120090183 倪是 STA 4002 Assl

= Or ( X )
O
)
By l
matrix
def of
, Ʃa =Ʃ=
=
ovariance ,
2 1
X ,
2

X . ,
X 2
indep endent
( b)
similarly Ʃ 13 Ʃ 31 ov ( xi , xs 1 Fo
=
=) = -

= X1 .X 2 are mot independent

( c ) Ʃ
23 =Ʃ 32
=
0 =
OV ( X2 ,
X 3
)

X2 .

Xs are
independent
光 谈怡去
/ 01
"
( a) avariane of ( ) : 之 :

Partition

*
;

)。 By property
Ʃ=
*
ia) ,

ωv (x , xc) =
O ,
x = ( x ,
x
3 )

E) ( X ,
X3) & X2 are
independent .

( e ) Byproper ty 10 ca ) ,

X1 =
( 1 00) x =
Ax ,
X, + 3 X2
-

2 X
3
=
( 1 3 -

2 )X =
BX

信)
) 40
AIB 00
) 0502 ( 4+ 6 ± 0
'
= 11 = O+ 2 =

Thus ,
X, & X 1 f 3X 2 -
2X 3 ae not independent
( a) 1 ≡| F 0 ( Ʃ| t 0
.
Ʃ=Ʃ
",
)
Define 1 { )
lunly
=
率

A =
→ 1 A
.

装
→ 忙 - 。

: ㉒
环

IA Ʃ 1 =| A ||Ʃ| = |Ʃ 1

-Ʃ 22 i Ʃ u 11 Ʃ 2z
|= 1 Ʃ||= 121 ,

( b1 Define B =

( { I 11
)
-Ʃ n Ʃ☆Ʃ
品)
ii ({
(
" 品 ) vzn
1

Ʃn Ʃ " C
=
Ʃ
AIB
=

(
= "
-

Ʃ ) :

0
㉑
Ʃ : =Ʃ 11
-

Ʃ Ʃ zi Ʃ z 1
11 ,
2 12

+ +
Ʃ= A CB
Ʃ吃

=号 台 ) 结 )
-

Ʃ = BC 1
)
A
于 t

2
±
耀 ini
Ʃ 11 , Ʃ Ʃz

)
12
-

:
( ƩƩ☆
+ƩƩ n

[ 2
-
MYHs
*
Ʃ
'Ʃ+ -µ
'
)
= [ ( -) ( Xz ]
µu - u ( x ( | ) x µ
:
x

Xz -

⼆ ( x1 - M
)

' i
. 2 (x -

u) - I
M + | u iIn xri
(xyuD * Ʃ

) Ʃ (
- ( xr - Mz ) ' Ʃ ii( x =- µ
y 2 )
Ʃ

.
t (X2 -

fu ) 2 ' Ʃ☆Ʃ 1 T
, w here J = Ʃ
1
2+ƩƩ z ( Xu - |

Mz)
 Ʃ zi ' ( ) Ʃ
tIz 1 iztxi
2
2
f u
* [ -M 2 f µy 1 µ
1
) ] x
(x 1 µ ) Ʃ 2
2

- '
-

- -
2
,
,

' Ʃ 1 , x , x

+ ( Xz -

|µ ) 2
'
"Ʃ 22 + ( I +Ʃ 21 Ʃ 11 Ʃ 2 Ʃ I 2
.
⻔ (X =
-

yha )

IN . 2 ' Ʃ zi Ʃ Ʃ i ] [(x zi ( X -µ ) ]
( Ʃ
'
Ʃi
t R
( X , -
µ )
µ H |µ ) S
= -

2 2
x2
-
1 ) 1 , 2
y -

( ( - |µ 2j ' ZaƩ 1 ,t x
Ʃ
zt- ( |U T µ1 )
|µ 5
= ( X( 'Ʃ X
-

)
Ʃ

2
Ʃ
z[ Xr -
µ

z
1 ] - X

2 , - y
,
(

, n

+Ʃ 12 Ʃ ( (
) Ʃτ
"
+ ( X2 ' Ʃ1 Ʃ 1 ( Xc µ Xc
fµ )
µv Ʃz x 2-
2)
- 2
+ u '
U

z
-
)
,

=
LHS
1 21
-M
) Ʃ+ ( [x 年 2 Ʃ zΨ M )]
'

