Académique Documents
Professionnel Documents
Culture Documents
Michele Aquaro
Piotr Jelonek
These notes may contain typos or mistakes. If you find any, please email us at M.Aquaro@warwick.ac.uk
and P.Z.Jelonek@warwick.ac.uk.
Contents
1. Indicative Syllabus and Suggested
1.1. Introduction . . . . . . . . . .
1.2. Indicative Syllabus . . . . . .
1.3. Suggested Readings . . . . . .
Readings
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2. Matrix Algebra
2.1. Introduction . . . . . . . . . . .
2.2. Vectors . . . . . . . . . . . . .
2.3. Matrices . . . . . . . . . . . . .
2.4. Vector Spaces . . . . . . . . . .
2.5. Rank, inverse, and determinant
2.6. Systems of Linear Equations . .
2.7. Eigenvalues and Eigenvectors .
2.8. Quadratic Forms . . . . . . . .
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3. Statistics
3.1. Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2. Random Variables and Probability Distributions . . . . . . . . . . . . . . . . . .
3.3. Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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A. Solutions
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2. Matrix Algebra
2.1. Introduction
This chapter contains a selection of exercises taken from Abadir and Magnus (2005). The
numbering is the same as in the original textbook; for instance, Exercise (1.7 Inner product)
refers to Exercise 1.7 on page 6 in Abadir and Magnus (2005). Also the notation is the same
as in the textbook; for instance, bold-face capital letters such as A and B denote matrices,
whereas bold-face small letters such as a and b denote vectors, see also Abadir and Magnus (2005;
Appendix B). All vectors are column vectors, unless stated otherwise.
The level of difficulty of these exercises ranges from basic to advanced. For your convenience,
exercises have been divided into two categories:
Core (basic and intermediate): Exercises 1.7(a)(d), 1.8, 1.10(a)(b), 2.3, 2.4(b)(e),
2.5(a), 2.9, 2.22(a)(b), 2.24, 3.15(a)(c), 3.16(a)(b), 3.17, 3.22, 3.23, 4.19, 4.20(a), 4.44,
6.46, 7.1, 7.2, 7.3, 7.4, 7.6, 7.10, 7.11, 7.15, 7.32, 8.1, and 8.2.
Advanced: Exercises 2.26(a)(b), 3.9(a)(c), 3.19(a)(c), 4.22(a)(e), 7.8, 7.9, 7.12, 7.13,
7.24, 7.26, 7.31, and 8.11.
We recommend you to practice all core exercises (a few times) before attempting the more
advanced ones.
2.2. Vectors
Exercise (1.7 Inner product)
Pm
Recall that the inner product of two real vectors x and y in Rm is defined as hx, yi := i=1 xi yi .
Prove that:
(a) hx, yi = hy, xi;
(b) hx, y + zi = hx, yi + hx, zi;
(c) hx, yi = hx, yi, where R;
(d) hx, xi 0, with hx, xi = 0 x = 0.
Exercise (1.8 Inner product, numbers)
Let
1
4
1
x = 2 , y = 5 , z = 1 ,
3
1
1
3
w = .
1
Compute hx, yi, hx, zi, and hy, zi, and find such that hy, wi = 0.
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2.3. Matrices
Exercise (2.3 Matrix addition)
Let A, B, C, and the null matrix O be matrices with suitable dimensions so that the following
operations are defined. Prove that:
1. A + O = A.
2. A + B = B + A.
3. A + B + C = (A + B) + C = A + (B + C).
Exercise (2.4 Transpose)
(b) Prove that (X 0 )0 = X for any matrix X.
(c) What is the transpose of the row vector b0 = (1, 2, 3)?
(d) Show that (A + B)0 = A0 + B 0 for any two matrices A and B of the same order.
(e) For two real vectors a and b of the same order, show that the inner product ha, bi = a0 b.
Exercise (2.5 Multiplication, 1)
Let
1 2 3
A=
4 5 6
B=
4
1
5
2
6
3
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1 3
2
A = 1 5 3
5 1 0
the matrix
0
1
2
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(a) If x, y, and z are linearly independent vectors, are x + y, x + z, and y + z also linearly
independent?
(b) For which values of are the vectors (, 1, 0)0 , (1, , 1)0 , and (0, 1, )0 linearly dependent?
