STAT 410

Fall 2016

X1

X2
X =

...

X
n

2
E( X ) = X =
...

n-dimensional
random vector

Covariance matrix:

11 12

22

X = 21
...
...

n1 n 2

ij = Cov ( Xi , Xj )

... 1n

... 2n
...

... nn

X = E[ ( X ) ( X ) T ]
X symmetric, nonnegative-definite

n=1

n=2

X = (X)

X = 1
X 2

X = 1
2

X = ( )

X = ( 2 )

2
Cov(X 1 , X 2 )
Var (X 1 )
1
=
X =

(
)
(
)
Cov
X
,
X
Var
X
1
2
2

1 2

Let Y = A X + b,

where

1 2

A m n (non-random) matrix,
b Rm (non-random) vector

Then

a1

a 2
a =
...

a
n

E( Y ) = Y = A X + b

Y = A X AT

a1 X1 + a2 X2 + + an Xn = aT X
E( aT X ) = aT X

Var ( a T X ) = a T X a

22

1.

X1
5

Consider a random vector X = X 2 with mean E ( X ) = = 1
X
3
3

2 3
9

and variance-covariance matrix Cov ( X ) = = 2

4 2 .
3 2 16

Var ( X 1 ) = 9,

Then

12 =

2
9 4

1
,
3

13 =

Var ( X 2 ) = 4,
3
9 16

Var ( X 3 ) = 16,

1
,
4

23 =

2
4 16

1
.
4

X
1
Consider 2 X 1 3 X 2 X 3 = ( 2 3 1 ) X 2 .
X
3

E( 2 X1 3 X2 X3 ) =

(2

3 1 ) = 2 1 3 2 3 = 2 5 3 1 1 3 = 4.

2 3 2
9

4 2 3
Var ( 2 X 1 3 X 2 X 3 ) = ( 2 3 1 ) 2
3 2 16 1

= ( 15 6 16 ) 3 = 64.
1

OR

Var ( 2 X 1 3 X 2 X 3 ) = 4 Var ( X 1 ) + 9 Var ( X 2 ) + Var ( X 3 )

12 Cov ( X 1 , X 2 ) 4 Cov ( X 1 , X 3 ) + 6 Cov ( X 2 , X 3 )
= 36 + 36 + 16 24 + 12 12 = 64.

Multivariate Normal Distribution:

X ~ N n ( , )

fX(x) =

(2p )n 2

12

exp (x )' 1 (x )
2

Z ~ N n ( 0, In )

fZ(z) =

n 1
1

1
exp z' z =
exp zi2
(2p )n 2 2 i =1 2p 2

X = 1/2 Z +

M X ( t ) = exp t ' + t ' t

2

Amn

Y = AX + b

b Rm

Y ~ N m ( A + b, A A' )

X1

X2

X =

t1

t2
t = Rn
...

t
n

X1 is of dimension m < n
X2 is of dimension n m

1
1
X1 | X2 ~ N m 1 + 12 22
(X 2 2 ), 11 12 22
21

11

21

12

22

2.
X ~ N 3 ( , )

a)

4 1 0

= 1 4 2
0
2 9

5

= 3
7

Find P ( X 1 > 6 ).
X1 ~ N ( 5, 4 )

6 5
= P ( Z > 0.5 ) = 0.3085.
P ( X1 > 6 ) = P Z >
4

b)

Find P ( 5 X 2 + 4 X 3 > 70 ).
E ( 5 X 2 + 4 X 3 ) = 5 3 + 4 7 = 43.
Var ( 5 X 2 + 4 X 3 ) = 25 Var ( X 2 ) + 40 Cov ( X 2 , X 3 ) + 16 Var ( X 3 )
= 25 4 + 40 2 + 16 9 = 324.
OR

4 1 0 0

Var ( 5 X 2 + 4 X 3 ) = ( 0 5 4 ) 1 4 2 5 =
0
2 9 4

0

( 5 28 46 ) 5 = 324.

4

70 43
= P ( Z > 1.50 ) = 0.0668.
P ( 5 X 2 + 4 X 3 > 70 ) = P Z >
324

c)

Find P ( 3 X 3 5 X 2 < 17 ).
E ( 3 X 3 5 X 2 ) = 3 7 5 3 = 6.
Var ( 3 X 3 5 X 2 ) = 9 Var ( X 3 ) 30 Cov ( X 2 , X 3 ) + 25 Var ( X 2 )
= 9 9 30 2 + 25 4 = 121.

OR

4 1 0 0

Var ( 3 X 3 5 X 2 ) = ( 0 5 3 ) 1 4 2 5 =
0
2 9 3

0

( 5 14 17 ) 5 = 121.
3

17 6
P ( 3 X 3 5 X 2 < 17 ) = P Z <
= P ( Z < 1.00 ) = 0.8413.
121

d)

Find P ( 4 X 1 3 X 2 + 5 X 3 < 80 ).
E ( 4 X 1 3 X 2 + 5 X 3 ) = 4 1 3 2 + 5 3 = 4 5 3 3 + 5 7 = 46.

4 1 0 4
4

Var ( 4 X 1 3 X 2 + 5 X 3 ) = ( 4 3 5 ) 1 4 2 3 = ( 19 6 39 ) 3
0
5
2 9 5

= 289.
4 X1 3 X2 + 5 X3 ~ N ( 46, 289 )

80 46
= P ( Z < 2.00 ) = 0.9772.
P ( 4 X1 3 X2 + 5 X3 < 80 ) = P Z <
289

e)*

Find P ( X1 > 8 | X2 = 1, X3 = 10 ).
4 2

22 =
2 9
1
12 22
=

1
22
=

1 9 2

32 2 4

9 2 1
1
= ( 9 2 )
( 1 0)
32
2 4 32

1 + 12 221 (X 2 2 ) = 5 +
11 12 221 21 = 4

1 3
1
= 5.75.
( 9 2)
32
10 7

1
1
( 9 2) = 3.71875.
32
0

X1 | X2 = 1, X3 = 10 ~ N ( 5.75, 3.71875 )

8 5.75
= P ( Z > 1.17 ) = 0.1210.
P ( X1 > 8 | X2 = 1, X3 = 10 ) = P Z >

3
.
71875