1. Let Yo, Yı,..., Y, be independent and identically distributed random variables with mean 0 and variance o2. Define X;

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1 Let Yo Yi Y Be Independent And Identically Distributed Random Variables With Mean 0 And Variance O2 Define X 1 (21.01 KiB) Viewed 26 times

Multivariate problem
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1. Let Yo, Yı,..., Y, be independent and identically distributed random variables with mean 0 and variance o2. Define X; = Y+Y; i=1(1)p. (a) Show that there is a principal component of X = (X1,..., XP)' that is proportional to X = X-X. (b) Show that the above principal component is in fact the first principal component.