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Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.7: Applications

Problem 13EQ

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Let (X,Y) be random variables with covariance matrix
(1 2
Σ
2 16
Suppose further that E(X|Y – y) – y/8, E{E(Y|X)} – 8 and
E{V(Y|X)} – 12.
(a) What is E(Y)?
(b) Find V{E(Y|X)}.
(c) Obtain E(XY).
(d) Calculate the correlation matrix of X and Y.

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