Exercise (3.19 Spanned subspace in R3 )
(a) Let A be a circle in R3 centered at the origin. What is the space A spanned by A?
(b) Let A be a plane in R3 not passing through the origin. What is A?
(c) Consider the vectors e1 = (1, 0, 0)0 , e2 = (0, 1, 0)0 , and v = (0, 2, 0)0 in R3 . Show that the
three vectors span a plane (the x-y plane), that e1 and e2 alone span the same plane, and
that e2 and v span only a line.
Exercise (3.22 Basis)
(a) Find a basis of R2 .
(b) Find another basis of R2 .
(c) Show that there are infinitely many basis of R2 .
Exercise (3.23 Basis,
Consider the matrix
1 1 1
A = 0 1 1
1 1 2
numbers)
1
2
3
1
2
5
1
3
5
2
1
1
2 5
3 3
0 4
and denote the nine columns by a1 , . . . , a9 . Which of the following form a basis of R3 ?
(a) a1 and a2 ;
(b) a1 , a4 , a6 , a8 ;
(c) a2 , a4 , a7 ;
(d) a3 , a5 , a9 .
B=
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1
2
3
.
4
3
.
4
7 0 0
7 0 0
A = 0 3 0 , B = 0 3 5 ,
0 0 3
0 5 4
C=
3
5
7
C = 0
0
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5
.
7
0
3
0
0
1 .
3
1 3 0
A = 0 1 0 .
2 1 5
(b) What is the rank of A?
Exercise (7.4 Characteristic polynomial)
(a) Find the characteristic polynomial and the eigenvalues 1 and 2 of the 2 2 matrix
a b
A :=
.
c d
(b) Show that 1 2 = |A| and 1 + 2 = tr A.
Exercise (7.6 A 6= B may have the same eigenvalue)
Suppose that two matrices A and B (of the same order) have the same characteristic polynomial.
Is it necessarily true that A = B?
Exercise (7.8 Eigenvectors are not unique)
(a) Show that an eigenvector cannot be associated with two distinct eigenvalues.
(b) But can two vectors be associated with the same eigenvalue?
Exercise (7.9 Linear combination of eigenvectors with same eigenvalue)
Pm
If x1 , . . . , xm are all eigenvectors of A associated with the same , show that i=1 i xi is also
an eigenvector of A.
Exercise (7.10 Find the eigenvectors, 1)
Consider the matrices
1 1
2 0
A=
, B=
0 1
0 2
(a) What are the eigenvalues and eigenvectors of A?
(b) What are the eigenvalues and eigenvectors of B?
Exercise (7.11 Geometric multiplicity, 1)
Consider the matrix
1 3 0
A = 0 1 0 .
2 1 5
What are the eigenvectors of A? Are they linearly independent? Are they orthogonal?
Exercise (7.12 Multiples of eigenvalues and eigenvectors)
(a) If is an eigenvalue of A, show that t is an eigenvalue of tA, with the same eigenvector(s).
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3. Statistics
3.1. Introduction
This chapter contains a selection of exercises taken from Amemiya (1994). The numbering is the
same as in the original textbook; for instance, Example (3.2.3) refers to Example 3.2.3 on
page 24 in Amemiya (1994). Also the notation is the same as in the textbook; for instance, capital
letters X, Y, denote random variables, and small letters x, y, denote their realisations.
1
0
Pr (Y = yj )
Pr (X = xi )
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2/8
4/8
1/8
3/8
4/8
3/8
5/8
1
Calculate
1
1
Pr 0 < X < 0 < Y <
2
2
and determine if X and Y are independent.
Hint: First calculate Pr(0 < X < 1/2, 0 < Y < 1/2) and Pr(0 < Y < 1/2), and then use the
Bayes Rule.
Example (3.5.1)
Suppose
(
fX (x) =
1 x/2
2e
if x > 0,
otherwise.
Find FX (x).
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if 0 < x < 1,
otherwise.
Find FX (x).
Example (3.5.3 Mixture random variable)
Suppose
0
if x 0,
x
if 0.5 < x 1,
1
if x > 1.
Draw FX (x).
Example
2
Let X be a continuous random variable with pdf fX (x) = (1/ 2)ex /2 , x R, and let
Y = + X, where and are two constants, with > 0. Determine fY (y).
