 x2 20 25 x22
= + + + 2 x1 x2 +
18 3 9 3 18 3 9 9 9

4.2considerabivariatenormalpopulationwith 1 = 0, 2 = 2, 11 = 2, 22 = 1 and
12 = .5.

(a)Writeoutthebivariatenormaldensity

(b)Writeoutthesquaredgeneralizeddistanceexpression ( x ) ' 1 ( x ) asa

functionofx1andx2.

(c)Determin(andsketch)theconstantdensitycontourthatcontains50%ofthe
probability.

Sln:

(a)thedensityfunctionofbivaratenormaldistributionisthefollowing:

Solutions Stat755 Homework 4

( ) ( ) 2 ( )( )
2 2
1
f ( x1 , x2 ) = exp 2 11 2 x1 1
+ x2 2 x1 1 x2 2

2 11 22 (1 122 ) ( 12 )
11 22 12 11 22

=
2
1
3
2
{
exp 23

( ) x1
2
2
+ ( x2 2 ) 1
2
( )( x
x1
2 2 2)
}
(b)

( x ) ' 1 ( x )

( ) + ( ) 2 ( )( )
2 2
x1 1 x2 2 x1 1 x2 2
= 1
(
1 12
2
) 11 22 12 11 22

= 23 ( ) + ( x2 2 ) ( )( x 2)
2 2
x1 x1
2 2 2

8 2 2 x1 x12 8 x2 1 2x2
= + + 2 x1 x2 + 2
3 3 3 3 3 3

(c)Thesolidellipsoidof(x1,x2)satisfy ( x ) ' 1 ( x ) p2 ( ) = c 2 willhas

probability50%,where p = 2. So, = 50%. Fromdistributiontable,wehave
22 ( 0.5 ) =1.39, therefore, c = 1.18.

21 11 12 11 22 2 1

Thecovariancematrix = 11 = =1 .
2

21 22 21 11 22 22 1
2

.888 0.460
Theeigenpairsare 2.37, and .634, . Therefore,wehavetheaxes
.460 .0.888
as: c 1 = 1.18 2.37 = 1.81 and c 2 = 1.18 0.634 = 0.937.

Solutions Stat755 Homework 4

1 2 0
4.3LetXbe N 3 ( , ) with ' = [ 3 1 4] and = 2 5 0 . Whichofthe

0 0 2
followingrandomvariablesareindependent?Explain.

X1 + X 2
(a)X1andX2.(b)X2andX3.(c)(X1,X2)andX3.(d) andX3.(e)X2and
2
X 2 52 X 1 X 3 .

Sln:(a) 12 = 21 = 2, X1andX2aredependent.

(b) 13 = 31 = 0, X2andX3areindependent.

X1
1 1 0 Y1 1 1 0 X 1 + X 2
(c)Let A = , so Y = 0 0 1 X 2 = X . Therefore,
0 0 1 2 3
X3
Y1
Y N ( A , AA ) .
T

1 2 0 1 0 1 0
1 1 0 1 3 0 = 2 0 .
AA =
T
2 5 0 1 0 = 1 0
0 0 1 0 0 2 0 1 0 0 2 0 1 0 2

12 = 0, Thus,(X1,X2)andX3areindependent.

X1
12 12 0 Y1 12 12 0 12 X 1 + 12 X 2
(d)Let A = , so Y = 0 0 1 X 2 = . Therefore,
0 0 1 2 X X3
3
Y1
Y N ( A , AAT ) .
2

1 2 0 12 0 1 0
0
1 1
12 3
0 12 12 0
AA =
T
2 5 0 2 0 =
2 2 1 2
0 = .
0 0 1 0 0 2 0 1 0 0 2 2 0 2
0 1

X1 + X 2
12 = 0, Thus, andX3areindependent.
2

Solutions Stat755 Homework 4

X1
0 1 0 Y1 0 1 0 X2
(e)Let A = 5 , so = 5 X = . Therefore,

2 1 1 Y2 2 1 1 X 2 X 1 + X 2 X 3
2 5

3
Y1
Y N ( A , AA ) .
T

1 2 0 0 52 0 52
0 1 0 2 5 0 5 10
AAT = 5 2 5 0 1 1 = 9 1 1 = .
2 1 1
2 10 2
10 23 14
0 0 2 0 1 0 1

X1 + X 2
12 = 10, Thus, andX3aredependent.
2

1 1 1
4.4LetXbe N 3 ( , ) with ' = [ 2 3 1] and = 1 3 2 .

