Questions on using, finding, or otherwise relating to probability distributions, pdfs, cdfs, or the like.

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1answer
12 views

Given a probability distribution, how many times do I have to repeat an experiment so see a certain outcome

My question concerns random number generation under certain constraints. I assume that the random number generator is good enough to generate uniformly distributed numbers. This means that each number ...
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0answers
15 views

A generalization of the Glivenko-Cantelli theorem

Let $P$ and $P_n$ be probability measures on $\mathcal{B}(\mathbb{R})$ with distribution functions $F$ and $F_n$. Moreover, let $F$ be continuous and $(P_n)_{n\in\mathbb{N}}$ weakly converge to $P$. ...
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0answers
17 views

Does a sequence $(X_n/n)_n$ of non-independent Poisson distributed random variables $X_n$ converge in probability?

Let $(X_n)_{n\in\mathbb{N}}$ be a sequence of random variables $\Omega\to\mathbb{N}_0$ such that $X_n$ is Poisson distributed with parameter $\lambda_n\in[0, \infty)$. Does $(Y_n)_{n\in\mathbb{N}}$ ...
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12 views

How to solve $P(Y_1 ≤ 3/4, Y_2 ≥ 1/2)$. Pls help

Let $Y_1$ and $Y_2$ have the joint probability density function given by $$f (y_1, y_2) =k(1 − y_2), 0 ≤ y_1 ≤ y_2 ≤ 1$$ $$ 0,\,\,\,\, elsewhere.$$ a) Find the value of $k$ that makes this a ...
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4 views

Signal-extraction knowing both the sum and the sum of the absolute values of normally distributed variables

I have two normally distributed variables $X∼N(μ_{x},σ_{x}²)$ and $Y∼N(μ_{y},σ_{y}²)$. I can observe both the sum of their values and the sum of their absolute values, i.e. $Z₁=X+Y$ and $Z₂=|X|+|Y|$. ...
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13 views

Dynamic programming for optimal maximum and optimal minimum

We have a sequence of $a_i$ and a choosing rule that is take the first number $x_t\ge a_t$. The definition is = $$ min\{ t|t \in \{ 1,2,\cdots,n\}\,\,,\,\, x_t\ge a_t\}$$ The sequence $a_i$ is ...
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15 views

Sum of Two Poisson distributions

The probability distribution for the number of goals scored per match by Team A is believed to follow $X \sim Poi(0.8)$. Independently, the number of goals scored by Team B is believed to ...
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1answer
21 views

Joint probability distribution

$Y_1$ and $Y_2$ are jointly distributed with density $f(y_1,y_2)=4y_2^2 \qquad 0 \leq y_1 \leq y_2 \leq 1$ Determine the following: $P$( max {$Y_1,Y_2$} $< 1/2$) $P(Y_1+Y_2 < 1/2)$ ...
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27 views

Let $X_n>0$ be iid and $P(X_n>t)\sim t^{-\alpha}$, show that $Y_n=n^{-1/\alpha}S_n$ and $1/Y_n$ are tight.

We are given that $X_n>0$ be iid with common distribtuon $X$, and $P(X>t)\sim t^{-\alpha}$, I need to show that the scale of $Y_n$ is $n^{1/\alpha}$. Or in other words show that ...
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2answers
14 views

Support of the conditional distribution of a poisson process

I am working on Problem 5.1.8 of this book. It states: Let $\left\{X(t),t \geq 0 \right\}$ be a Poisson process of rate $\lambda$. For $s,t >0$, determine the conditional distribution of ...
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0answers
15 views

Kth moment of the standard deviation from a normal population

Let T be the standard deviation of a random sample of size n from a $\mathsf N(\mu,\sigma^2)$ normal population. Find the Kth moment of T about the origin, and state the condition for the existence ...
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2answers
13 views

Probability of the highest order statistic below the population median.

What is the probability that the highest order statistic of a random sample of size n from any continuous distribution is below the median ( population median ) of that distribution.
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1answer
20 views

Probability: How much days we need to play a game win

Suppose the probability of win a lotery game is : $1/1000$ If a person play the lotery every day with the same combination, how much time he need to wait to win the lotery? Im thinking to use a ...
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1answer
15 views

Multivariate sampling of $F(x_1,…,x_n)$?

Let $$(X_1,...,X_n)\sim F(x_1,...,x_n)$$ (not independent). How can I sample from this distribution? In the univariate case, on can use $F^{-1}(u),u\sim U(0,1)$. However, in the multivariate case ...
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1answer
38 views

Prove that if $X$ is stochastically larger than $Y$ then $E(X)\ge E(Y)$

Prove that if $X$ is stochastically larger than $Y$ (i.e. $P(X > t) \ge P(Y > t)$ then $E(X)\ge E(Y)$.I understand how to solve the problem if $X$ and $Y$ are non-negative random ...
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0answers
27 views

A property of the hazard function of the normal distribution

I have a problem that I can't figure out. Define $$\Gamma\left(x\right):=\frac{\phi(x)}{1-\Phi(x)}$$ where $\phi(x)$, $\Phi(x)$ are the density respectively cumulative distribution function of the ...
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0answers
12 views

question about exponential distribution or exponential random variables

Consider a post office that is run by two clerks. Suppose that when Mr. Anderson enters the system he discovers that Mr. Smith is being served by clerk 1 and Mr. Brown by clerk 2. Suppose also that ...
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2answers
43 views

Show that Y=aX+b is an random variable.

