Q 8.2. Suppose that X₁ and X2 are two random variables whose joint distribution is Gaussian. 1 and that E[X₁ X₂] = p where the Suppose that E[X₁] E[X₂] = correlation p € (-1, +1). - = = 0, that E[X2] = E[X²] = (a) Construct from X₁ and X2, a pair of random variables Z₁ and Z₂ whose joint distribution is the standard Gaussian distribution on R², and such that X₁ Z₁ and X₂ aZ₁ +bZ2 for constants a and b. Justify carefully that the standard Gaussian distribution on R² is indeed the joint distribution of your choice of Z₁ and Z₂. = (b) Compute the variance of the random variable X1 + X2 and deduce that if p 0 then this random variable does not have a x² distribution. You may use the fact that E[Z₁] = 3. [Hint: first calculate E[X²X₂]] On the x² distribution.
Q 8.2. Suppose that X₁ and X2 are two random variables whose joint distribution is Gaussian. 1 and that E[X₁ X₂] = p where the Suppose that E[X₁] E[X₂] = correlation p € (-1, +1). - = = 0, that E[X2] = E[X²] = (a) Construct from X₁ and X2, a pair of random variables Z₁ and Z₂ whose joint distribution is the standard Gaussian distribution on R², and such that X₁ Z₁ and X₂ aZ₁ +bZ2 for constants a and b. Justify carefully that the standard Gaussian distribution on R² is indeed the joint distribution of your choice of Z₁ and Z₂. = (b) Compute the variance of the random variable X1 + X2 and deduce that if p 0 then this random variable does not have a x² distribution. You may use the fact that E[Z₁] = 3. [Hint: first calculate E[X²X₂]] On the x² distribution.
A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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