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...
icon
Related questions
Question
8.2
Q 8.2. Suppose that X₁ and X₂ are two random variables whose joint distribution is Gaussian.
0, that E[X²] = E[X²] = 1 and that E[X₁X₂] = p where the
=
Suppose that E[X₁] = E[X₂]
correlation p E (−1, +1).
(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 = a Z₁ +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 X² + 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.
Transcribed Image Text:Q 8.2. Suppose that X₁ and X₂ are two random variables whose joint distribution is Gaussian. 0, that E[X²] = E[X²] = 1 and that E[X₁X₂] = p where the = Suppose that E[X₁] = E[X₂] correlation p E (−1, +1). (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 = a Z₁ +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 X² + 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.
Expert Solution
steps

Step by step

Solved in 4 steps with 44 images

Blurred answer
Recommended textbooks for you
A First Course in Probability (10th Edition)
A First Course in Probability (10th Edition)
Probability
ISBN:
9780134753119
Author:
Sheldon Ross
Publisher:
PEARSON
A First Course in Probability
A First Course in Probability
Probability
ISBN:
9780321794772
Author:
Sheldon Ross
Publisher:
PEARSON