(
Thus , LHS = ( -M) M, Xr ×Ʃ 11
=
-

- 2 x
x -

.
X

[ ( - 2Ʃ i "(x
- i) + 1 Xr
fu '
☆
- x =-
µ )
=
RHs
-
,

)
2

µ
Ʃ
-

2
µ

( C )

q
9
xrERP
-

X ~
NP( M , Ʃ
) , assume X 1 ER ,

Define A =
xx
0 Ip q paxp Then Ax -

,
=

AIA ) X NP 2 ) , whene
( M 2
2-
AXNNP ( AM
'
, Ʃ

= Ʃ=
AIA [ OIpq ]
"
[ 谣 ] [pq] =Ʃ 0

X 2
NN ( µ
,
Ʃz 2 )
pq

We know
,

Ʃ+
and µ '
) = ( X ) x
X Np M ( Ʃ ( x )
M
~ (
p)
-

~ -

zi ( x ( p q)
X2 ~

Np -

q
(
µ a
,
Ʃ 22 ) = ( X 2
-

µ ) z '
Ʃ X
2

- M ) ~ -
 Ʃ
µi ' 1( ( X
-j Ʃ zi'
)
= ( X
-M ) ( X µ
' 2
-

2 2
-

-
X

+
=
[ X
,

- µ ,
( +Ʃ n Ʃ ii (X .
-

2 )}
µ ziiwY
, Ʃ zi ^Ʃ ] [ x
" 4
↑
Miti Ʃ ]
-

nƩ
n
1 1
-
(

Thus
^
^

p q )
X2
x ( p )
q) given x2
=
~
=
-

( -

X 1 .

,
,

= +Ʃ 2 Ʃ zt Ʃ1 Ʃ2 Ʃ zi Ʃ u )
X1
Nq (
M
( x2
µ )
-

~
-

2
, ,

2
n =
计 P
=

( (
p ,
Ʃ )
=

f( xi
) 莎⽚ - u
exp xi " ' Ʃ+ ( xiu ) }

-
4 (
) 1 Ʃ|= exp { ( xi - )' Ʃ 1 xi -
µ) }
点

( 2π
µ

( ( µ, Ʃ
) =
legh = - 4

l θ g( 2 π) - 2
log E |-
/
彦

( xi -µ
j'
Ʃ+ 1 xi -

fµ
)

=
-

4 log ( 2 π) )

2 l 0
g 1
位

tr [( xi µ i 'Ʃ+
(
r -
µ
彦 xiu
xixitncxypmxw
rl
x
1
=
-

4 igh π ) 1
ug ⼀六
洲泌

Ʃ
=

4 log (2 )
t
{
g )1 c
210
-x
-
tr ( 1 ω
- uƩ
-

Ʃ(
)

x
 "
since it is PD X (* ) 20
for
Ʃ
'

,
(
-u ) fu any µ ,

thus ( r

) " 库
=

Ʃ) 41 g ) w 210
Ʃ tr (
whenu x
=
"
µ ≤ 12
g "
-

三凹
g
Let Ʃ) tr
textbook
g u 10
=
(
-

,
2 in
2 ⼀

Then g attains its maximum at Ʃ=

年 W by Result 4 10.

*
)+
( ( µ, ≤
) - log( 2 π
1 g
前 + 410 g 4 4 (
-

=
4

:
Ʃ

( ( µ, attains when = ,
Ʃ= 年
its
jM
Ʃ
) maximum *

Therefore ,
MLEs are j µ= *

Ʃ=
年( xi- )( xi - ) ,
*
*

In this case ,

µ LE of µ
: µ= 义 = 年× i

= 年[ 6
24
]
话]
µ(E of Ʃ ;
Ʃ= 344
⼆到 ( Xi * ] xi * -

( -

] H 07 + T 占 ] τ 0 ) + [ i |τ " ( 1] i0 " )
τ nf
- z
年

[ %)
0

= ( 出 1601 + [ 品 +
["] +
,

) (= =4413 )
π
= (
xi N4 Ʃ) i 1 60
M
=
~ ( , , ,
…

( a ) * ~ N4 (
µ , ⾔) = 义 ~
N4 (
µ , ⾔) 0

( b) For ary i , by property 9 ,

µ )
Ʃ
X( 4 )
'

-
xii " ( xi µ
- ) ~

1 '

