【学习笔记】数理统计习题三

Q1: Let $X_1,\dots ,X_{15}$ be a simple random sample of $N(0,2^2)$. What is the distribution of
$$Y=\frac{X_1^2+\cdots +X_{10}^2}{2(X_{11}^2+\cdots +X_{15}^2)}?$$

Solution： 因为$X_i\sim N(0,2^2)(i=1,2,\cdots ,15)$，因此$\frac{X_i}{4}\sim N(0,1)$，同时依题意有，
$$\begin{array}{rl}Y& =\frac{X_1^2+\cdots +X_{10}^2}{2(X_{11}^2+\cdots +X_{15}^2)}\\ & =\frac{\frac{X_1^2+\cdots +X_{10}^2}{4}}{\frac{(X_{11}^2+\cdots +X_{15}^2)}{4}}\cdot \frac{1}{2}\end{array}$$令$\xi =\frac{X_1^2+\cdots +X_{10}^2}{4}$，$\eta =\frac{X_{11}^2+\cdots +X_{15}^2}{4}$，因此，$\xi$服从自由度为10的${\chi }^2$分布，$\eta$服从自由度为5的${\chi }^2$分布，即有：$$Y=\frac{\xi }{\eta }\cdot \frac{1}{2}=\frac{\xi /10}{\eta /5}$$显然，可以得到$Y\sim F(10,5)$

Q2: Let $\mathbf{Z}=\mathbf{c}+\mathbf{A}\mathbf{Y}$, where $\mathbf{Y}$ is a random vector, $\mathbf{A}$ is a fixed matrix, and $\mathbf{c}$ is a fixed vector. Prove that

1. the expected value of $\mathbf{Z}$: E [ Z ] = c + A E [ Y ] , \mathbb E[\boldsymbol Z]=\boldsymbol c + \boldsymbol{A}\mathbb E[\boldsymbol Y],