EBook Problems MultivariateNormal
EBook Problems Set - Mutivariate Normal Distribution
Problem 1
Person1 and Person2 are travelling from point A to point D, but there are different routes to get from A to D. Person1 decides to take the A->B->D route, whereas Person2 takes the A->C->D route.
The travel times (in hours) between each pair of points indicated are normally distributed as follows:
T1 ~ N (6, 2)
T2 ~ N (4, 1)
T3 ~ N (5, 3)
T4 ~ N (4, 1)
Explain why these times are stochastic (and not exact or deterministic)? Although the travel times here generally can be assumed statistically independent, T3 and T4 are dependent with correlation coefficient 0.8.
(a) What is the probability that Person2 will not arrive at point D within 10 hours?
(b) What is the probability that Person1 will arrive at point D earlier than Person2 by at least one hour?
(c) Which route (A\(\rightarrow\)B\(\rightarrow\)D or A\(\rightarrow\)C\(\rightarrow\)D) should be taken if one wishes to minimize the expected travel time from A to D? Explain.
{\sigma_{T2}}\leq\frac{10-9}{3.847076812})
=1-\Phi(0.259937622)=1-0.602543999
\cong 0.397 \) }}
) \)
Hence
\( =\Phi (-0.44946657) \)
\( \cong 0.327 \) }}
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