3.10
设 x ∼ N 2 ( 0 , I ) \boldsymbol{x} \sim N_{2}(\boldsymbol{0}, \boldsymbol{I}) x∼N2(0,I), 其中 x = ( x 1 , x 2 ) ′ \boldsymbol{x}=\left(x_{1}, x_{2}\right)^{\prime} x=(x1,x2)′, 试求已知 x 1 + x 2 x_{1}+x_{2} x1+x2 时 x 1 x_{1} x1 的条件分布。
答案
( x 1 x 1 + x 2 ) = ( 1 0 1 1 ) ( x 1 x 2 ) ∼ N 2 ( ( 0 0 ) , ( 1 1 1 2 ) ) \left(\begin{array}{c}x_{1} \\ x_{1}+x_{2} \end{array}\right)=\left(\begin{array}{rr} 1 & 0 \\ 1 & 1 \end{array}\right)\left(\begin{array}{c}x_{1}\\x_{2}\end{array}\right) \sim{N_{2}\left(\left(\begin{array}{r} 0 \\ 0 \end{array}\right),\left(\begin{array}{rr} 1 & 1 \\ 1 & 2 \end{array}\right)\right)} (x1x1+x2)=(1101)(x1x2)∼N2((00),(1112))
于是
E
(
x
1
∣
x
1
+
x
2
)
=
0
+
1
×
1
2
×
[
(
x
1
+
x
2
)
+
0
]
=
x
1
+
x
2
2
\begin{aligned}E(x_{1}\mid x_{1}+x_{2})&=0+1\times\frac{1}{2}\times\left[(x_{1}+x_{2})+0\right]\\&=\frac{x_{1}+x_{2}}{2}\end{aligned}
E(x1∣x1+x2)=0+1×21×[(x1+x2)+0]=2x1+x2
V ( x 1 ∣ x 1 + x 2 ) = 1 − 1 × 1 2 × 1 = 1 2 \begin{aligned}V(x_{1}\mid x_{1}+x_{2})&=1-1\times\frac{1}{2}\times 1=\frac{1}{2}\end{aligned} V(x1∣x1+x2)=1−1×21×1=21
故已知 x 1 + x 2 x_{1}+x_{2} x1+x2 时 x 1 x_{1} x1 的条件分布为 N ( x 1 + x 2 2 , 1 2 ) N(\frac{x_{1}+x_{2}}{2},\frac{1}{2}) N(2x1+x2,21)。
3.11
试证
∑
i
=
1
n
(
x
i
−
x
ˉ
)
′
Σ
−
1
(
x
i
−
x
ˉ
)
=
min
μ
∑
i
=
1
n
(
x
i
−
μ
)
′
Σ
−
1
(
x
i
−
μ
)
\sum_{i=1}^{n}\left(\boldsymbol{x}_{i}-\bar{\boldsymbol{x}}\right)^{\prime} \boldsymbol\Sigma^{-1}\left(\boldsymbol{x}_{i}-\bar{\boldsymbol{x}}\right)=\min _{\boldsymbol\mu} \sum_{i=1}^{n}\left(\boldsymbol{x}_{i}-\boldsymbol\mu\right)^{\prime} \Sigma^{-1}\left(\boldsymbol{x}_{i}-\boldsymbol\mu\right)
i=1∑n(xi−xˉ)′Σ−1(xi−xˉ)=μmini=1∑n(xi−μ)′Σ−1(xi−μ)
答案
∑ i = 1 n ( x i − μ ) ′ ( x i − μ ) = ∑ i = 1 n [ ( x i − x ˉ ) + ( x ˉ μ ) ] ′ Σ − 1 [ ( x i − x ˉ ) ( x ˉ − μ ) ] = ∑ i = 1 n ( x i − x ˉ ) ′ Σ − 1 ( x i − x ˉ ) + n ( x ˉ − μ ) ′ Σ − 1 ( x ˉ − μ ) \begin{aligned}\sum_{i=1}^{n}(\boldsymbol x_{i}-\boldsymbol\mu)^{\prime}(\boldsymbol x_{i}-\boldsymbol \mu)&=\sum_{i=1}^{n}\left[(\boldsymbol x_{i}-\bar{\boldsymbol x})+(\bar{\boldsymbol x}\boldsymbol\mu)\right]^{\prime}\boldsymbol{\Sigma}^{-1}\left[(\boldsymbol x_{i}-\bar{\boldsymbol x})(\bar{\boldsymbol x}-\boldsymbol\mu)\right]\\&=\sum_{i=1}^{n}(\boldsymbol x_{i}-\bar{\boldsymbol x})^{\prime}\boldsymbol{\Sigma}^{-1}(\boldsymbol x_{i}-\bar{\boldsymbol x})+n(\bar{\boldsymbol x}-\boldsymbol{\mu})^{\prime}\boldsymbol{\Sigma}^{-1}(\bar{\boldsymbol x}-\boldsymbol{\mu})\end{aligned} i=1∑n(xi−μ)′(xi−μ)=i=1∑n[(xi−xˉ)+(xˉμ)]′Σ−1[(xi−xˉ)(xˉ−μ)]=i=1∑n(xi−xˉ)′Σ−1(xi−xˉ)+n(xˉ−μ)′Σ−1(xˉ−μ)
故当 μ = x ˉ \boldsymbol \mu=\bar{\boldsymbol x} μ=xˉ时,上式达到最小值。
3.12
在习题
3.2
3.2
3.2 中,
μ
=
(
10
,
4
,
7
)
′
\boldsymbol{\mu}=(10,4,7)^{\prime}
μ=(10,4,7)′, 试求
(1)
(
x
1
,
x
2
)
\left(x_{1}, x_{2}\right)
(x1,x2) 的边缘分布;
(2)
x
1
∣
(
x
2
,
x
3
)
x_{1} \mid\left(x_{2}, x_{3}\right)
x1∣(x2,x3) 和
(
x
1
,
x
2
)
∣
x
3
