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𝑌𝑖𝑗 = 𝜇 + 𝜏𝑖 + 𝜀𝑖𝑗

𝑖𝑖𝑑 𝑖𝑖𝑑

where 𝜏𝑖 ∼ 𝑁 (0, 𝜎𝜏2 ), 𝜀𝑖𝑗 ∼ 𝑁 (0, 𝜎 2 ),

and 𝜏𝑖 ⊥ 𝜀𝑖𝑗 ∀𝑖 = 1, . . . , 𝑡, 𝑗 = 1, . . . , 𝑛

𝑆𝑆𝑇

show that 𝐸(𝑀 𝑆𝑇 ) = 𝑛𝜎𝜏2 + 𝜎 2 where 𝑀 𝑆𝑇 =

𝑡−1

In order to do this you will need to prove a series of steps and will ﬁnd the following properties of

expectation useful:

𝐸[𝑎𝑌 + 𝐵] = 𝐸[𝑎𝑌 ] + 𝐸[𝑏] = 𝑎𝐸[𝑌 ] + 𝑏

𝑉 [𝑎𝑌 + 𝐵] = 𝑉 [𝑎𝑌 ] + 𝑉 [𝑏] = 𝑎2 𝑉 [𝑌 ] + 0 = 𝑎2 𝑉 [𝑌 ]

𝐸[𝑌 2 ] = 𝑉 [𝑌 ] + (𝐸[𝑌 ])2

[ ]

∑ ∑

𝐸 𝑌𝑖 = 𝐸[𝑌𝑖 ] for 𝑌𝑖 independent

𝑖 𝑖

[ ]

∑ ∑

𝑉 𝑌𝑖 = 𝑉 [𝑌𝑖 ] for 𝑌𝑖 independent

𝑖 𝑖

where 𝑎, 𝑏 are constants and 𝑌 is any random variable, 𝐸 is the expected value and 𝑉 is the variance.

For each of the following steps, show all work for full credit. You may prove later steps, for credit,

using the previous results without having proven them. For instance, you could prove step 7 using

all the previous results even if you did not prove steps 1-6.

1. [10 Points]

𝐸[𝑌𝑖𝑗 ] = 𝜇 and 𝑉 [𝑌𝑖𝑗 ] = 𝜎𝜏2 + 𝜎 2

2. [10 Points]

1∑ 1∑

𝑌¯𝑖. = 𝑌𝑖𝑗 = 𝜇 + 𝜏𝑖 + 𝜀𝑖𝑗

𝑛 𝑛

𝑖 𝑖

3. [10 Points]

1[ 2

𝐸[𝑌¯𝑖. ] = 𝜇 and 𝑉 [𝑌¯𝑖. ] = 𝑛𝜎𝜏 + 𝜎 2

]

𝑛

4. [10 Points]

1 ∑∑ 1∑ 1 ∑∑

𝑌¯.. = 𝑌𝑖𝑗 = 𝜇 + 𝜏𝑖 + 𝜀𝑖𝑗

𝑛𝑡 𝑡 𝑛𝑡

𝑖 𝑗 𝑖 𝑖 𝑗

5. [10 Points]

1 [ 2

𝐸[𝑌¯.. ] = 𝜇 and 𝑉 [𝑌¯.. ] = 𝑛𝜎𝜏 + 𝜎 2

]

𝑛𝑡

6. [20 Points] [ ]

∑ ∑

𝑆𝑆𝑇 = 𝑛 (𝑌¯𝑖. − 𝑌¯.. )2 = 𝑛 𝑌¯𝑖.2 − 𝑡𝑌¯..2

𝑖 𝑖

7. [20 Points]

𝐸[𝑆𝑆𝑇 ] = (𝑡 − 1)(𝑛𝜎𝜏2 + 𝜎 2 )

8. [10 Points]

𝐸[𝑀 𝑆𝑇 ] = 𝑛𝜎𝜏2 + 𝜎 2

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