Scribd
Upload
145 views2 pages

Taller 3

This document contains 6 exercises related to multivariate normal distributions. Exercise 1 asks about properties of the distribution of sample means and variances from a multivariate normal population. Exercise 2 asks about distributions related to linear combinations of sample variances. Exercise 3 asks about distributions of sample means and quadratic forms involving sample means and covariances for a larger sample size. Exercise 4 asks about approximations to distributions involving sample means and covariances for a even larger sample size. Exercise 5 analyzes real data to test for normality. Exercise 6 analyzes bivariate normality for used car data.

Uploaded by

Press Return
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
145 views2 pages

Taller 3

This document contains 6 exercises related to multivariate normal distributions. Exercise 1 asks about properties of the distribution of sample means and variances from a multivariate normal population. Exercise 2 asks about distributions related to linear combinations of sample variances. Exercise 3 asks about distributions of sample means and quadratic forms involving sample means and covariances for a larger sample size. Exercise 4 asks about approximations to distributions involving sample means and covariances for a even larger sample size. Exercise 5 analyzes real data to test for normality. Exercise 6 analyzes bivariate normality for used car data.

Uploaded by

Press Return
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 2

Taller 3: Distribución normal multivariada (2da parte)

Andrés Garcı́a
22 de febrero de 2018

Exercise 1. Let X1 , X2 , . . . , X2 be a random sample of size n = 20 from an N6 (µ, Σ)


population. Specify each of the following completely.

(a) The distribution of (X1 − µ)0 Σ−1 (X1 − µ)


√
(b) The distributions of X̄ and n(X − µ)

(c) The distribution of (n − 1)S

Exercise 2. For the random variables X1 , X2 , . . . , X10 in Exercise 1, specify the distribution
of B(19S)B 0 in each case.

(a)  
1 −1/2 −1/2 0 0 0
B= (1)
0 0 0 −1/2 −1/2 1

(b)  
1 0 0 0 0 0
B= (2)
0 0 1 0 0 0

Exercise 3. Let X1 , X2 , . . . , X60 be a random sample of size n = 60 from an N4 (µ, Σ)


population. Specify each of the following completely.

(a) The distribution of X̄

(b) The distributions of (X1 − µ)0 Σ−1 (X1 − µ)

(c) The distribution of n(X̄ − µ)0 Σ−1 (X̄ − µ)

(d) The approximate distribution of n(X̄ − µ)0 S −1 (X̄ − µ)

Exercise 4. Let X1 , X2 , . . . , X75 be a random sample from a population distribution with


mean µ. and covariance matrix Σ. What is the approximate distribution of each of the
following?

(a) X̄

(b) n(X̄ − µ)0 S −1 (X̄ − µ)

1
Exercise 5. Consider the annual rates of return (including dividends) on the Dow-Jones
industrial average for the years 1996-2005. These data, multiplied by 100, are:
{−0.6, 3.1, 25.3, −16.8, −7.1, −6.2, 25.2, 22.6, 26.0}
Use these 10 observations to complete the following.

(a) Construct a Q-Q plot. Do the data seem to be normally distributed? Explain.

(b) Carry out a test of normality based on the correlation coefficient rQ . Let the significance
level be α = .10

Exercise 6. Exercise 1.2 gives the age x1 , measured in years, as well as the seiling price
x2 , measured in thousands of dollars, for n = 10 used cars. These data are reproduced as
follows:

(a) Use the results of Exercise 1.2 to calculate the squared statistical distances
0
(X̄ − µ)0 S −1 (X̄ − µ), j = 1, 2, ..., 10, Where xj = [xj1 , xj2 ].

(b) Using the distances in Part a, determine the proportion of the observations falling
within the estimated 50 % probab1hty contour of a bivariate normal distribution.

(c) Order the distances in Part a and construct a chi-square plot.

(d) Given the results in Parts b and c, are these data approximately bivariate normal?
Explain.

You might also like