Let X be an random variable on a given probability space and lrt a,b∈R. Show that Y=aX+b is an random variable. if X has a distribution function F, what is the distribution function of Y? if X ...
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15 views

What is the limiting distribution of this Markov Chain?

Take a Markov Chain with state space $\left\{ 0, 1, \dots, 20 \right\}$. Then we have the rule that given $X_n$: Compute $Z = X_n + 1$ or $Z = X_n - 1$ with probability $\frac{1}{2}$ each (if the ...
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0answers
8 views

4th order statistics of Circularly Symmetric Complex Normal random vector?

Assume that ${\bf z} \in C^{n×1}$ is a CSCG random vector denoted with $C (μ,Σ)$ where $μ$ and $Σ$ are mean and contrivance matrix, respectively, and defined as $μ=E({\bf z})$, $Σ=E({\bf z}{\bf ...
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3answers
23 views

A box contains 5 yellow and 3 red balls, from which 4 balls are drawn one at a time, at random, without replacement.

A box contains 5 yellow and 3 red balls, from which 4 balls are drawn one at a time, at random, without replacement. Let $X$ be the number of yellow balls on the first two draws and $Y$ the number of ...
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0answers
13 views

Simulate from a distribution using Metropolis-Hastings and Rejection Sampling?

We have covered the basics behind rejection sampling as well as Metropolis-Hastings from class, but I am not sure how to use the two in conjunction to solve the following problem: Given $\pi(x) = ...
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1answer
25 views

Mean of Poisson distribution

Let $X$ have a Poisson distribution with double mode at $x=1$ and $x=2$. Find $ P(x=0)$.Here is my solution... $\mu= \frac {p(2) 2!}{p(1)}$. then how can find the mean..thanks
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2answers
20 views

Find the cummulative distribution function and the density function of the random variable: $Y={1\over 1+U}$

Let $U$ have a uniform distribution on $[0,1]$. Find the cummulative distribution function and the density function of the random variable: $Y={1\over 1+U}$ My attempt: $F_Y(x)=P[Y\le x]=P[{1\over ...
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0answers
7 views

What is the transformation that maps a Gaussian distribution to a Beta distribution?

Suppose X is a random variable with Gaussian distribution over domain $\mathbb{R} = (-\infty, +\infty)$, with PDF function $f_X$. And Y is a random variable with Beta distribution over domain ...
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1answer
21 views

Probability of Sample Variance Given Variance

I am trying to solve a problem that I have never seen before and cant seem to find a way to solve it so any help or tips would be appreciated! Here's the Problem: Suppose a considerable amount of ...
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0answers
23 views

Let $X$ be a continuous random variable with cdf $F$. Show that $Y = F(X)$ has uniform $(0,1)$ distribution and therefore $X = F^{−1}(Y)$

Let $X$ be a continuous random variable with cdf $F$. Show that $Y = F(X)$ has uniform $(0,1)$ distribution and therefore $X = F^{−1}(Y)$. My Sol: $P(Y \leq y ) = P(F(X) \leq y) = P(F^{-1}(F(X)) ...
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1answer
35 views

Shortcut to finding $E(XY)$

The question says "Find $E(Y|X)$ and hence evaluate $E(Y)$ and $E(XY)$" The joint pdf is $$f_{X,Y}(x,y)=\begin{cases} 8xy, & \text{ for } 0< y< x < 1, \\0, & \text{ elsewhere } ...
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1answer
13 views

Distributing dimes to 2 groups of people such that each member of one group gets at least one

I have a study question that I have the answer for, but I just can't understand how or why it is the answer. The question is: $n$ dimes are distributed to $y$ young people and $o$ old people. Every ...
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0answers
13 views

Prove $|\log F(v)|\leq |\log F(0)|+|v|+|v|^2$ for $F$ is the standard normal CDF

Suppose that $F$ is the CDF of a standard normal distribution. Hayashi (2000) claims that the following is true $$ |\log F(v)|\leq |\log F(0)|+|v|+|v|^2\quad\text{for all}\quad v. $$ How does one ...
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0answers
15 views

Distribution of the square of magnitude of a Nakagami random variable [on hold]

Given the random variable $$h \sim \operatorname {Nakagami} (m,1)$$ $$ f_{h}(h)= \frac{2m^m}{\Gamma(m)} h^{2m-1} \text{exp}(-m h^2)$$ What is the distribution of the following function $$g:=|h|^2$$
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1answer
44 views

A die is rolled 24 independent times. Let Y be the sum of the 24 resulting values. What is the variance of Y?

A die is rolled 24 independent times. Let Y be the sum of the 24 resulting values. What is the variance of Y? I know how to find the mean of Y, but I'm having some trouble finding the variance of X ...
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1answer
18 views

Is there an interpretation of the Beta Distribution?

