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

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13
votes
4answers
20k views

Is the product of two Gaussian random variables also a Gaussian?

Say I have $X \sim \mathcal N(a, b)$ and $Y\sim \mathcal N(c, d)$. Is $XY$ also normally distributed? Is the answer any different if we know that $X$ and $Y$ are independent?
23
votes
2answers
8k views

Expectation of the maximum of gaussian random variables

Is there an exact or good approximate expression for the expectation, variance or other moments of the maximum of $n$ independent, identically distributed gaussian random variables where $n$ is large? ...
6
votes
1answer
7k views

Calculation of the n-th central moment of the normal distribution $\mathcal{N}(\mu,\sigma^2)$

Since integration is not my strong suit I need some feedback on this, please: Let $Y$ be $\mathcal{N}(\mu,\sigma^2)$, the normal distrubution with parameters $\mu$ and $\sigma^2$. I know $\mu$ is the ...
1
vote
1answer
198 views

$X$ and $Y$ i.i.d., $X+Y$ and $X-Y$ independent, $\mathbb{E}(X)=0 $and $\mathbb{E}(X^2)=1$. Show $X \sim N(0,1)$

$X$ and $Y$ are independent and identically distribued (i.i.d.), $X+Y$ and $X-Y$ are independent, $\mathbb{E}(X)=0$ and $\mathbb{E}(X^2)=1$. Show that $X\sim N(0,1)$. We should use characteristic ...
2
votes
2answers
638 views

Probability that the sum of all values of 5 pairs of dice will be between 30 and 40

I'm trying to solve a question that asks: If 5 pairs of fair dice are rolled, approximate the probability that the sum of the values obtained is between 30 and 40 inclusive. My approach so ...
29
votes
2answers
4k views

Why is the error function defined as it is?

$\newcommand{\erf}{\operatorname{erf}}$ This may be a very naïve question, but here goes. The error function $\erf$ is defined by $$\erf(x) = \frac{2}{\sqrt{\pi}} \int_0^x e^{-t^2}dt.$$ Of ...
6
votes
1answer
4k views

Probability of a point taken from a certain normal distribution will be greater than a point taken from another?

Let's say I have one point that will be taken randomly from a normal distribution with mean $\mu_1$ and standard deviation $\sigma_1$. Let's say I have another point that is taken much in the same ...
1
vote
5answers
2k views

The sum of n independent normal random variables.

How can I prove that the sum of $X_1, X_2, \ldots,X_n$ random variables, all of which have normal distributions $N(\mu_i, \sigma_i)$, is a random variable that is itself normally distributed with mean ...
-2
votes
2answers
235 views

Is first order moving average a Markov process?

Given first order moving average $$ x(n) = e(n) + ce(n-1) $$ where $e(n)$ is a sequence of Gaussian random variables with zero mean and unit variance which are independent of each other, and $c$ is ...
7
votes
3answers
2k views

Derivation of the density function of student t-distribution from this big integral.

My lecturer posed a question where we derive the density function of the student t-distribution from the Chi-square and Standard normal distribution. I worked on this question for days, and I am ...
12
votes
3answers
212 views

If $A$ is positive definite, then $\int_{\mathbb{R}^n}\mathrm{e}^{-\langle Ax,x\rangle}\text{d}x=\left|\det\left({\pi}^{-1}A\right)\right|^{-1/2}$

Let $A$ be a positive definite real $n\times n$ matrix. How can I prove that $$ \int_{\mathbb{R}^n}\mathrm{e}^{-\langle ...
4
votes
2answers
286 views

Let $X,Y\sim \mathcal{N}(0,1)$. Let $Z=\max(X,Y)$. Find $EZ$.

Let $X,Y$ independent random variables with $X,Y\sim \mathcal{N}(0,1)$. Let $Z=\max(X,Y)$. I already showed that $F_Z$ of $Z$ suffices $F_Z(z)=F(z)^2$. Now I need to find $EZ$. Should I start like ...
4
votes
3answers
608 views

The probability density function of the ratio of two normal R.V.s

I'm looking for some help with this probability problem. Here's the question: Suppose that $X$ and $Y$ are independent standard normal random variables. Show that the probability density function ...
2
votes
1answer
907 views

Prove that if $X$ and $Y$ are Normal and independent random variables, $X+Y$ and $X-Y$ are independent

If $X \sim \mathrm{Normal}(\mu,\sigma^2)$ and $Y \sim \mathrm{Normal}(\mu,\sigma^2)$ are independent random variables, how do I prove that $X+Y$ and $X-Y$ are also independent? What happens with the ...
1
vote
1answer
472 views

Prove that vector has normal distribution

You are given two independent random variables: $W \sim \mathrm{Exp}(1)$, $Q \sim U([0; 2\pi ])$. Also, $a$ is a constant, chosen from $[-\pi/2; \pi/2]$. You build following random variables, based ...
0
votes
1answer
284 views

Characteristic function of random variable $Z=XY$ where X and Y are independent non-standard normal random variables

I would like to find Characteristic function of random variable $Z=XY$ where X and Y are independent normal random variables, but they are not standard, i.e. $$X\sim N(\mu _x,\sigma_x)$$ $$Y\sim ...
4
votes
1answer
387 views

Generate a set of random numbers with a normal distribution

I am trying to generate a set of N random numbers where the set has a normal distribution. I'm currently using a brute force approach: Randomly select N numbers from a normal distribution. Check ...
4
votes
2answers
739 views

Connection to Normal distribution

I've been working on finding the probability for the event, that the sum of $n$ independent random variables are less than $s$, when they are evenly distributed on $[0,1)$. I've used the law of total ...
2
votes
4answers
842 views

Where does the guassian function/normal or bell curve come from?

