STAT 456 - MULTIVARIATE DATA ANALYSIS

ASSIGNMENT II

May 19, 2023

INSTRUCTION
ˆ All groups should submit their assignment to the class rep. to be
submitted to the TAs before 11:00 GMT on Friday, 26th May,
2023.
ˆ A group should have either 4 or 5 members. Group members of
every group should do well to write both their names and index
numbers on their work before submission.
ˆ All assignments should be given to the class rep early enough to
be submitted on due date and time. Submission after this deadline
will attract a zero score.
QUESTIONS
′ ′
1. You are given a random vector X = (X1 , X2 ) with mean vector µ = (1, 2)
and    
1 3 −1
a= , B=
2 −1 3
Compute the following
′
(a) E(a X)
(b) E(BX)
(c) Cov(X)
(d) Cov(BX)
 
7.5 5
2. Given that A = is a sample variance-covariance matrix
5 10
Find:
(a) the Spectral decomposition of A.
(b) the square root of A.
(c) the total variance.
(d) the generalized variance.
(e) Using c = 2, construct a new axis and draw the ellipsoid.
(f) From (e), find the length of the longest axis.