MA4151 – Applied Probability and Statistics
for Computer Science Engineering / MCA
Unit - V
Multi variate Analysis
1) Multivariate Analysis Definition and Results - Class 1
Random vectors / Random Matrix / Computing Expected Value / Definitions & Results
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2) Find Covariance Matrix: (University Exam Question)
Find the covariance matrix for the two random variables 𝑋1 , 𝑋2 , when their joint p.d.f 𝑃12 (𝑥1, 𝑥2 ) is
𝑥2 𝑥1 0 1
given by −1 0.24 0.06
0 0.16 0.14
1 0.40 0.00
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3) Correlation matrix from Covariance Matrix: (University Exam Question)
4 1 2
Computing Correlation matrix from the covariance matrix suppose = 1 9 −3
2 −3 25
1
obtain 𝑣 2 & 𝜌.
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4) Multivariate Density function: Definitions & Results
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5) Find Distribution in Multivariate Results: (University Exam Question)
𝑋1
𝑋 − 𝑋2 1 −1 0
Problems : = 𝑋2 = 𝐴𝑋
𝑋2 − 𝑋3 0 1 −1 𝑋
3
Find Covariance Matrix:
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6) Find N_5(u, €) and Check Independent or Not in Multivariate Analysis
4 1 0
Problem: Let 𝑋3𝑥1 be 𝑁3 (𝜇, ) with = 1 3 0 are 𝑋1 and 𝑋2 be independent?
0 0 2
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7) (University Exam Question)
1 4
Compute the principle components to the following variance covariance Matrix = .
4 100
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8) (University Exam Question)
1 4
Find Principal Components from Derived Correlation Matrix
4 100
1 4 1 0.4
For the covariance matrix 𝑡ℎ𝑒 derived correlation matrix 𝜌 = . Show that the
4 100 0.4 1
principle components obtained from covariance and correlation matrix are different.
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