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Deriving the Fisher F-Distribution from Chi-Squared Variables

题目

Let Xχ2(m)X \sim \chi^2(m) and Yχ2(n)Y \sim \chi^2(n) be independent. Define F=X/mY/n.F = \frac{X/m}{Y/n}.

(a) Using the transformation (F,W)=(nXmY,  Y)(F, W) = \bigl(\frac{nX}{mY},\; Y\bigr), compute the Jacobian and derive the joint density fF,Wf_{F,W}.

(b) Integrate out WW to obtain the marginal PDF of FF and verify it matches the F(m,n)F(m, n) distribution.

(c) Show that E[F]=nn2E[F] = \dfrac{n}{n-2} for n>2n > 2.

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PDF of F

E[F]