Let X = (X1,X2,X3) followanormaldistributionon R3 with expectation 0 and covariancematrix where a R. a) Forwhichvaluesof
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Let X = (X1,X2,X3)⊤ followanormaldistributionon R3 with expectation 0 and covariancematrix
where a ∈ R.
a) Forwhichvaluesof a is Σ
(a) a validcovariancematrix?
b) Whatisthedistributionof Y = 2X1 − X3?
c) Showthatthedistributionisof X is singularif a = 2(√2 − 1).
d) Findthesupportofthedistributionof X for thecase a = 2(√2 − 1).
e) Determinethesetofvalidconcentrationoperatorsfor Σ
(a) when a = 2(√2−1).
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