\left(x_{1}, x_{2}\right) \mid x_{3}
(x1,x2)∣x3 的条件分布;
(3)
x
3
x_{3}
x3 给定时,
x
1
x_{1}
x1 与
x
2
x_{2}
x2 的偏相关系数;
(4)
x
1
x_{1}
x1 与
(
x
2
,
x
3
)
\left(x_{2}, x_{3}\right)
(x2,x3) 的复相关系数。
答案
(1)
( x 1 x 2 ) = ( 1 0 0 1 ) ( x 1 x 2 ) E ( x 1 , x 2 ) = ( 1 0 0 1 ) ( 10 4 ) = ( 10 4 ) V ( x 1 , x 2 ) = ( 1 0 0 1 ) ( 9 − 3 − 3 5 ) ( 1 0 0 1 ) = ( 9 − 3 − 3 5 ) N 2 ( ( 10 4 ) , ( 9 − 3 − 3 5 ) ) \left(\begin{array}{c}x_{1} \\ x_{2}\end{array}\right)=\left(\begin{array}{cc}1&0 \\0&1\end{array}\right)\left(\begin{array}{c}x_{1}\\x_{2}\end{array}\right)\\ E(x_{1},x_{2})=\left(\begin{array}{cc}1&0\\0&1\end{array}\right)\left(\begin{array}{c}10\\4\end{array}\right)=\left(\begin{array}{c}10\\4\end{array}\right)\\ V(x_{1},x_{2})=\left(\begin{array}{cc}1&0 \\0&1\end{array}\right)\left(\begin{array}{cc}9&-3\\-3&5\end{array}\right)\left(\begin{array}{cc}1&0 \\0&1\end{array}\right)=\left(\begin{array}{cc}9 & -3 \\ -3 & 5\end{array}\right)\\ N_2\left( \left(\begin{array}{c}10 \\ 4\end{array}\right), \left(\begin{array}{cc}9 & -3 \\ -3 & 5\end{array}\right) \right) (x1x2)=(1001)(x1x2)E(x1,x2)=(1001)(104)=(104)V(x1,x2)=(1001)(9−3−35)(1001)=(9−3−35)N2((104),(9−3−35))
(2)
由题意得
(
x
1
x
2
x
3
)
=
(
1
0
0
0
1
0
0
0
1
)
(
x
1
x
2
x
3
)
E
(
x
1
x
2
x
3
)
=
(
1
0
0
0
1
0
0
0
1
)
(
10
4
7
)
=
(
10
4
7
)
V
(
x
1
x
2
x
3
)
=
(
1
0
0
0
1
0
0
0
1
)
(
9
−
3
−
3
−
3
5
1
−
1
5
)
(
1
0
0
0
1
0
0
0
1
)
\left(\begin{array}{c}x_{1}\\x_{2}\\x_{3}\end{array}\right)=\left(\begin{array}{ccc}1&0&0\\0&1&0\\0&0&1\end{array}\right)\left(\begin{array}{c}x_{1}\\x_{2}\\x_{3}\end{array}\right)\\E\left(\begin{array}{c}x_{1}\\x_{2}\\x_{3}\end{array}\right)=\left(\begin{array}{ccc}1&0&0\\0&1&0\\0&0&1\end{array}\right)\left(\begin{array}{c}10\\4\\7\end{array}\right)=\left(\begin{array}{c}10\\4\\7\end{array}\right)\\V\left(\begin{array}{c}x_{1}\\x_{2}\\x_{3}\end{array}\right)=\left(\begin{array}{ccc}1&0&0\\0&1&0\\0&0&1\end{array}\right)\left(\begin{array}{ccc}9&-3&-3\\-3&5&1\\-&1&5\end{array}\right)\left(\begin{array}{ccc}1&0&0\\0&1&0\\0&0&1\end{array}\right)
⎝
⎛x1x2x3⎠
⎞=⎝
⎛100010001⎠
⎞⎝
⎛x1x2x3⎠
⎞E⎝
⎛x1x2x3⎠
⎞=⎝
⎛100010001⎠
⎞⎝
⎛1047⎠
⎞=⎝
⎛1047⎠
⎞V⎝
⎛x1x2x3⎠
⎞=⎝
⎛100010001⎠
⎞⎝
⎛9−3−−351−315⎠
⎞⎝
⎛100010001⎠
⎞
E ( x 1 ∣ ( x 2 x 3 ) ) = 10 + ( − 3 , − 3 ) ( 5 1 1 5 ) − 1 [ ( x 2 x 3 ) − ( 4 7 ) ] = − x 2 2 − x 3 2 + 15 1 2 \begin{aligned}E\Big(x_{1}\Big|\left(\begin{array}{r}x_{2} \\ x_{3}\end{array}\right)\Big)&=10+(-3,-3)\left(\begin{array}{rr}5 & 1 \\ 1 & 5 \end{array}\right)^{-1}\Big[\left(\begin{array}{r} x_{2} \\ x_{3}\end{array}\right)-\left(\begin{array}{r}4 \\ 7\end{array}\right)\Big]\\ &=-\frac{x_{2}}{2}-\frac{x_{3}}{2}+15\frac{1}{2}\end{aligned} E(x1∣ ∣(x2x3))=10+(−3,−3)(5115)−1[(x2x3)−(47)]=−2x2−2x3+1521
V
(
x
1
∣
(
x
2
x
3
)
)
=
9
−
(
−
3
,
−
3
)
(
5
1
1
5
)
−
1
(
−
3
−
3
)
=
6
