Questions on the Gaussian, or normal probability distribution, which may include multi-dimensional normal distribution.

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Multivariate Distribution & Bayes Rule

Suppose I have that an unknown vector, x, where x is drawn from the following distribution$ \bigl(\begin{smallmatrix} x_1 \\ x_2 \end{smallmatrix} \bigr)$ ~ $N\bigl(0, \bigl[\begin{matrix} \sigma^2_1 ...
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366 views

Integral of a random process that follows Gaussian Process

Suppose $X(t)$ follows a strictly-sense stationary(SSS) Gaussian Process with the mean to be $\mu$ and autovariance $\sigma^2$ How to prove that $\int_{0}^{T}{{X(t)}dt}$ is random variable that ...
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60 views

Conditional multivariate normal distribution

If $X = [X_1,\dots,X_n]$ is follows a multivariate normal distribution $\mathcal{N}(\mu,\Sigma)$, are there any (closed form) results known for the distribution of $[X_1,\dots,X_i \mid l_{i+1} < ...
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165 views

Fourier transform of a complex exponential with quadratic argument

I'm a PhD student who is starting to work right now in the well-established field of ultra-fast optics. The thing is that, in most of the papers I have been reading during the past few days, there is ...
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128 views

Maximum of a sequence of almost-identical independent normal random variables

Take a sequence $X_1,\ldots,X_n$ where each $X_i\sim\mathcal{N}(\mu,\sigma^2)$ is an i.i.d. normal random variable. Denote by $X_\max$ the maximum of this sequence. A well-known fact about ...
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32 views

Finding the distribution under a new measure

Suppose the the value of an stock is $S_t = S_{t-1}exp(\mu +\sigma Z_t) $ where $Z_t$ are standard normal variables. Find the distribution of ln($S_1/S_0$) under the Q measure given that dQ/dP is ...
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33 views

Confusion related to gaussian

I have this confusion related to gaussian distribution Do we need to have something like $e^{-\frac{x^2}{2}}$ to be called gaussian or $e^{-{x^2}}$ is enough to be called Gaussian. I was reading this ...
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235 views

Almost sure convergence of maximum in a sequence of Gaussian random variables

Let $X_1, X_2,\ldots,X_n$ be an i.i.d. sequence of standard Gaussian variables and $M_n=\max(X_1, X_2,\ldots,X_n)$. I am trying to understand the mechanics of the proof of almost sure convergence ...
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24 views

Normal Distribution and test hypothesis

I have done 3 experiments. For each one of them, I have repeated the same experiment 100 times. Which gives me three sets of 100 numbers. Experiment 1: for number 30 ---> 100 results Experiment 2: for ...
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49 views

How to learn mixture Gaussian with inequality constraint of component variances

Let $f_1(x)$,…,$f_n(x)$ be Gaussian density functions with different parameters, $\mu_i$ and $\sigma_i$ are the parameters (mean and variance) of the Gaussian component i, and $w_1,\ldots,w_n$ be real ...
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54 views

$\frac{\partial}{\partial\theta}\phi'\mu+\frac{\alpha\phi'\Sigma\phi}{2}=0$

Ok, I am working on a problem that consists of the following: I am looking to solve the portfolio choice optimization problem (maximizing utility with a known utility function) in the case where all ...
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95 views

Calculate the variance from a function of normal random variable

I am new to the topic that I found difficulty for the question: Given the function $g(x) = e^{-X}$, $X \sim N(0,1)$, calculate the variance of $g(x)$. I know the answer is $e(e-1)$. But I don't ...
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148 views

Berry-Esseen Theorem-like result with fourth central moment instead of third absolute moment

Let $X_i$, $i=1,\ldots,n$ be i.i.d. random variables with $E[X_i]=\mu$, $E[(X_i-\mu)^2]=\sigma^2$, and $E[(X_i-\mu)^4]=\kappa$. I am interested in approximating the distribution of ...
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29 views

Confusion related to predictive distribution of gaussian processes

I have this confusion related to the predictive distribution of gaussian process I didn't get how the integration gave that result. What is P(u*|x*,u). Also how come the covariance of the posterior ...
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938 views

find probability in normal distribution

i would like to check myself if following my answer is correct: let us consider following problem: Suppose the heights of a population of $3,000$ adult penguins are approximately normally distributed ...
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1k views

calculate probability without table

my question is related to normal distribution,namely as i know in GRE quantity section,there could be question related to normal distribution,but of course we will not have table,o how can we ...
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51 views