( X .- )' Ʃ ( X
µ) X ( 4)
µ

~
-

( c )
By property 9w .
r .
t .
义 ,

'(
)"
(
- 4)
(
)~
) x µ( '
x
-

亮 * |µ

= n (x -

µ) ' Ʃ
1
( X µ) ~ -
X ^( 4)

id ) since s istheMLE of Ʃ ,

when
µ ) +< x yµ ) approximately
^
n
n ( x -
-

~ x ( 4)

is
lange ,

[(x E A al
x ' Aa - aAxta '
'

]
'

E -

a) A (x
-

a)
= [ x Ax -

1
'
1
xPx calar
EIX Ax ) AE ( X )
'
G
nonrandom
'

⼆
-

2 + a Aa since a A
,
.

ave

µ Aµ + tr ( A Ʃ )
'

AUta ' Aa
by property
'
= -
2 G 8

=
( µ-
a

)' A (
µ
-

a ) + tr ( A Ʃ )
 ①

Y Ʃ= ωv ( x) E [ ( x -µ ) (
-U )
= X

µx + "]
'
1 ' M
E [ xM
-

=
X × -

- µ E ( ' ) +µ M
·
µ X

E [ XX ' - E(X )
'

'
'
Ʃ+
E ( xx ' = Ʃ+ MM ' + MU -MU µµ
=

)
=
'

② ωv ( x )
=Ʃ
xy
= sJE
(
-µ (
3 -[ x
y

y
8 - My
'
+µ 8 ]
'
= E [ xy -

× '

8 '
E xy " E ( x) δ E( '

y ) +µ
=
(
-µ
-

'

+µ 8
=
'

µ8 -M 8
'

E (
xY ) = Ʃ + ' =Ʃ
xy +µδ
'

xy
'

xy
3

' = E ( xy )
1

Yx ' xY' " =Ʃ + Su

) )
= E ( )
= E ((
'

p"
First define sample standard deviationmatrix 2

"
"
“
」机 ∵
…
D =

原店 pxp

"""
0
∴ : isp )
…

= (
D )
H
=

pap
 颜 π∵ …
…

[ 赫磊驫 : !
R

∵∵
=

。
)
)
spp … " ( im
…
D .)
D" =" 0

ism …
"

"
= " s
"

… s

∴ " ""

Sr / S, 1 S"

) | ☆∵
S 11 / Tsn S" …

p "
=

1 S 21

sp , 1 π
/ Sir
'

ppSpr ( spp
Sr / u …

;
∴
SIp /

spp 1
S 2

spp
…

im…
]

州拊洲拊杆
"
= R

SD 112
-

2
= R =
D

S = D
"
2
RDYE

1 s ) =
( D
"
|| "
RID
|
= s

,"
… Tspi 1 R
) 1 . CTS
…「 Spp )

ISL = S1 SppIR
… /
"

O
10 ( b ) ~ ,Ʃ A Bnxp
. XAX , then IBX ⇐) BEA O
Np (
. X
M
)
=
-

proof . *
= ⽅到 xi B = x
, where
B = 六六 / ,…
x =
[ x … xnx
Vntpe. I )
( xi * )
~

( )( xi - * ) 前空
6

☆ xi - =

s
-

前
*

- ↑
" mm
[X 1 ⼥ xr xi
[…1
-

=
∵
…

int ∵

=
c
iu
-
x
' cix-m
, whem

x
)
x

= [* ]
, µ= )
' Cµ
'
= X ' Cx +µ
-
CU
2

= XCX -

前空 xix
+
前⽼义
*
=× ' Cx
µ
'µ ( *]
^++ - C
*
X
- 箭
2
=
' Cx

[ *)
'
whomI =[
[|
µ= = L * .
= ] .

台 i
=
台 II x
,

]
” ,

。 x

Thus ,
s
'
= (*) = X ' Cx - C
⽅ XII ' II X
'

,
C =

+ Inxn

InxnII )
" "

II ×
= x ( C -

in册
=
X ' ( C

-1 ( n

-
) II ) x

x1 洲
-I
前 1 Inxn

∞∴
活六 |: :
=

[ …: ]