3.3. Moments
Example (4.1.1)
Let
(
2x3
fX (x) =
0
if x > 1
.
otherwise
if x > 1
.
otherwise
Y
1
-1
/2
(1 )/2
(1 )/2
/2
Pr (X = xi )
Compute cov(X, Y ).
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Example (4.3.2)
Let the joint probability distribution of (X, Y ) be given by
X
1
0
-1
Pr (Y = yj )
-1
1/6
1/12
1/6
1/12
0
1/12
1/6
1/12
1/6
Pr (X = xi )
Calculate cov(X, Y ).
Example (4.4.1)
Suppose fX (x) = 1 for 0 < x < 1 and equal to zero otherwise, and fY |X (y|x) = 1/x for 0 < y < x
and equal to zero otherwise. Calculate E(Y ).
Example (4.4.2)
The marginal density of X is given by fX (x) = 1, 0 < x < 1. The conditional probability of Y
given X = x is given by
Pr (Y = 1|X = x) = x
Pr (Y = 0|X = x) = 1 x.
Find E(Y ) and var(Y ).
Example (7.3.3, Normal distribution)
Let X1 , , Xn be a random sample on N(, 2 ) and let x1 , , xn be their observed values.
Compute the maximum likelihood estimator of and .
Example (7.7.1, Binomial distribution)
Let X1 , , Xn be a random sample on Bin(n, p) and let x1 , , xn be their observed values.
Compute the maximum likelihood estimator of p.
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f (x, y) = x 4 y 4 .
Check definiteness of the Hessian. Is this function: convex, concave, both or neither?
Example (SB, 21.5)
Now consider a general Cobb-Douglas function f : R2+ R:
f (x, y) = xa y b ,
where both a and b are any real constants. Check definiteness of the Hessian on R2 . Under what
conditions is f concave in this set? When f indeed is concave, what type of returns to scale does
it exhibit?
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(b) ln z,
(c) x3 + x,
(d) x3 x,
(e) x4 x2 ,
(f) x4 + x2
(h) sin(x).
x + y 2.
(a) Write does the necessary Karush-Kuhn-Tucker conditions for point (x, y) to be a solution
of the problem.
(b) Solve the problem for c = 52 . Justify why do the KKT conditions yield a maximum (why
are they sufficient).
0
x 1.
y 2,
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for i = 1, 2.
(b)
V
F1
F2
= p1
= p2
.
K
K1
K2
(c)
F1
F2
V
= p1
= p2
.
L
L1
L2
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(a)
(b)
xn+1 = 3xn
yn+1 = xn + 2yn ;
xn+1 = 3xn yn
yn+1 = xn + 2yn zn
(c)
zn+1 = yn + 3zn ;
xn+1 = yn
(d)
yn+1 = xn + 5yn ;
(e)
yn+1 = yn
zn+1 = xn + zn .
xn+1 = xn yn
yn+1 = 2xn + 4yn ;
= 1,
(b) 6
y y y = 0 for initial values y(0) = 1 and y(0)
= 0,
(c) 4
y 4y + y = 0 for initial values y(0) = 1 and y(0)
= 0,
(d) y + 5y + 6y = 0 for initial values y(0) = 1 and y(0)
= 0.
Example (SB, 24.13)
Let u(x) be utility function over wealth x. At any wealth level x, Arrow-Pratt measure of absolute
00
0
0
risk aversion A(x) equals u (x)/u (x). The function A(x) is a percent rate of change of u at x;
it is a measure of concavity of the function u. Find a utility function that has a absolute risk
aversion that is constant (and equal to a). That is, solve:
00
u (x) + au (x) = 0.
Example (SHSS, 6.5.34)
Solve the following two systems of equations homogeneous and nonhomegeneus. Observe how
both solutions differ.
(a)
(b)
x = 2y
x = 2y + 6
y = x + y;
y = x + y 3.
(a)
(c)
x = x 8y
x = x 4y + 2
x = x 3y + 5
y = 2x 4y;
y = 2x y 5;
y = 2x 2y + 2.
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(b)
x = ax y
x = ax (2a 4)y
y = x + ay;
y = x + 2ay.
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A. Solutions
We are very keen on you first trying the majority of examples and exercises without having
solutions. Therefore, full answers will be uploaded on the web-page of the module by the
end of September.
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