\begin{aligned}V\Big(x_{1}\Big|\left(\begin{array}{r}x_{2}\\x_{3}\end{array}\right)\Big)&=9-(-3,-3)\left(\begin{array}{rr}5 & 1 \\ 1 & 5 \end{array}\right)^{-1}\left(\begin{array}{r}-3 \\-3\end{array}\right)=6\end{aligned}
V(x1∣
∣(x2x3))=9−(−3,−3)(5115)−1(−3−3)=6
故
x
1
∣
(
x
2
x
3
)
∼
(
−
x
2
2
−
x
3
2
+
15
1
2
,
6
)
x_{1}\Big|\left(\begin{array}{r}x_{2}\\x_{3}\end{array}\right)\sim(-\frac{x_{2}}{2}-\frac{x_{3}}{2}+15\frac{1}{2},6)
x1∣
∣(x2x3)∼(−2x2−2x3+1521,6)
又因为:
E
(
(
x
1
x
2
)
∣
x
3
)
=
(
10
4
)
+
(
−
3
1
)
1
5
(
x
3
−
7
)
=
(
−
3
5
x
3
+
14
1
5
1
5
x
3
+
2
3
5
)
\begin{aligned}E\Big(\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)\Big|x_{3}\Big)&=\left(\begin{array}{r}10 \\ 4\end{array}\right)+\left(\begin{array}{c}-3 \\ 1\end{array}\right)\frac{1}{5}(x_{3}-7)\\&=\left(\begin{array}{c} -\frac{3}{5}x_{3}+14\frac{1}{5} \\ \frac{1}{5}x_{3}+2\frac{3}{5}\end{array}\right)\end{aligned}
E((x1x2)∣
∣x3)=(104)+(−31)51(x3−7)=(−53x3+145151x3+253)
V
(
(
x
1
x
2
)
∣
x
3
)
=
(
9
−
3
−
3
5
)
−
(
−
3
1
)
1
5
(
−
3
,
1
)
=
12
5
(
3
−
1
−
1
2
)
\begin{aligned}V\Big(\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)\Big|x_{3}\Big)&=\left(\begin{array}{rr} 9 & -3 \\ -3 & 5\end{array}\right)-\left(\begin{array}{r}-3 \\ 1\end{array}\right)\frac{1}{5}\left(-3,1\right)\\&=\frac{12}{5}\left(\begin{array}{cc}3 & -1 \\ -1 & 2\end{array}\right)\end{aligned}
V((x1x2)∣
∣x3)=(9−3−35)−(−31)51(−3,1)=512(3−1−12)
故
(
x
1
x
2
)
∣
x
3
∼
N
2
(
(
−
3
5
x
3
+
14
1
5
1
5
x
3
+
2
3
5
)
,
12
5
(
3
−
1
−
1
2
)
)
\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)\Big|x_{3}\sim N_{2}\left(\left(\begin{array}{c}-\frac{3}{5}x_{3}+14\frac{1}{5} \\ \frac{1}{5}x_{3}+2\frac{3}{5}\end{array}\right),\frac{12}{5}\left(\begin{array}{cc}3 & -1 \\ -1 & 2\end{array}\right)\right)
(x1x2)∣
∣x3∼N2((−53x3+145151x3+253),512(3−1−12))
(3)
由 ( 2 ) (2) (2)知, x 3 x_{3} x3给定时, ( x 1 x 2 ) \left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right) (x1x2)的偏协方差矩阵为 12 5 ( 3 − 1 − 1 2 ) \frac{12}{5}\left(\begin{array}{rr}3 & -1 \\ -1 & 2\end{array}\right) 512(3−1−12),故其偏相关系数为 − 1 3 2 = − 6 6 \frac{-1}{\sqrt{3}\sqrt{2}}=-\frac{\sqrt{6}}{6} 32−1=−66。
(4)
由题意得:
( − 3 , − 3 ) ( 5 1 1 5 ) − 1 ( − 3 − 3 ) 9 = 3 3 \sqrt\frac{{(-3,-3)\left(\begin{array}{rr}5 & 1 \\ 1 & 5\end{array}\right)^{-1}\left(\begin{array}{r}-3 \\ -3\end{array}\right)}}{9}=\frac{\sqrt{3}}{3} 9(−3,−3)(5115)−1(−3−3)=33
3.13
设 x ∼ N 3 ( 0 , Σ ) \boldsymbol{x} \sim N_{3}(\boldsymbol{0}, \boldsymbol{\Sigma}) x∼N3(0,Σ), 其中
Σ = ( 1 ρ 12 ρ 13 ρ 12 1 ρ 23 ρ 13 ρ 23 1 ) \boldsymbol{\Sigma}=\left(\begin{array}{ccc} 1 & \rho_{12} & \rho_{13} \\ \rho_{12} & 1 & \rho_{23} \\ \rho_{13} & \rho_{23} & 1 \end{array}\right) Σ=⎝ ⎛1ρ12ρ13ρ121ρ23ρ13ρ231⎠ ⎞
试求
(1)
x
3
∣
(
x
1
,
x
2
)
x_{3} \mid\left(x_{1}, x_{2}\right)
x3∣(x1,x2) 的条件分布;
(2) 给定
x
3
x_{3}
x3 时,
x
1
x_{1}
x1 和
x
2
x_{2}
x2 的偏协方差。
答案
(1)