Calculating Expectation

I want to verify the following equation: $$E[(xe^{aY-\frac{1}{2}a^2}-b)^+]=x\Phi(l_1)-b\Phi(l_2)$$ where $Y\sim \mathcal{N}(0,1)$, $\Phi$ the distribution function of a standard normal distribution, ...
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115 views

Normal distribution inequality

Let $n(x) = \frac{1}{\sqrt{2\pi}} e^{-\frac{x^2}{2}}$, and $N(x) = \int_{-\infty}^x n(t)dt$. Prove the following inequality. $$(x^2+1)N + xn-(xN+n)^2>N^2$$ where the dependency of $n$ and $N$ on ...
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82 views

Integrals of derivatives of normal distribution multiplied by polynomial?

Is there anything in the literature related to obtaining bounds of integrals of the form: $$\int_{\mathbb{R}} |P^{(k)}(t,z-z_0)|dz\leq \mbox{some function of t and }z_0$$ where $P(t,z)$ the density of ...
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88 views

P.d.f of a discrete fourier transform of binary variables

Let $\{a_n\}$ be a set of $N$ "binary" random variables uniformly distribuited in $\{-1,1\}$. The discrete fourier transform is defined $b_k=\frac{1}{\sqrt{N}}\sum_{n=0}^{N-1} a_n e^{-2 \pi i k n ...
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119 views

Probability that a point from one normal distribution is greater than points taken from several other distributions?

I am looking at several normal distributions that describe the same metric from different sources (independent). I want to find the probability that each is greater than all the others. For example: ...
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130 views

Problem involving the bivariate normal distribution

If $X$ and $Y$ have a bivariate normal distribution with $\mu(x)=\mu(y)=0$, $\rho=0$, $\sigma(x)=\sigma(y)=10$. Find the following: A) The probability of getting a point $(x,y)$ inside the ...
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204 views

Hypothesis testing of normal distribution, known mean unknown variance

I've been working on review problems, and this one has me completely stumped. Let $X_1 ... X_{10}$ be a random sample from a $N(3,\sigma^2)$ distribution, where $\sigma^2$ is unknown. Using the ...
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246 views

Bayesian posterior with integrals over normal densities

Realizations from normal distributions with known precision are used to estimate the mean, but the realizations are not always precisely observed. Instead, only a range of the realization is observed. ...
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39 views

algorithm to use to balance a set of IPs into a set of buckets

So we have a set of IP addresses (~3000) and want to balance them into 4 different buckets. What we are doing now is very simple by treating the last part of the IP as integer and mod it by 4. e.g. ...
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104 views

CAPM-model - necessary conditions for BETA to be a parameter in the conditional expectation

CAPM-model - necessary conditions for BETA to be a parameter in the conditional expectation between the real return on the asset and the stock market return. Okay, trying to be more explicit: Let ...
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82 views

Product of 2 Gaussian Distributions with Different Variables

Sorry, I asked the original question improperly so I am rephrasing it. What is the mean and covariance of the distribution, $f_{PA}(PA) \cdot f_{Y|X,PA}(Y)$ where $f_{PA}$ and $f_{Y|X,PA}$ are both ...
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28 views

What is the product of the average x and the average (1/x), where x is normally distributed.

Has anyone ever seen a solution for the following...? $$ \left( \frac{1}{n}\sum_{i=1}^{n} x_{i} \right) \times \left( \frac{1}{n} \sum_{i=1}^{n} \frac{1}{x_{i}}\right) $$ where the x values are from ...
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243 views

Cramer’s decomposition theorem - find normal distributions within a normal distribution.

I know that Cramer's decomposition theorem says that any normal distribution can be expressed as the sum of multiple normal distributions. I have been searching for a method to divide a data set that ...
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94 views

continued fraction multivariate normal distribution?

After searching for a while, I wonder if a continued fraction representation exists for the multivariate Mills ratio $P(Z \geq x)/\phi_Z(x)$ where $Z \tilde\, N(\mu,\Sigma)$. The representation ...
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228 views

Polynomial approx to the Normal density

I have found several polynomial some approximations to the Normal CDF$^{(1)}$, but my question is: are there good polynomial approximations to the Normal PDF? Thanks $^{(1)}$ For example, some are ...
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41 views

Sample estimated normal distribution - what will be the expected effect of another sample?