I am confused as to where the function for the normal distribtuion comes from. Where does the e and pi come from? In my textbook I am presented with the function,but I am unsure about where it came ...
2
votes
0answers
113 views

distribution of block occurrence of random vector in $\mathbb{Z}_2^n$

Given natural numbers $m, n \geq 2$ and a random vector $\mathbf{r}= (a_1,a_2,\cdots,a_n)\in\mathbb{Z}_2^n$. We define the $m$-circulant of $\mathbf{r}$ by the vector ...
1
vote
1answer
27 views

How to apply Gaussian kernel to smooth density of points on 2D (algorithmically)

I have a set of points on a 2D surface and need to build a heatmap. However, I also need to smooth out the density/distribution by applying some sort of kernel (Gaussian kernel, for example). I Know ...
1
vote
3answers
28 views

Show that $Y\sim N(a+A\mu,AVA^T)$

Consider $Z=(Z_1,\ldots,Z_n)^T\sim N(\mu,V)$. Show: If $a\in\mathbb{R}^m$ and $A$ is a $(m\times n)$-matrix with $\text{rang}(A)=m$ then $$ Y=a+AZ\sim N(a+A\mu,AVA^T). $$ My ...
1
vote
2answers
7k views

Calculating mu and sigma (μ and σ) of a normal random variable

Let X be a normally distributed variable with unknown parameters μ and σ (sigma). If we know that P (X ≥ 75) = 0.7291 and P (X ≥ 83) = 0.7764. With the information given Is it possible to determine ...
1
vote
1answer
409 views

How to directly compute an integral which corresponds to the normal distribution

How does one directly (by finding primitive) compute an integral which corresponds to the normal distribution: $$\int_{a}^{b} e^{{-(x-a)^2}/{2s^2}} \,\mathrm{d}x$$
0
votes
1answer
25 views

Probability question of independent random varaibles

Let $X\sim \mathcal{N}(6,1)$ and $Y\sim\mathcal{N}(7,1)$ be two independent normal variables. Find $Pr(X>Y)$. the answer is $0.2389$ but I do not know how to do it.
0
votes
1answer
61 views

Confusion related to gaussian distribution

I was reading this paper where it had a gaussian distribution model. I mean gaussian is given by $P(y) = \frac{e^{-\frac{1}{2}(y -\mu)^T \Sigma^{-1}(y -\mu)}}{2\pi^{n/2}|\Sigma|^{1/2}}$ But is ...
0
votes
2answers
594 views

Indefinite integral of product of CDF and PDF of standard normal distribution

Is there a solution to: $\int ^\infty _x \Phi(z) \phi(z) dz$ where $z$ ~ $N(0,1)$ and $\Phi$ and $\phi$ refer to the CDF and PDF? Many thanks.
0
votes
1answer
596 views

equivalence between uniform and normal distribution

The principle of insufficient reason says that all outcomes are equiprobable when we have no knowledge to guess otherwise. I understand this and that this corresponds to uniform distribution. However, ...
38
votes
9answers
4k views

What do $\pi$ and $e$ stand for in the normal distribution formula?

I'm a very beginner in mathematics and there is one thing I've been wondering recently. The formula for the normal distribution is: ...
8
votes
3answers
13k views

How to calculate the integral in normal distribution?

The factory is making products with this normal distribution: $\mathcal{N}(0, 25)$. What should be the maximum error accepted with the probability of 0.90? [Result is 8.225 millimetre] How will I ...
8
votes
2answers
745 views

Why don't we allow the canonical Gaussian distribution in infinite dimensional Hilbert space?

I'm looking at Gaussian distributions in infinite-dimensional Hilbert space, and the sources I've seen so far say that the covariance matrix has to be of trace class (i.e. the trace must be finite). ...
5
votes
1answer
311 views

$\int_0^tB_s^2\ dB_s$ - Gaussian Process and independent increments?