( x 3 x 1 x 2 ) ∼ N 3 ( ( 0 0 0 ) , ( 1 ρ 13 ρ 23 ρ 13 1 ρ 12 ρ 23 ρ 12 1 ) ) \left(\begin{array}{r}x_{3} \\ x_{1} \\ x_{2}\end{array}\right) \sim N_{3}\left(\left(\begin{array}{r}0 \\ 0 \\ 0 \\\end{array}\right),\left(\begin{array}{rrr}1 & \rho_{13} & \rho_{23} \\ \rho_{13} & 1 & \rho_{12} \\ \rho_{23} & \rho_{12} & 1 \end{array}\right)\right) ⎝ ⎛x3x1x2⎠ ⎞∼N3⎝ ⎛⎝ ⎛000⎠ ⎞,⎝ ⎛1ρ13ρ23ρ131ρ12ρ23ρ121⎠ ⎞⎠ ⎞
E ( x 3 ∣ ( x 1 x 2 ) ) = 0 + ( ρ 13 , ρ 23 ) ( 1 ρ 12 ρ 12 1 ) − 1 [ ( x 1 x 2 ) − ( 0 0 ) ] = ρ 13 − ρ 12 ρ 23 1 − ρ 12 2 x 1 + ρ 23 − ρ 12 ρ 13 1 − ρ 12 2 x 2 \begin{aligned} E\Big(x_{3}\Big|\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)\Big) &=0+(\rho_{13},\rho_{23})\left(\begin{array}{rr}1 & \rho_{12} \\ \rho_{12} & 1\end{array}\right)^{-1}\Big[\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)-\left(\begin{array}{r}0 \\ 0 \end{array}\right)\Big]\\&=\frac{\rho_{13}-\rho_{12}\rho_{23}}{1-\rho_{12}^2}x_{1}+\frac{\rho_{23}-\rho_{12}\rho_{13}}{1-\rho_{12}^2}x_{2}\end{aligned} E(x3∣ ∣(x1x2))=0+(ρ13,ρ23)(1ρ12ρ121)−1[(x1x2)−(00)]=1−ρ122ρ13−ρ12ρ23x1+1−ρ122ρ23−ρ12ρ13x2
V ( x 3 ∣ ( x 1 x 2 ) ) = 1 − ( ρ 13 , ρ 23 ) ( 1 ρ 12 ρ 12 1 ) − 1 ( ρ 13 ρ 13 ) = 1 − ρ 12 2 − ρ 13 2 − ρ 23 2 + 2 ρ 12 ρ 13 ρ 23 1 − ρ 12 2 \begin{aligned} V\Big(x_{3}\Big|\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)\Big) &=1-(\rho_{13},\rho_{23})\left(\begin{array}{rr}1 & \rho_{12} \\\rho_{12} & 1\end{array}\right)^{-1}\left(\begin{array}{r}\rho_{13} \\ \rho_{13}\end{array}\right)\\ &=\frac{1-\rho_{12}^{2}-\rho_{13}^{2}-\rho_{23}^{2}+2\rho_{12}\rho_{13}\rho_{23}}{1-\rho_{12}^{2}} \end{aligned} V(x3∣ ∣(x1x2))=1−(ρ13,ρ23)(1ρ12ρ121)−1(ρ13ρ13)=1−ρ1221−ρ122−ρ132−ρ232+2ρ12ρ13ρ23
x 3 ∣ ( x 1 x 2 ) ∼ N ( ρ 13 − ρ 12 ρ 23 1 − ρ 12 2 x 1 + ρ 23 − ρ 12 ρ 13 1 − ρ 12 2 , 1 − ρ 12 2 − ρ 13 2 − ρ 23 2 + 2 ρ 12 ρ 13 ρ 23 1 − ρ 12 2 ) x_{3}\Big|\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right) \sim N(\frac{\rho_{13}-\rho_{12}\rho_{23}}{1-\rho_{12}^{2}}x_{1}+\frac{\rho_{23}-\rho_{12}\rho_{13}}{1-\rho_{12}^{2}},\frac{1-\rho_{12}^{2}-\rho_{13}^{2}-\rho_{23}^{2}+2\rho_{12}\rho_{13}\rho_{23}}{1-\rho_{12}^{2}}) x3∣ ∣(x1x2)∼N(1−ρ122ρ13−ρ12ρ23x1+1−ρ122ρ23−ρ12ρ13,1−ρ1221−ρ122−ρ132−ρ232+2ρ12ρ13ρ23)
(2)
给定
x
3
x_{3}
x3时,
(
x
1
x
2
)
\left(\begin{array}{r}x_{1} \\ x_{2}\end{array}\right)
(x1x2)的偏协方差矩阵为
(
1
ρ
12
ρ
12
1
)
−
(
ρ
13
ρ
23
)
(
ρ
13
,
ρ
23
)
=
(
1
−
ρ
13
2
ρ
12
−
ρ
13
ρ
13
ρ
12
−
ρ
13
ρ
23
1
−
ρ
23
2
)
\left(\begin{array}{cc}1 & \rho_{12} \\ \rho_{12} & 1\end{array}\right)- \left(\begin{array}{r}\rho_{13} \\ \rho_{23}\end{array}\right)(\rho_{13},\rho_{23})= \left(\begin{array}{cc}1-\rho_{13}^{2} & \rho_{12}-\rho_{13}\rho_{13} \\ \rho_{12}-\rho_{13}\rho_{23} & 1-\rho_{23}^{2} \end{array}\right)
(1ρ12ρ121)−(ρ13ρ23)(ρ13,ρ23)=(1−ρ132ρ12−ρ13ρ23ρ12−ρ13ρ131−ρ232)
3.14
设
A
=
(
1
4
1
4
1
4
1
4
1
2
−
1
2
0
0
1
6
1
6
−
2
6
0
1
12
1
12
1
12
−
3
12
)
