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Let \(X_{1}, X_{2}, X_{3}\) be a random sample from the normal distribution \(N\left(0, \sigma^{2}\right)\). Are the quadratic forms \(X_{1}^{2}+3 X_{1} X_{2}+X_{2}^{2}+X_{1} X_{3}+X_{3}^{2}\) and \(X_{1}^{2}-2 X_{1} X_{2}+\frac{2}{3} X_{2}^{2}-\) \(2 X_{1} X_{2}-X_{3}^{2}\) independent or dependent?

Short Answer

Expert verified
The quadratic forms are independent.

Step by step solution

01

Define the quadratic forms

Let \( Q1 = X_{1}^{2} + 3X_{1}X_{2} + X_{2}^{2} + X_{1}X_{3} + X_{3}^{2} \) and \( Q2 = X_{1}^{2} - 2X_{1}X_{2} + \frac{2}{3} X_{2}^{2} - 2X_{1}X_{3} - X_{3}^{2} \)
02

Calculate the Covariance

Cov(Q1, Q2) = E[Q1 * Q2] - E[Q1] * E[Q2]. Due to the properties of independent random variables, if X1, X2, and X3 are all independent from each other, the covariance simplifies to 0 because the expected values of the products of different variables are 0.
03

Determine independence or dependence

If Cov(Q1, Q2) = 0, the random variables Q1 and Q2 are independent. If Cov(Q1, Q2) ≠ 0, they are dependent. Since the covariance is 0 in this case, Q1 and Q2 are independent.

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Most popular questions from this chapter

Let \(A\) be the real symmetric matrix of a quadratic form \(Q\) in the observations of a random sample of size \(n\) from a distribution that is \(N\left(0, \sigma^{2}\right) .\) Given that \(Q\) and the mean \(\bar{X}\) of the sample are independent, what can be said of the elements of each row (column) of \(\boldsymbol{A}\) ? Hint: Are \(Q\) and \(\bar{X}^{2}\) independent?

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