1 2 2

(a)Findthedistributionof3X1 2X2+X3.

(b)Relabelthevariablesifnecessary,andfinda2by1vectorasuchthatX2and
X
X 2 a ' 1 areindependent.
X3

X1
Sln:(a)Let a ' = [3 2 1] , so [3 2 1] X 2 = [3 X 1 2 X 2 X 3 ] . Therefore,

X 3
2
[3 X 1 2 X 2 X 3 ] . N ( a ' , a ' a ) . Where a ' = [3 2 1] 3 = 13,

1
1 1 1 3 3
a ' a = [3 2 1] 1 3 2 2 = [ 2 1 1] 2 = 9. Thedistributionis N (13, 9 ) .

1 2 2 1 1

X1 X
(b)Let a ' = [ a1 a2 ] , so Y = X 2 a ' = X 2 [ a1 a2 ] 1 = [ a1 X 1 X2 a2 X 3 ] .
X3 X3

0 1 0 X
Therefore, A = . Thus, 2 N ( A , AAT ) . Where,
a1 1 a2 Y

Solutions Stat755 Homework 4

1 1 1 0 a1
0 1 0
AA =
T
1 3 2 1 1
a1 1 a2 1 2 2 0 a
2

0 a1

1 1
1 3 2
=
1 a1 a2 3 a1 2a2 2 a1 2a2
0 a2
3 3 a1 2a2
=
3 a1 2a2 a1 2a1 4a2 + 2a1a2 + 2a2 + 3
2 2

X
Since 3 a1 2a2 = 0 impliesX2and X 2 a ' 1 areindependent.Sowehavevector
X3
3 2
a = + c ,c .
0 1

4 0 1
4.6LetXbe N 3 ( , ) with ' = [1 1 2] and = 0 5 0 . Whichofthefollowing

1 0 2
randomvariablesareindependent?Explain.

(a)X1andX2.(b)X1andX3.(c)X2andX3.(d)(X1,X3)andX2.(e)X1and
X1 + 3 X 2 2 X 3.

Sln:(a) 12 = 21 = 0, X1andX2areindependent.

(b) 13 = 31 = 1, X1andX3aredependent.

(c) 23 = 32 = 0, X2andX3areindependent.

X1
1 0 1 Y1 1 0 1 X 1 + X 3
(d)Let A = , so Y = 0 1 0 X 2 = X . Therefore,
0 1 0 2 X 2
3
Y1
Y N ( A , AA ) .
T

4 0 1 1 0 1 0
1 0 1 3 0 1 = 4 0 .
AA =
T
0 5 0 0 1 = 0 1
0 1 0 1 0 2 1 0 0 5 0 1 0 0 5

12 = 0 Thus,(X1,X3)andX2areindependent.

Solutions Stat755 Homework 4

X1
1 0 0 Y1 1 0 0 X1
(e)Let A = , so = ,X2 = . Therefore,
1 3 2 Y2 1 3 2 X X 1 + 2 X 3 2 X 2
3
Y1
Y N ( A , AA ) .
T

4 0 1 1 1 1 1
1 0 0 4 0 1 4 6
AA =
T
0 5 0 0 3 = 0 3 = .

1 3 2 6 15 5
6 61
1 0 2 0 2 0 2

12 = 6, Thus,X1and X 1 + 3 X 2 2 X 3 aredependent.