A=\left(\begin{array}{cccc} \frac{1}{\sqrt{4}} & \frac{1}{\sqrt{4}} & \frac{1}{\sqrt{4}} & \frac{1}{\sqrt{4}} \\ \frac{1}{\sqrt{2}} & -\frac{1}{\sqrt{2}} & 0 & 0 \\ \frac{1}{\sqrt{6}} & \frac{1}{\sqrt{6}} & -\frac{2}{\sqrt{6}} & 0 \\ \frac{1}{\sqrt{12}} & \frac{1}{\sqrt{12}} & \frac{1}{\sqrt{12}} & -\frac{3}{\sqrt{12}} \end{array}\right)
A=⎝
⎛41216112141−2161121410−621214100−123⎠
⎞
(1) 试证
A
A
′
=
I
\boldsymbol{A A}^{\prime}=\boldsymbol{I}
AA′=I, 即
A
\boldsymbol{A}
A 是一个正交矩阵;
(2) 设
y
=
A
x
\boldsymbol{y}=\boldsymbol{A x}
y=Ax, 其中
x
∼
N
4
(
μ
1
,
σ
2
I
)
,
1
=
(
1
,
1
,
1
,
1
)
′
\boldsymbol{x} \sim N_{4}\left(\mu \mathbf{1}, \sigma^{2} \boldsymbol{I}\right), \mathbf{1}=(1,1,1,1)^{\prime}
x∼N4(μ1,σ2I),1=(1,1,1,1)′, 试证
y
2
2
+
y
3
2
+
y
4
2
=
∑
i
=
1
4
x
i
2
−
1
4
(
∑
i
=
1
4
x
i
)
2
y_{2}^{2}+y_{3}^{2}+y_{4}^{2}=\sum_{i=1}^{4} x_{i}^{2}-\frac{1}{4}\left(\sum_{i=1}^{4} x_{i}\right)^{2}
y22+y32+y42=i=1∑4xi2−41(i=1∑4xi)2
及
y
1
,
y
2
,
y
3
,
y
4
y_{1}, y_{2}, y_{3}, y_{4}
y1,y2,y3,y4 相互独立, 且
y
1
∼
N
(
2
μ
,
σ
2
)
,
y
i
∼
N
(
0
,
σ
2
)
,
i
=
2
,
3
,
4
y_{1} \sim N\left(2 \mu, \sigma^{2}\right), y_{i} \sim N\left(0, \sigma^{2}\right), i=2,3,4
y1∼N(2μ,σ2),yi∼N(0,σ2),i=2,3,4 。
答案
(1) A \boldsymbol{A} A的 4 4 4个行向量均为单位向量且彼此正交,所以 A \boldsymbol{A} A是正交矩阵。
(2)从
y
=
A
x
\boldsymbol{y}=\boldsymbol{A}\boldsymbol{x}
y=Ax,可见
y
′
y
=
(
A
x
)
′
A
x
=
x
′
x
\boldsymbol{y^{\prime}y}=\boldsymbol{(Ax)^{\prime}Ax}=\boldsymbol{x^{\prime}x}
y′y=(Ax)′Ax=x′x,且
y
1
=
1
2
∑
i
=
1
4
x
i
y_{1}=\frac{1}{2}\sum_{i=1}^{4}x_{i}
y1=21∑i=14xi,从而
y
2
2
+
y
3
2
+
y
4
2
=
y
′
y
−
y
1
2
=
x
′
x
−
(
1
2
∑
i
=
1
4
x
i
)
2
=
∑
i
=
1
4
x
i
2
−
1
4
(
∑
i
=
1
4
x
i
)
2
\begin{aligned} y_{2}^{2}+y_{3}^{2}+y_{4}^{2}&=\boldsymbol{y^{\prime}y}-y_{1}^{2}\\ &=\boldsymbol{x^{\prime}x}-(\frac{1}{2}\sum_{i=1}^{4}x_{i})^{2}\\ &=\sum_{i=1}^{4}x_{i}^{2}-\frac{1}{4}(\sum_{i=1}^{4}x_{i})^{2}\\ \end{aligned}
y22+y32+y42=y′y−y12=x′x−(21i=1∑4xi)2=i=1∑4xi2−41(i=1∑4xi)2
于是
y
=
A
x
∼
N
4
(
μ
A
1
,
σ
2
A
A
′
)
=
N
4
(
μ
A
1
,
σ
2
I
)
\boldsymbol{y}=\boldsymbol{Ax}\sim N_{4}(\mu\boldsymbol{A}\mathbf{1},\sigma^{2}\boldsymbol{AA^{\prime}})=N_{4}(\mu\boldsymbol{A}\mathbf{1},\sigma^{2}\boldsymbol{I})
y=Ax∼N4(μA1,σ2AA′)=N4(μA1,σ2I)
故 y 1 , y 2 , y 3 , y 4 y_{1},y_{2},y_{3},y_{4} y1,y2,y3,y4相互独立,且 y ∼ N ( 2 μ , σ 2 ) , y ∼ N ( 0 , σ 2 ) , i = 2 , 3 , 4 y\sim N(2\mu,\sigma^{2}),y\sim N(0,\sigma^{2}),i=2,3,4 y∼N(2μ,σ2),y∼N(0,σ2),i=2,3,4。
3.15
设 x ∼ N n ( μ , σ 2 I ) , x ˉ = 1 n ∑ i = 1 n x i , ( n − 1 ) s 2 = ∑ i = 1 n ( x i − x ˉ ) 2 = ∑ i = 1 n x i 2 − n x ˉ 2 = ∑ i = 1 n x i 2 − \boldsymbol{x} \sim N_{n}\left(\boldsymbol{\mu}, \sigma^{2} \boldsymbol{I}\right), \bar{x}=\frac{1}{n} \sum_{i=1}^{n} x_{i},(n-1) s^{2}=\sum_{i=1}^{n}\left(x_{i}-\bar{x}\right)^{2}=\sum_{i=1}^{n} x_{i}^{2}-n \bar{x}^{2}=\sum_{i=1}^{n} x_{i}^{2}- x∼Nn(μ,σ2I),xˉ=n1∑i=1nxi,(n−1)s2=∑i=1n(xi−xˉ)2=∑i=1nxi2−nxˉ2=∑i=1nxi2− 1 n ( ∑ i = 1 n x i ) 2 \frac{1}{n}\left(\sum_{i=1}^{n} x_{i}\right)^{2} n1(∑i=1nxi)2, 试证 x ˉ \bar{x} xˉ 和 s 2 s^{2} s2 相互独立。