Assume I already have n samples of a 2D variable. I can compute the sample mean and variance. If I assume that the samples are taken from a normal distribution, then using the mean and variance I get ...
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172 views

Combining general 1D normal distributions into a 2D distribution

My question is a generalization of the question asked here There is a point in 2-D space. I can measure the range of this point from two other locations. I get this measurement as a mean (range) and ...
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58 views

A correction to confidence interval.

I have set of random values with the same distribution $y_1, \ldots, y_N$ , $N = mN_1$. $ m \ge 4$, $N_1$ is big enougth( $\approx 1000$ ). I want to to estimeat $E(x)$. How I do it: I make $m$ ...
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173 views

Composition of multi complex gaussian normal distribution

assume $w_0$, $w_1$, $w_2$, $w_3$ are circular symmetric complex Gaussian distributions, and the composite of $$ h = e^{j\theta_0}w_0 + e^{j\theta_3}w_3 - e^{j\theta_1}w_1 -e^{j\theta_2}w_2 $$ so ...
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226 views

Generating spatially correlated samples from a multivariate normal distribution

I am trying to generate some spatially correlated samples from a multivariate normal distribution following this algorithm Compute Cholesky factorization Q=LL' Sample z~N(0,I) Solve L'v=z Computer ...
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552 views

Distribution of a squared norm of related multivariate normal distribution.

For $i=1,2,\cdots,2^m$, let $v_i$ be dependent random variables. Suppose for $n$ large, the vector $\mathbf{Z}_n=\left(Z_1^{(n)},\cdots,Z_{2^m}^{(n)}\right)$ with ...
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247 views

normal random variable distribution

i have such problem in the book of Applied statistic and probability for Enigneering and need some help to solve it.problem is following: Let random variable X denote a measurement from a ...
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119 views

Incrementally compute the conditional entropy

Is it possible to compute a conditional entropy (see the two following formulas) in an incremental manner ? That is, the sets C and K are not fix: each time we have a new element c, set K may increase ...
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128 views

How can I find Multivariate normal distribution original paper? And other nature-revealing articles by the way

I want to see how Gauss get this distribution function representation. I want to understand deeper of Multivariate normal distribution. I tried but failed to search the original paper of Gauss ...
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368 views

Mean value from part of normal distribution

I have a problem to solve. Lets say that there is normal distribution with mean value 5000 and deviation 1000. I have to know lets say what is a mean o 25 percent biggest numbers. How to calculate ...
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260 views

Nested Integral of exponential function with trigonometric identities

Is there any possibility to simplify the following integral or any function that is equivalent to the following integral? $$ ...
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67 views

determine if number belongs in set with multiple normal distributions

I am attempting to work with data with a few of normal distributions mixed in with each other. What I am thinking is splitting up the data in to the separate distributions and then calculating the ...
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692 views

Radial profile from a Cartesian plot

I'd like to calculate a radial profile of a 2D Gaussian. it should be a half of a Gaussian, maximum of about 3000 at $R=0$. If I plot radial positions $\left(\sqrt{x^2+y^2} \right)$ of every ...
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447 views

Approximate linear density function for a normal distribution

I'm working on implementing Order Preserving Encryption for Numeric Data, and part of the algorithm includes approximating density of the distribution as a linear density function $f(p) = qp+r$ where ...
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normal approximation to poisson

Cotton yarn is wound onto bobbins, each of which takes $100$m of yarn. If the thread breaks before $100$m is reached, the bobbin is rejected. In a trial of a new spinning machine, $13$ bobbins out of ...
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24 views

Why we can use normal distribution to approximate binomial distribution when n is large enough?

Prove why we can use normal distribution to approximate binomial distribution when n is large enough. Hint: Try to read something on bernoull ...
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questions about distribution of multivariate normal

I'm looking at this past exam question, For A) Cbhat~N(CU,C(summation)C') B)I have very faint idea of what to do, I tried finding some theroems about distribution but couldn't find any that ...
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12 views

Transforming a multivariate Gaussian into standard normal

I think this may be a simple question, but suppose $x_1,\dots,x_n$ are i.i.d. from $N(\vec{0},\Sigma)$, a multivariate gaussian. Is there a weighted version of the $x_i$'s: $\tilde x_i=c_i x_i$ such ...
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Conditional expectations of joint normal distribution

$u_1$ and $u_2$ are jointly normal, with zero means, unit variances, covariance $\sigma _{12}$. I know $E(u_1|u_2)=\sigma _{12}u_2$, but why $E(u_1|u_2<c)= \sigma _{12}E(u_2|u_2<c)$ ?