Homework 4 (Due 2/21)

Question 1 We have introduced in class the Bonferroni-corrected two-sample test: H0 : µ ~ 2 = ~δ0 is

~1 − µ
rejected if  
   
 (x1j − x2j ) − δ0j
 ≥ tn +n −2 α .

max  q 1 2
1≤j≤p 
spooled,j n1 + n1

 2p
1 2

Prove the following Type I error control:

   
   
 (X 1j − X 2j ) − δ0j 
Pnull  max   ≥ tn +n −2 α  ≤ α.
1 2
q
1≤j≤p 
Spooled,j n11 + n12 
 2p

Question 2 Consider a sample of size n1 = 18 from N2 (~ µ1 , Σ1 ) and a sample of size n2 = 18 from

N2 (~
µ2 , Σ2 ). Assume Σ1 = Σ2 . The summary statistics for these two samples are
       
85 16 8 85 16 8
~x1 = , S1 = , ~x2 = , S2 = .
83 8 16 87 8 16
1. Test H0 : µ ~ 2 at the level of α = .05 with Hotelling’s T 2 ;
~1 = µ
~1 − µ
2. Plot 95% confidence region for µ ~ 2;
3. Find 95% simultaneous confidence intervals for µ1j − µ2j , j = 1, 2 with T 2 ;
4. Find ≥ 95% simultaneous confidence intervals for µ1j − µ2j , j = 1, 2 with Bonferroni correction.

Question 3 Consider two independent samples from 3-variate multivariate normal populations:
     
µ11 80 16 8 8
~ 1 = µ12 : sample size n1 = 18,
Population 1 with µ  ¯1
~x = 80, S1 =  8 16 8 ;
µ 80 8 8 16
 13     
µ21 78 16 8 8
~ 2 = µ22 : sample size n2 = 18,
Population 2 with µ ¯2
~x = 80, S2 =  8 16 8 .
µ23 82 8 8 16
Furthermore, assume the population covariance matrices of the two populations are the same. Denote
   
~ d11 µ12 − µ11
d1 = =
d12 µ13 − µ12
and    
d21 µ 22 − µ 21
d~2 = = .
d22 µ23 − µ22

1. Test H0 : d~1 = d~2 at the level of α = .05 with Hotelling’s T 2 ;

2. Plot 95% confidence region for d~1 − d~2 ;
3. Find 95% simultaneous confidence intervals for d1j − d2j , j = 1, 2 with T 2 ;
4. Find ≥ 95% simultaneous confidence intervals for d1j − d2j , j = 1, 2 with Bonferroni correction.

1
Question 4 Read Example 6.4 on Page 289, redo the analysis, and do Exercise 6.7 on Page 338.