[ 提示: 证法一。参考习题3.14,令
A
=
(
1
n
1
n
1
n
⋯
1
n
1
n
1
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⋅
1
−
1
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⋅
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0
⋯
0
0
1
3
⋅
2
1
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⋅
2
−
2
−
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3
⋅
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⋯
0
0
⋮
⋮
⋮
⋮
⋮
1
n
(
n
−
1
)
1
n
(
n
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1
)
1
n
(
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−
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⋯
1
n
(
n
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)
−
(
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n
(
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)
)
\boldsymbol{A}=\left(\begin{array}{cccccc} \frac{1}{\sqrt{n}} & \frac{1}{\sqrt{n}} & \frac{1}{\sqrt{n}} & \cdots & \frac{1}{\sqrt{n}} & \frac{1}{\sqrt{n}} \\\frac{1}{\sqrt{2 \cdot 1}} & \frac{-1}{\sqrt{2 \cdot 1}} & 0 & \cdots & 0 & 0 \\ \frac{1}{\sqrt{3 \cdot 2}} & \frac{1}{\sqrt{3 \cdot 2}}-2 \frac{-2}{\sqrt{3 \cdot 2}} & \cdots & 0 & 0 \\ \vdots & \vdots & \vdots & & \vdots & \vdots \\\frac{1}{\sqrt{n(n-1)}} & \frac{1}{\sqrt{n(n-1)}} & \frac{1}{\sqrt{n(n-1)}} & \cdots & \frac{1}{\sqrt{n(n-1)}} & \frac{-(n-1)}{\sqrt{n(n-1)}}\end{array}\right)
A=⎝
⎛n12⋅113⋅21⋮n(n−1)1n12⋅1−13⋅21−23⋅2−2⋮n(n−1)1n10⋯⋮n(n−1)1⋯⋯0⋯n100⋮n(n−1)1n10⋮n(n−1)−(n−1)⎠
⎞
- 证法二。利用 § 3.2 \S 3.2 §3.2 中的性质 ( 9 ) (9) (9), 证明 x ˉ = 1 n 1 ′ x \bar{x}=\frac{1}{n} \mathbf{1}^{\prime} \boldsymbol{x} xˉ=n11′x 与 ( x 1 − x ˉ x 2 − x ˉ ⋮ x n − x ˉ ) = ( I − 1 n 11 ′ ) x \left(\begin{array}{c}x_{1}-\bar{x} \\ x_{2}-\bar{x} \\ \vdots \\ x_{n}-\bar{x}\end{array}\right)=\left(\boldsymbol{I}-\frac{1}{n} \mathbf{1 1}^{\prime}\right) \boldsymbol{x} ⎝ ⎛x1−xˉx2−xˉ⋮xn−xˉ⎠ ⎞=(I−n111′)x 独立, 其中 1 = ( 1 , 1 , ⋯ , 1 ) ′ \mathbf{1}=(1,1,\cdots, 1)^{\prime} 1=(1,1,⋯,1)′]
答案
证法一
易见,
A
\boldsymbol{A}
A的所有行都是单位向量且彼此正交,故
A
\boldsymbol{A}
A是正交矩阵。令
y
=
A
x
\boldsymbol{y=Ax}
y=Ax,于是
V
(
y
)
=
A
(
σ
2
I
)
A
′
=
σ
2
A
A
′
=
σ
2
I
V(y)=\boldsymbol{A}(\sigma^{2}\boldsymbol{I})\boldsymbol{A^{\prime}}=\sigma^{2}\boldsymbol{AA^{\prime}}=\sigma^{2}\boldsymbol{I}
V(y)=A(σ2I)A′=σ2AA′=σ2I,从而
y
∼
N
n
(
∗
,
σ
2
I
)
y\sim N_{n}(*,\sigma^{2}\boldsymbol{I})
y∼Nn(∗,σ2I),故
y
1
,
y
2
,
⋯
,
y
n
y_{1},y_{2},\cdots ,y_{n}
y1,y2,⋯,yn相互独立。因为
y
1
=
(
1
n
1
′
)
x
=
1
n
∑
i
=
1
n
x
i
y_{1}=(\frac{1}{\sqrt{n}}\mathbf{1}^{\prime})x=\frac{1}{\sqrt{n}}\sum_{i=1}^{n}x_{i}
y1=(n11′)x=n1∑i=1nxi,且
∑
i
=
1
n
y
i
2
=
y
y
′
=
(
A
x
)
′
(
A
x
)
=
x
′
x
=
∑
i
=
1
n
x
i
2
\sum_{i=1}^{n}y_{i}^{2}=\boldsymbol{yy^{\prime}}=(\boldsymbol{Ax})^{\prime}(\boldsymbol{Ax})=\boldsymbol{x^{\prime}x}=\sum_{i=1}^{n}x_{i}^{2}
∑i=1nyi2=yy′=(Ax)′(Ax)=x′x=∑i=1nxi2,于是
x
ˉ
=
1
n
∑
i
=
1
n
x
i
=
1
n
y
1
(
n
−
1
)
s
2
=
∑
i
=
1
n
x
i
2
−
1
n
(
∑
i
=
1
n
x
i
)
2
=
∑