-“磁
- I 1
(
A 江
=
前
I
 祈譬 ]
^

Inxn
∵
BEA =
坑 …⽅ 6
Jan

D∴材材
1
=
州 π
…

=
O

Thus , BEA O X
,

by property 10 (b
)
= & ' are
independent

Proof .
Assume Xi ~

Np ( µ ,
Ʃ]
,
i =
1 ,
…

,
n .
义 =
元部 xi
S =
前 ☆ ( xi -

*) ( Xi x ) -

'
,E( * )
= 元 E ( Ʃ Xi )
=µ Var ( * ) =
⾔
*J
Ex) 前 贰
*) (i ( x: -

=
-

* ) xi x
,

⾄ ( xi * ) ( xi 义)
{ ( xi { ( xi * )
-

=
-
-

- -

) xi ( * ' + n*x
,

义空
Xi -
-

⼆空 xixi {

xixi * x
'
*x + n* *
{
⼆
-

n
-

Xixi **
⼆完 n
-

] - nE ( *
EI { ( xi -

* ) ( xi *) -
=

XYE
( xixi "

For x ~
NP u
( , Ʃ
),
E
( XX ' ) =Ʃ+ MM '
by Q 6 ,

=+ [ 童 ]
"

Thus E ) nE ( xx )
'

E( s ) ( xixi -

,
 =
+ [ 空 (
Ʃ+µµ " ) - n

( 亮 + M
µ ") ]

⼆前 「 n Ʃ Ʃ+ ni µ n
µ⻔
-
-

=
州 Ʃ Ʃ
⼆
.

s is anunbiased estimator of Ʃ

,
anonrandomkpxa
) Assume ~
Wp
( . ,E .
By property 3
U
k

Ʃ )

a ' va w Wick , a ' Ʃ

a
,

a '在 a
) ,whene 王 = :µ i
µ
,

a
'
Ψ a
=
到auiui' a = (
ali ( a ' µ ij )

By def ,
a
"
va =

到
xixi , xi ~
Nia ' ui , a
'

Ʃa ) = univariate nonmal

a 毙
a
=x
彦

登
a
= 诶aa : =
彦 y: yi ,

) µ
raa
i

where yi 酱 a ~
N (
a酱 a
1 .
a 灌
aj
靠
让

=
=

aa )
,
a x
器 a
~ ω, ( k ,
1 ,

卯a )
a = ^ ( k

( b) Assume V ~
WP ( k ,
Ʃ ) ,
i , e
, 0

Ψ=

By property aca constant

=

4 k) is
, ~ x ( ,

given a a vector ,

depend specific of
'

( k) doesn t the values

'

since x on a ,

av —
_
the distribution of is independentof a
.
'

a Ʃ a

Thot is , for w
random h
vector ich
xiik )is y ,

Yy ~
,

independent of y
.
 (a ) Given a < Rpa "
, aonstant ,
U ~
Wp ( k ,
Ʃ)

" )
then vta a Ʃ ta " by the property
'

)
'
a ~
Wk ( k p
-

+ 1 ,
)

a +=
'
xixi
) ,xi~
a 罚
v ascalaa
NK 0 a a ila ( , 座
)
, '
is

a Ʃ '
7 ,
a
ata)
=
to artax
靠座 (axi ) .artaxi N ( )
,
:
(

tta
'

a Ʃ =

p+ 1 )
于 ( 1 ) x ( k
- p
=
,
1
Wn
-

k
+

←
~
Scalar
Thus ,

rvtala
'
a (

independent ofthevalues
~ 2 - ) , whichis
λ k
+1
p

xi
a Ʃ
avtar
(

of a , so k -
pt 1 ) wheteverthevalues of a ,

*
nector YER ,
If y is a hsppptandom V
wp ( k Ʃ) ~
,
,

rty vty independent ofy

x

then y ' pt 1
y

1 ' ( ) and is
~ =
-
k

Ʃ|H 些
f { 做 ( iit 0) }
=

( b) U ~
wp ( k Ʃ)
,
,
( v)
=
c(
p, )
p 1
NM exp
-

= E( V) =

f rf ( v ) w KƩ
=

+ 1
AETA
)
AV A - )
) ~
WR ( k
-

p +M .
= HE A "
( AV + " ) ] ( R P + m) ( A Ʃ YA )
= -
'

ELAVTA ) pb
AIAy
m
'
atinglustngf
ofwishart
= -

tii 1
A
= -

AE ( V +
)
/ A '
= Am
哉⼀
1 xP
let AER ,
rM =

esimatorofifmbiased
.

= E( r =
)

p k - p ) +

Vt is an
(