| Below are described four three-dimensional
random vectors: W, V, X,
and Y. Assuming their second moments exist,
which of the random vectors has a singular covariance matrix?
a. Components V1 and V2
are independent. Component V3 = 2V1
– 5V2 + 1.
b. Components W1 and W2
are independent. Component W3 = W1
– log(W2).
c. Components X1, X2,
and X3 represent next year’s total returns
for three different companies’ common stocks.
d. Components Y1 and Y2
represent tomorrow’s prices for the nearby 3-month Treasury
bill and 3-month Eurodollar futures. Component Y3
represents tomorrow’s price difference between those two
futures. |
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