i
=
1
n
y
i
2
−
y
1
2
=
∑
i
=
2
n
y
i
2
\bar x=\frac{1}{n}\sum_{i=1}^{n}x_{i}=\frac{1}{\sqrt{n}}y_{1}\\ (n-1)s^{2}=\sum_{i=1}^{n}x_{i}^{2}-\frac{1}{n}(\sum_{i=1}^{n}x_{i})^{2}=\sum_{i=1}^{n}y_{i}^{2}-y_{1}^{2}=\sum_{i=2}^{n}y_{i}^{2}
xˉ=n1i=1∑nxi=n1y1(n−1)s2=i=1∑nxi2−n1(i=1∑nxi)2=i=1∑nyi2−y12=i=2∑nyi2
所以
x
ˉ
\bar x
xˉ和
s
2
s_{2}
s2独立。
证法二
因
x
\boldsymbol{x}
x 为多元正态变量,且
(
1
n
1
′
)
(
σ
2
I
)
(
I
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)
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−
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n
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1
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′
)
=
0
′
(\frac{1}{n}\mathbf{1}^{\prime})(\sigma^{2}\boldsymbol{I})(\boldsymbol{I}-\frac{1}{n}\mathbf{1}\mathbf{1}^{\prime})^{\prime}=\frac{\sigma^{2}}{n}(\mathbf{1}^{\prime}-\frac{1}{n}\mathbf{1}^{\prime}\mathbf{1}\mathbf{1}^{\prime})=\boldsymbol{0}^{\prime}
(n11′)(σ2I)(I−n111′)′=nσ2(1′−n11′11′)=0′
于是由
§
3.2
\S 3.2
§3.2中的结论中的性质
(
9
)
(9)
(9)知,
x
ˉ
=
1
n
1
′
x
\bar x=\frac{1}{n}\mathbf{1}^{\prime}x
xˉ=n11′x独立,而
s
2
s^{2}
s2是
(
x
1
−
x
ˉ
x
2
−
x
ˉ
⋮
x
n
−
x
ˉ
)
\left(\begin{array}{c}x_{1}-\bar x \\ x_{2}-\bar x \\ \vdots \\ x_{n}-\bar x\end{array}\right)
⎝
⎛x1−xˉx2−xˉ⋮xn−xˉ⎠
⎞的函数,从而
x
ˉ
\bar x
xˉ与
s
2
s^{2}
s2独立。
3.16(有用结论)
设 x 1 , x 2 , ⋯ , x n x_{1}, x_{2}, \cdots, x_{n} x1,x2,⋯,xn 是来自 p p p 维总体 x x x 的一个样本, 样本协方差矩阵 S > 0 \boldsymbol{S}>0 S>0, 试证 n > p n>p n>p 。
答案
令
B
=
(
x
1
−
x
ˉ
,
⋯
,
x
n
−
x
ˉ
)
\boldsymbol{B}=(x_{1}-\bar x,\cdots,x_{n}-\bar x)
B=(x1−xˉ,⋯,xn−xˉ),则
S
=
1
n
−
1
∑
i
=
1
n
(
x
i
−
x
ˉ
)
(
x
i
−
x
ˉ
)
′
=
1
n
−
1
B
B
′
\boldsymbol{S}=\frac{1}{n-1}\sum_{i=1}^{n}(x_{i}-\bar x)(x_{i}-\bar x)^{\prime}=\frac{1}{n-1}\boldsymbol{BB^{\prime}}
S=n−11i=1∑n(xi−xˉ)(xi−xˉ)′=n−11BB′
于是由
§
1.5
\S 1.5
§1.5的性质
(
8
)
(8)
(8)知
r
a
n
k
(
B
)
r
a
n
k
(
B
B
′
)
=
r
a
n
k
(
S
)
=
p
rank(\boldsymbol{B})rank(\boldsymbol{BB^{\prime}})=rank(\boldsymbol{S})=p
rank(B)rank(BB′)=rank(S)=p
由于
∑
i
=
1
n
(
x
i
−
x
ˉ
)
=
0
\sum_{i=1}^{n}(x_{i}-\bar x)=0
∑i=1n(xi−xˉ)=0,从而
B
\boldsymbol{B}
B不是列满秩的,即有
r
a
n
k
(
B
)
<
n
rank(\boldsymbol{B})<n
rank(B)<n,故
n
>
p
n>p
n>p。
3.17
试证 (3.4.1) 式中的最后一个等式。
答案
令
D
=
d
i
a
g
(
σ
11
,
σ
22
,
⋯
,
σ
p
p
)
\boldsymbol{D}=diag(\sqrt{\sigma_{11}},\sqrt{\sigma_{22}},\cdots,\sqrt{\sigma_{pp}})
D=diag(σ11,σ22,⋯,σpp),其中
σ
11
,
σ
22
,
⋯
,
σ
p
p
\sigma_{11},\sigma_{22},\cdots,\sigma_{pp}
σ11,σ22,⋯,σpp是
Σ
x
x
\boldsymbol{\Sigma}_{xx}
Σxx是
p
p
p个对角线元素,则
σ
x
y
=
C
o
v
(
x
,
y
)
=
D
ρ
(
x
,
y
)
σ
y
y
=
σ
y
y
D
ρ
x
y
Σ
x
x
=
D
R
x
x
D
\boldsymbol{\sigma}_{xy}=Cov(x,y)=\boldsymbol{D}\rho(x,y)\sqrt{\sigma_{yy}}=\sqrt{\sigma_{yy}}\boldsymbol{D\rho}_{xy}\\ \boldsymbol{\Sigma_{xx}}=\boldsymbol{DR_{xx}D}
σxy=Cov(x,y)=Dρ(x,y)σyy=σyyDρxyΣxx=DRxxD
从而
σ
x
y
′
Σ
x
x
−
1
σ
x
y
σ
y
y
=
(
σ
y
y
D
ρ
x
y
)
′
(
D
R
x
y
D
)
−
1
(
σ
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y
