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3. Show that the sample covariance matrix S of data on p variables is a semi denite matrix. It is positive
denite unless observations on a variable is a linear function of observations on the remaining p 1 variables.
4. Two dierent visual stimuli S1 and S2 produced responses in both the left eye (L) and right eye (R) of
subjects having Multiple Sclerosis. The following is data on 3 variables viz
x1 = age, x2 = total response of both eyes to S1 , x3 = total response of both eyes to S2 , for 8 subjects
Subject x1 x2 x3
1 23 148.0 205.4
2 25 195.2 262.8
3 25 158.0 209.8
4 38 190.2 243.8
5 57 165.6 229.2
6 58 238.4 304.4
7 58 164.0 216.8
8 59 199.8 250.2
1
Find a transformation from x y using eigenvectors of A, that makes transformed variables y =
e e e
y1
y2 uncorrelated.
y3
(c) What is the transformed distance of a point y from the center?
e
(d) Find the three principal axis of the largest hyper-ellipsoid that covers all data points in the standardized
data as in (a).
(e) Can you propose a better distance measure for transformed supposedly uncorrelated data obtained on
variable y ? You may need to use transformed y values of 8 standardized x as in (a).
e e e
5. Prove the following properties for the square root of a symmetric positive denite matrix A of order k,
denoted by A1/2 .
(a) A1/2 is a symmetric matrix.
(b) A1/2 A1/2 = A
k
(c) (A1/2 )1 = i=1 1 ei eT = P 1/2 P
i (denoted byA1/2 ) where P = [e1 , e2 , . . . , ek ],
i
ee e e e
1/2 = diag( 1 , 1 , . . . , 1 ) and (i , ei ), i = 1, 2, . . . , k are eigenvalues, normalized eigenvector
1 2 k
e
pairs of A.
(d) A1/2 A1/2 = I, A1/2 A1/2 = A1
6. Prove
(a) E(X + Y ) = E(X) + E(Y )
(b) E(AXB) = AE(X)B
for any random matrices X, Y and constant matrices A, B.
7. Let X T = (X1 , X2 , X3 ) be a random vector with covariance matrix . If X1 and X2 are independent, nd
covariance matrix for Z T = (Z1 , Z2 , Z3 , Z4 ) where Z1 = X1 2X2 , Z2 = X1 + X2 + X3 , Z3 = X1 + 2X2 X3
and Z4 = 3X1 4X2 .
8. Show that cov(a1 X1 + . . . + ap Xp , b1 X1 + . . . + bp Xp ) = aT b, where aT = (a1 , . . . , ap ), bT = (b1 , . . . , bp ) and
e e e e
is the covariance matrix of X T = (X1 , . . . , Xp ).
e
X1 ( ) X3 ( )
e X 1 1
9. Let X = , where X (1)
= 1
and X (2)
= X4 . Let A = and
e X2 e X2 e X5
1 1
( )
e
1 1 1
B= . If X has mean TX = [2, 4, 1, 3, 0]
1 1 2 e
4 1 1/2 1/2 0
1 3 1 1 0
and cov(X ) = 1/2 1 6 1 1
e nd
1/2 1 1 4 0
0 0 1 0 2
2
(e) E(BX (2) )
e
(f) cov(X (1) , X (2) )
e e
(g) cov(AX (1) , BX (2) )
e e
AX (1)
(h) covariance matrix of e
BX (1)
e
10. In question 1 for this tutesheet, the sample mean and covariance matrix was computed in part (a). Find
the sample covariance matrix for the variables (sales-prot,sales-2prot,Assets+prot). What is the sample
correlation between Assets and (sales-prot)?