Scribd Logo
Upload

Welcome to Scribd!

  • MTV Nguyub

    Uploaded by

    BuyungFirmansyah
    3 views2 pages
    The document provides a proof that the expected value of the sample covariance (Sn) is equal to (n-1)/n times the population covariance (Σ). It first shows that the expected value of the sample mean (X) is equal to the population mean (μ). It then derives an expression for the covariance of X in terms of Σ. Finally, it takes the expected value of Sn and simplifies to get the final result that E(Sn) = (n-1)/n * Σ.

    Original Description:

    Original Title

    mtv nguyub

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    DOC, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    The document provides a proof that the expected value of the sample covariance (Sn) is equal to (n-1)/n times the population covariance (Σ). It first shows that the expected value of the sample mean (X) is equal to the population mean (μ). It then derives an expression for the covariance of X in terms of Σ. Finally, it takes the expected value of Sn and simplifies to get the final result that E(Sn) = (n-1)/n * Σ.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOC, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as doc, pdf, or txt
    3 views2 pages

    MTV Nguyub

    Uploaded by

    BuyungFirmansyah
    The document provides a proof that the expected value of the sample covariance (Sn) is equal to (n-1)/n times the population covariance (Σ). It first shows that the expected value of the sample mean (X) is equal to the population mean (μ). It then derives an expression for the covariance of X in terms of Σ. Finally, it takes the expected value of Sn and simplifies to get the final result that E(Sn) = (n-1)/n * Σ.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOC, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as doc, pdf, or txt
    of 2

    matrik kovarian Sn

    E ( Sn) =

    n 1 1 = n n n 1 E Sn = n

    pembuktian X = ( X 1 + X 2 + ... + X n ) / n E ( X ) = E ( X 1 / n + X 2 / n + ... + X n / n) 1 1 1 E ( X ) = E ( X 1 ) + E ( X 2 ) + ... + E ( X n ) n n n 1 1 1 E ( X ) = + + ... + n n n E( X ) =

    1 1 ( X )( X ) = ( X j ) ( X l ) n n 1 = 2 ( X j )( X l ) n cov( X ) = E ( X )( X ) 1 = 2 ( X j )( X l ) n Untuk j l isian E ( X )( X )= 0 karena antara X j dan X l saling independent. Maka : 1 cov( X ) = 2 ( ( X j )( X j )) Karena = E ( X j )( X j ) n 1 1 Maka cov( X ) = 2 n = n n Untuk mendapatkan expected value dari Sn
    n n n

    ( X j X )( X j X ) = ( X j X ) X j + ( ( X j X ))( X )
    j =1 j =1 n j =1

    = ( X j X j XX j ) + 0
    j =1

    = ( X j X j ) XX j
    j =1 n j =1

    = ( X j X j ) X X j
    j =1 n j =1

    = ( X j X j ) XnX
    j =1 n

    = ( X j X j ) nXX
    j =1 n

    E ( ( X j X j ) nXX ) = E ( X j X j ) n.E ( XX )
    j =1 j =1

    Dimana E ( X j X j ) = + 1 Dan E ( XX ) = + n Maka


    n

    E( X
    j =1

    X j ) n.E ( XX ) =

    ( + ) n( n + )

    = n + n n = n = (n 1) 1 n ( X j X )( X j X ) n j =1 1 Maka E ( Sn) = (n 1) n n 1 = n Karena Sn =

    You might also like