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

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3 views

Prove Joint distribution of estimators

Let $X_1,...,X_n$ iid r.v. with distribution F, with mean $\mu$ and median $\theta$.Assume that $Var(X_i)=\sigma^2$ and $F'(\theta)>0$. If $\hat{\mu}_n$ is the sample mean, and $\hat{\theta}_n$ the ...
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1answer
18 views

Probability density function of two uniformly distributed stochastic variables

I'm currently stuck on an exercise involving two independent stochastic variables X and Y. Both X and Y ~ U(0,1) (uniform distribution) The goal of the exercise is to calculate the probability ...
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1answer
24 views

Simple Expected value of MLE

Let $X_1,..., X_n$ be iid $Exp(\lambda)$. The MLE for $\lambda$ is $\hat{\lambda}=\frac{1}{\bar{X}}$, where $\bar{X}=1/n \sum^n_{i=1}X_i$ How can I conclude that $E(\hat{\lambda}) = n\lambda/(n-1)$? ...
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0answers
11 views

recurrence simple random walk in one dimension before hitting time

Consider Simple Random Walk in one dimensions, starting from $x \in \mathbb{Z}^+$. The walker jumps to the right with probability $p$ and to the left with probability $1-p$. Assume $p \leq ...
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2answers
20 views

Finding out the probability distribution of numbers from -3 to 3

I am really able to solve problems with the help of all the volunteers here. a big thanks to every one.. Please explain this problem.. A random variable 'X' takes the values -3,-2,-1,0,1,2,3. ...
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1answer
10 views

Histogram with different sample probabilities

Assume we are given a list of samples $L_1,L_2,\ldots,L_n$ of some random variable $L$. By classing them into bins we can easily create a standard histogram. But now suppose that we associate a ...
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0answers
16 views

Working with the sum of two independent random variables, and estimating a parameter

A network source sends a sequence of zeros and ones, $X_1, X_2, ...$ with $X_i$(iid) Bernoulli with $p = P(X_i = 1), 0 < p < 1$. Due to disturbances the received sequence is $Y_1, Y_2, ...$ ...
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1answer
28 views

Is there a name for the probability distribution with the form $p(x) = a \,x^2\, \exp( -b\,x^2 )$

There is a probability distribution: $$p(x) = a \,x^2\, \exp( -b\,x^2 ), \quad a,b>0,\ x \in ( -\infty,\,\infty ) $$ I wonder which probability distribution is it?
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1answer
28 views

$E(X_i \cdot I(X_i>\theta)$ expected value of when X is greater than the median.

Let $X_1, ..., X_n$ be iid with a distribution F. Let $\theta$ be the median of F. What is the value of $E(X_i \cdot I(X_j>\theta))$? If $i\neq j$, then $E(X_i \cdot I(X_j>\theta))= 1/2 \cdot ...
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1answer
36 views

Finding conditional distribution

Let $X$ and $Y$ be independent $Exp(1)$-distributed random variables. Find the conditional distribution of $X$ given that $X + Y = c$ ($c$ is a positive constant). this is my idea: $$f_{X \mid ...
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2answers
20 views

Laplace transform of noncentral chi-square distribution

I'm interested in non central chi-square distribution. More specifically, i want to derive the laplace transform of noncentral chi-sqruae disribution or density function. Let me know whether it ...
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1answer
16 views

Distribution combinations

How many ways can 25 identical pencils be distributed between two people?.Each all pencils must be shared out. A) Each person must have at least 5 pencils? B) Each person must have at least 7 ...
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0answers
9 views

elementary proof for discrete Kantorovich-Rubinstein theorem?

