Random vector mean and covariance

[cutesteph]

Homework Statement

Random vector Y = [Y_1 Y_2 Y_3 …. Y_m]' where ' = transpose mean = u and and ∑ = covariance

Z = N_1 * Y_1 + N_2 * Y_2 + …. + N_m*Y_m all N are numbers Find the covariance of Z E[ (Y- E[Y] )(Y - E[Y] ) ] = E[YY'] -E[Y]E[Y]'= [N_1 N_2 .. N_m] [∑ - u^2 ….∑ -u^2] ' This seems incorrect.

 

[statdad]

If you want the covariance of Z why do you look at the covariance of Y?

Think about this: your Z can be written as

<br /> Z = \begin{pmatrix} N_1 &amp; N_2 &amp; \cdots &amp; N_m \end{pmatrix} %<br /> \begin{pmatrix} Y_1 \\ Y_2 \\ \vdots \\ Y_m \end{pmatrix}<br />

so you should be able to use properties of expectations for random vectors to simplify your work.