[SOLVED] STAT 547 Homework 1

30.00 $

Programming resource
Digital learning resource
Category:
✓ Practical programming resource
✓ Suitable for guided study and reference
✓ Tutor guidance available when needed

Description

Rate this product

Exercise 1.1 (b) & (c), Kokoszka and Riemherr (2017).

Exercise 1.4, Kokoszka and Riemherr (2017). The datasets in the book can be found here: http://www.personal.psu.edu/mlr36/Documents/KRBook_DataSets.zip

For this and the next question, consider a multivariate random variable X ∈ Rd, d ≥ 2. Find the projection directions vk, k = 1,…,d for the principal component analysis obtained in the following stepwise fashion:

v1 = argmax Var(l1|X)

kl k

vk = argmax

klkk=1 lk|lj=0, j=1,…,k−1

  1. Let ξk = vk|(X − µ), k = 1,…,d, where µ = E(X). Then
    • E(ξk) = 0
    • Var(ξk) = λk
    • Cov(ξj,ξk) = λkδjk, where δjk = 1 if j = k and 0 otherwise.

√       √

  • Corr(Xj,ξk) = λkvjk/ σjj, where Xj and vjk are the jth entry of X and vj, respectively, and σjj is the jth diagonal entry of Σ = Cov(X).
  1. Exercise 10.1, Kokoszka and Reimherr 2017
  2. Exercise 10.3, Kokoszka and Reimherr 2017
  3. Let X(t), t ∈ [0,1] be a stochastic process for which the sample paths lie in L2([0,1]). Show that the solution to the following problem minimizing the residual variance coincides with the projection directions in the functional principal component analysis:

K minEkX −XhX,ekiekk2.

k=1

The minimum is taken over orthonormal functions e1,…,eK, K ≥ 1.

1

Resource details

Understand the Task Before You Use the Resource

Review the requirements, identify the programming concepts involved, study the implementation and test your understanding with your own examples and modifications.