There are cases in probability where one distribution has an "interpretation" in terms of another distribution: X ~ Gamma(k,1/m) for positive integer k, can be interpreted as the distribution of ...
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34 views

Exponential.Damaged lamps replaced and not replaced

The problem: In a system there are 10 lamps installed.Their life cycle of every lamp is exponentially distributed with mean 5000 hours. A)If all the damaged lamps are being replaced immediately with ...
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15 views

Expected Value of Continuous Random Walk

I'm currently attempting my MMath master project. However, i'm a little stuck on an expected value of the continuous distribution. Its where i wish to change my random walk from a continuous walk to ...
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1answer
15 views

Convolution CDF formula?

In reference to this post, the pdf of dependent random variables $A+B$ is given by: $$f_{A+B}(z) = \int_{-\infty}^{\infty} f_{A,B}(a,z-a) \mathrm da = \int_{-\infty}^{\infty} f_{A,B}(z-b,b) \mathrm ...
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0answers
22 views

Questions regarding a Gamma distributed Random Variable ( first moment and square density)

Consider the following Gamma distributed RV $$\operatorname{Gamma }(m_S,\theta_S)$$ with the following shape and scale parameters $$m_S = \frac{(\theta_1+\theta_2)^2}{\theta_1^2+\theta_2^2}$$ ...
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1answer
31 views

Showing that $X_n$ ~ $N(0, a_n)$ converge to $0$ when $a_n \to 0$ sufficiently fast

If $X_n$ have distribution $N(0, a_n)$ with $\sum_{n=1}^\infty a_n^b < \infty$ for some $b > 0$, then $X_n$ converge almost surely to $0$. I was able to show (for a previous part of the ...
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If the difference of two i.i.d. random variables is normal, must the variables themselves be normal?

I previously asked a similar question about the sum of two i.i.d. random variables, thinking the two cases to be equivalent. But I can't see how to apply the proof of that case to this one. It is ...
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1answer
21 views

Maximum of RVS independent and identically distributed

I am having a small doubt regarding maximum of random variables. I have $$Z= \max\{ X_1, X_2,\dots X_p, \dots X_N\}$$ where all $X_i$ are independent, identically distributed. Now, If for sure, I know ...
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1answer
24 views

Marginal Probability of Stochastic Process

I have a wide sense stationary stochastic process x(t)=asin(2πf0t)+bcos(2πf0t) where a & b are independent gaussian random variables. How can I find the Marginal probability of x(t)? I am ...
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1answer
11 views

what will be the PDF of the magnitude of this random variable x+j y?

if we have a complex random variable [x+j*y] where (j :sqrt(-1)) and x,y both have Gaussian distribution and statistically dependent , so what will be the distribution (PDF) of the magnitude of this ...
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61 views
+100

Proving two random variables differ with positive probability

EDIT: Despite the help of the posters below, I'm still confused. I'm rephrasing the question slightly. Can someone hep me with rephrased problem: Suppose that $X$ is a random vector and $Y$ a random ...
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1answer
15 views

Prove existence/non-existence of a pdf given mean, std, range

Given: Mean = 100, Range = [4, 10000], std = 3000 Is it possible to prove whether a pdf exists or not that satisfies these values? If it does exist, what would be approximate shape of the ...
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1answer
33 views

If the sum of two i.i.d. random variables is normal, must the variables themselves be normal?

It is well known that if two i.i.d. random variables are normally distributed, their sum is also normally distributed. Is the converse also true? That is, suppose $X$ and $Y$ are two i.i.d. random ...
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1answer
53 views

E(XY) = E(X).E(Y|X) . Is this true for mean = zero.

I know that Joint Probability density function for two random functions $X$ and $Y$ $$P(XY) = P(X)\cdot P(Y|X)\tag{1}$$ But I just read in a set of lecture notes that for E(X)=E(Y)=0 $$E(XY) = ...
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1answer
17 views

Distribution of difference of points in same tail of normal curve?

If $x$ and $y$ are random values drawn from the part of a normal curve that is greater than a fixed $C$. The distributions of $x$ and $y$ are clearly not normal, but is the distribution of their ...
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0answers
5 views

Asymptotic confidence interval

Let x1, x2, ..., xn be a random sample with a density function given by $ f(x) = \frac{3}{\theta^3} x^2 I_{(0,\theta]}(x)$ where $I_{(0,\theta)}(x)$ is the indicator function and $\theta > 0$ ...
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0answers
13 views

Estimator for a pointfunction depending on a random variable

PROBLEM STATEMENT: Let $X$ be random variable in $m$ dimensional space. The distance between each pair of vectors $x_i^m,x_j^m$ is $D_{i,j}^m =d(x_i^m,x_j^m)$. Correlation Sum, $C(r)$ represents the ...
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0answers
56 views

Exponential distribution.Bank waiting time

I am at a total loss with that problem: Consider a bank with three tellers and a single waiting line.Every customer of the bank is serviced,when he reaches the top of the waiting queue,by one and only ...