D
ρ
x
y
)
σ
y
y
=
ρ
′
x
y
R
x
x
−
1
ρ
x
y
\frac{\boldsymbol{{\sigma}_{xy}^{\prime}\Sigma_{xx}^{-1}\sigma_{xy}}}{\sigma_{yy}}=\frac{(\sqrt{\sigma_{yy}}\boldsymbol{D\rho}_{xy})^{\prime}(\boldsymbol{DR}_{xy}\boldsymbol{D})^{-1}(\sqrt{\sigma_{yy}}\boldsymbol{D\rho}_{xy})}{\sigma_{yy}}=\boldsymbol{\rho^{\prime}}_{xy}\boldsymbol{R}_{xx}^{-1}\boldsymbol{\rho}_{xy}
σyyσxy′Σxx−1σxy=σyy(σyyDρxy)′(DRxyD)−1(σyyDρxy)=ρ′xyRxx−1ρxy
*3.18
试证 (3.4.5) 式。
答案
设
g
(
x
)
=
a
+
b
′
(
x
−
μ
x
)
g(\boldsymbol{x})=a+\boldsymbol{b^{\prime}(x-\mu_{x})}
g(x)=a+b′(x−μx),于是
E
[
y
−
g
(
x
)
]
2
=
E
{
(
y
−
y
ˉ
+
[
y
ˉ
−
g
(
x
)
]
}
2
=
E
(
y
−
y
ˉ
)
2
+
E
[
y
ˉ
−
g
(
x
)
]
2
+
2
E
(
y
−
y
ˉ
)
[
y
ˉ
−
g
(
x
)
]
\begin{aligned} E[y-g(\boldsymbol{x})]^{2}&=E\{(y-\bar y+[\bar y-g(\boldsymbol{x})]\}^{2}\\ &=E(y-\bar y)^{2}+E[\bar y-g(\boldsymbol{x})]^{2}+2E(y-\bar y)[\bar y-g(\boldsymbol{x})]\\ \end{aligned}
E[y−g(x)]2=E{(y−yˉ+[yˉ−g(x)]}2=E(y−yˉ)2+E[yˉ−g(x)]2+2E(y−yˉ)[yˉ−g(x)]
又因为
E
(
y
−
y
ˉ
)
[
y
ˉ
−
g
(
x
)
]
=
E
[
y
−
μ
y
−
σ
′
x
y
Σ
x
x
−
1
(
x
−
μ
x
)
]
[
μ
y
+
σ
x
y
′
Σ
x
x
−
1
(
x
−
μ
x
)
−
a
−
b
′
(
x
−
μ
x
)
]
=
E
[
(
y
−
μ
y
)
−
σ
x
y
′
Σ
x
x
−
1
(
x
−
μ
x
)
]
[
(
σ
x
y
′
Σ
x
x
−
1
−
b
′
)
(
x
−
μ
x
)
]
=
E
[
(
y
−
μ
y
)
−
σ
x
y
′
Σ
x
x
−
1
(
x
−
μ
x
)
]
(
x
−
μ
x
)
′
(
Σ
x
x
−
1
σ
x
y
−
b
)
=
[
C
o
v
(
y
,
x
)
−
σ
x
y
′
Σ
x
x
−
1
V
(
x
)
]
(
Σ
x
x
−
1
σ
x
y
−
b
)
=
(
σ
x
y
′
−
σ
x
y
′
Σ
x
x
−
1
Σ
x
x
)
(
Σ
x
x
−
1
σ
x
y
−
b
)
=
0
\begin{aligned} E(y-\bar y)[\bar y-g(\boldsymbol{x})] &=E[y-\mu_{y}-\boldsymbol{\sigma^{\prime}}_{xy}\boldsymbol{\Sigma}_{xx}^{-1} (\boldsymbol{x-\mu_{x}})][\mu_{y}+\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}(\boldsymbol{x-\mu_{x}})-a-\boldsymbol{b^{\prime}}(\boldsymbol{x-\mu_{x}})]\\ &=E[(y-\mu_{y})-\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}(\boldsymbol{x-\mu_{x}})][(\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}-\boldsymbol{b^{\prime}})(\boldsymbol{x-\mu_{x}})]\\ &=E[(y-\mu_{y})-\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}(\boldsymbol{x-\mu_{x}})](\boldsymbol{x-\mu_{x}})^{\prime}(\boldsymbol{\Sigma}_{xx}^{-1}\boldsymbol{\sigma}_{xy}-\boldsymbol{b})\\ &=[Cov(y,x)-\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}V(x)](\boldsymbol{\Sigma}_{xx}^{-1}\boldsymbol{\sigma}_{xy}-\boldsymbol{b})\\ &=(\boldsymbol{\sigma}_{xy}^{\prime}-\boldsymbol{\sigma}_{xy}^{\prime}\boldsymbol{\Sigma}_{xx}^{-1}\boldsymbol{\Sigma}_{xx})(\boldsymbol{\Sigma}_{xx}^{-1}\boldsymbol{\sigma}_{xy}-\boldsymbol{b})\\ &=0 \end{aligned}
E(y−yˉ)[yˉ−g(x)]=E[y−μy−σ′xyΣxx−1(x−μx)][μy+σxy′Σxx−1(x−μx)−a−b′(x−μx)]=E[(y−μy)−σxy′Σxx−1(x−μx)][(σxy′Σxx−1−b′)(x−μx)]=E[(y−μy)−σxy′Σxx−1(x−μx)](x−μx)′(Σxx−1σxy−b)=[Cov(y,x)−σxy′Σxx−1V(x)](Σxx−1σxy−b)=(σxy′−σxy′Σxx−1Σxx)(Σxx−1σxy−b)=0
故当
g
(
x
)
=
x
ˉ
g(x)=\bar x
g(x)=xˉ时,
E
[
y
−
g
(
x
)
]
2
E[y-g(x)]^{2}
E[y−g(x)]2达到最小值
E
(
y
−
y
ˉ
)
2
E(y-\bar y)^{2}
E(y−yˉ)2。