For $(B_t)_{t\ge0}$ a standard Brownian motion (Wiener process) define the stochastic process $X_t:=\int_0^tB_s^2\ dB_s$. I am currently trying to assess if $(X_t)_{t\ge0}$ is a Gaussian process and ...
4
votes
1answer
94 views

Tricky probability problem

I am having trouble with proving the following assertion: $X,Y$ are i.i.d. with mean $0$ and variance $1$. If $X+Y$ and $X-Y$ are independent then $X,Y$ are normally distributed. Should I be ...
5
votes
1answer
178 views

Expectations containing normal CDF

Suppose that $X\sim\mathcal{N}\left(0,1\right)$ (i.e., $X$ is a standard normal random variable) and $a,b,$ and $c$ are some real constant. Does any of the following expectations have a closed-form? ...
2
votes
2answers
880 views

Determining distribution of maximum of dependent normal variables

I have a stochastic variable x with this property: if it's measured at t1 and again at t2, then x(t2)-x(t1) has a normal distribution with mean 0 and standard deviation Sqrt[t2-t1]. I want to find ...
5
votes
2answers
261 views

Convergence of a sequence involving the maximum of i.i.d. Gaussian random variables

It's well known that, for a sequence of $n$ i.i.d. standard Gaussian random variables $X_1,\ldots,X_n$, where $X_\max=\max(X_1,\ldots,X_n)$, the following convergence result holds: ...
5
votes
1answer
3k views

X,Y are independent standard normal distributed then what is the distribution of $\frac{X}{X+Y}$

X, Y are independent standard normal random variables, what is the distribution of $$ \frac{X}{X+Y} $$ Could anyone help me with this? Thanks. I have worked the problem by multivariable ...
4
votes
1answer
289 views

Does the integral of PDF of multi-normal distribution over quarter planes have a closed form?

I am interested in finding a closed form solution (wich I suspect does not exist) to the following integral $$\displaystyle \int _a^{\infty }\int _b^{\infty } \frac{\exp \left(-\frac{x^2+y^2-2 c x ...
4
votes
2answers
383 views

Nested normal-distribution integral

Is there an analytical or approximate solution of the following integral? $$ \int_{-\infty}^{\infty}\int_{y-d}^{y+d}\exp\big(-{(x-\mu_1)^2}/{2\sigma^2}\big) \exp\big(-{(y-\mu_2)^2}/{2\sigma^2}\big) ...
3
votes
1answer
49 views

Truncated Mean Squared

Suppose that $X_{\sigma} \sim \mathcal{N}(\mu,\sigma^{2})$. I am interested in whether $f(\sigma)=\mathbb{E} (X_{\sigma}^2 1_{\{X_{\sigma}>0\}})$ is monotonic in $\sigma$ for all $\mu$. I ...
3
votes
3answers
1k views

$X$ standard normal distribution, $E[X^k]=?$

I'm stuck with a homework problem where we are supposed to prove that the expected value $E[X^k]$, if $X$ has standard normal distribution, is equal to: $$E[X^{2k}]=\frac{(2k)!}{k!\cdot2^k}.$$ But I ...
3
votes
1answer
4k views

Expected value of normal distribution given that distribution is positive

Given $X \sim N(0, \sigma^2)$ (that is, $X:\mathbb{R} \to \mathbb{R}$ is a normal random variable with mean $0$ and variance $\sigma^2$), I'm trying to calculate the expected value of $X$ given that ...
2
votes
0answers
29 views

How to test a hypothesis which compares set of pairs of statements?

I've conducted an experiment but I'm not sure how to proceed with statistical analysis of it. I have pairs of sentences created by two groups of people A and B, semantically the sentences in each ...
2
votes
1answer
243 views

Iteratively Updating a Normal Distribution

Is there a way to update a normal distribution when given new data points without knowing the original data points? What is the minimum information that would need to be known? For example, if I know ...
2
votes
3answers
9k views

Combining two probability distributions

I have a variable $X$. In a measurement $A$, $X$ follows the normal distribution $N_1$ with mean $m_1$ and standard deviation $\sigma_1$. In a similar measurement $B$, $X$ follows another normal ...
1
vote
1answer
67 views

Probability density function of $X^2$ when $X$ has $N(0,1)$ distribution

I am trying to derive Chi-square distribution. The random variale is $$ U^2=\sum_{i=1}^k X_i^2 $$ where $X$ is a random variable with normal standard distribution. What is the distribution of ...
1
vote
1answer
7k views

What is the expectation of $ X^2$ where $ X$ is distributed normally?

I know that if $X$ were distributed as a standard normal, then $X^2$ would be distributed as chi-squared, and hence have expectation $1$, but I'm not sure about for a general normal. Thanks
0
votes
1answer
52 views

Why is this multivariate $3\sigma$ ellipse rotated?

While reading this answer, I clicked on the provided link to this Wikipedia page. The main article image shows the PDF of a 2D multivariate normally distributed system: In the image, the $3\sigma$ ...
5
votes
1answer
67 views

An interesting inequality about the cdf of the normal distribution

When approaching this other question I came out with the inequality: $$\frac{1}{4+x^2}e^{-x^2/2} \leq\Phi(x)\Phi(-x)\leq \frac{1}{4}e^{-x^2/2},\tag{1}$$ where $\Phi(x)$ is the cdf of the standard ...
4
votes
3answers
269 views

Probability distribution function

I am trying to develop a function that will allow me to input a random number between 0 and 1 and receive a value. The idea is that the function has a range (for example, 0-100) with a median value of ...