hw1 - STA 414S/2104S Homework#1 Due Feb.11 2010 at 1 pm...

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STA 414S/2104S : Homework #1 Due Feb.11, 2010 at 1 pm Late homework is penalized at 20% deduction per day. You are welcome to discuss your work on this homework with your classmates. You are required to write up the work on your own, using your own words, and to provide your own computer code. Answers to the computational questions must be submitted in two parts. The first part presents your conclusions and supporting evidence in a report, written in paragraphs and sentences (not point form) that does not include computer code . This part may include tables and figures. The second part is a complete, and annotated, file showing the computer code that you used to obtain the results discussed in the first part. It is important to include readable code, since everyone’s answers will be based on different training and test samples. 1. Likelihood and Bayesian inference in the linear model: Suppose that the n × 1 vector Y follows a normal distribution with mean and variance σ 2 I : Y N ( Xβ,σ 2 I ) i.e. that f ( y | β,σ 2 ) = 1 ( 2 πσ ) n exp {- 1 2 σ 2 ( y - ) T ( y - ) } . (a) The maximum likelihood estimates ( ˆ β, ˆ σ 2 ) are defined to be the values of β and σ 2 that simultaneously maximize the likelihood function, or more conveniently the log-likelihood function ( β,σ 2 ) = log f ( y | β,σ 2 ) .
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This document was uploaded on 08/12/2010.

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hw1 - STA 414S/2104S Homework#1 Due Feb.11 2010 at 1 pm...

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