For the Kantorovich-Rubinstein theorem, please see the wikipedia page http://en.wikipedia.org/wiki/Wasserstein_metric (which does not contain a reference for the proof). I am only interested in the ...
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0answers
9 views

Generate quadrature points from a distribution

Is there any method to generate quadrature points from any arbitrary probability distribution, $p_{X}\left(x\right)$? We already know about Gauss Hermite rule for Normal distribution, Gauss-Laguerre ...
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0answers
32 views

Law and Brownian Bridge

Let $Z_{t}= W_{t}-tW_{1}$ and $Y_{1}=\sup_{0\leq t\leq 1}Z_{t}$, $(W_t, t \geq 0)$ standard Brownian motion Find the law of $Y_{1}$ I know that $\textbf{P}(\sup_{0\leq t\leq 1}W_{t}\geq x , ...
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2answers
46 views

What is the reason for the one-half in the normal pdf's gaussian (i.e. : why $\exp(-x^{2}/2)$ instead of $\exp(-x^{2})$ )

It doesn't seem to relate to normalization, as the normalizing constant adapts to every possible "upstairs formulation", and in the standard case is $\displaystyle\frac{1}{\sqrt{2\pi}}$. Does it ...
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0answers
41 views

The probability that exactly / at-least $k$ numbers are in the correct position [duplicate]

Given a sequence of $[1,\dots,n]$ in random order: Let $P_k$ be the probability that exactly $k$ numbers are in the correct position Let $Q_k$ be the probability that at least $k$ numbers are in the ...
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1answer
43 views

Martingale based on normal PDF evaluated at normalized i.i.d. sums

I have the following problem. $(X_n)_{n\geq0}, n\in\mathrm{R}$, is a family of iid r.v., normally distributed $\mathcal{N}(0,1)$ $\mathcal{F_n} := \sigma((X_i)_{1\leq i\leq n})$ $x\in\mathrm{R}, ...
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0answers
9 views

Proof of “Normal approximation to the log-normal distribution” [on hold]

I saw the post about the normal approximation to lognormal (Normal approximation to the log-normal distribution). The proof is shown as well. Yet as I'm looking for the proof in a journal article form ...
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1answer
20 views

Probability with Exp distribution, CDF, and multiple variables

You have a list of chores to do at home, but are expecting family to arrive shortly. The amount of time until their arrival (measured in hours) can be modeled as an Exp(2) random variable. Your list ...
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2answers
27 views

Probability with Uniform Distribution with Multiple Variables

Every time you go to a beach for vacation, you take home a little sand to keep as a souvenir. Over your lifetime, you have done this exactly 100 times. On each visit, the weight of sand you take home ...
2
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1answer
74 views

Probability Question: Who's right, me or the book?

I'll be giving some classes on probability theory later this year, and so I've been going through the textbook to check that I'm up to speed. I came across the following question: The discrete random ...
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3answers
57 views

Transformation of two independent uniform random variables

Suppose $X,Y \sim \text{Uniform} \left(0,1 \right)$ are independent. Then I need to find the PDF for $W=X/Y$. By the CDF technique this is seen to be : $$F_W( w)=\int_{0}^1 \int_{0}^{wy} ...
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2answers
33 views

P/1 Actuary Exam Question

I was doing problems and came across this one and was wondering why the P[1<=x<=2] is F(2) - lim (x->1-) F(x) rather than F(2)-F(1)? Could someone please explain this for me?
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0answers
13 views

Poisson-Binomial distribution approximated by binomial distribution

I am looking for strategies how to approximate poisson-binomial distribution (PB) via the binomial (B) distribution. I have seen a few papers [Ehm91,Roos01,LeCam59] on them. The papers uses total ...
3
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1answer
34 views

$\sum_{k\ge 0} e^{-an} \frac{(an)^k}{k!}f(\frac{k}{n}) = \Bbb{E}\left(f\left(\dfrac{X_1+\cdots + X_n}{n}\right)\right)$

Hello everybody i need to show following equality $$\sum_{k\ge 0} e^{-an} \frac{(an)^k}{k!}f(\frac{k}{n}) = \Bbb{E}\left(f\left(\dfrac{X_1+\cdots + X_n}{n}\right)\right)$$ Where $(X_i)_i$ are ...
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1answer
50 views

Exponential of Squared Brownian Motion

Long time lurker, first time posting! Have a problem, that looks familiar but I can't put my finger on it. Need to calculate $\mathbb{E} [\exp(aW_T^2)|F_t]$ where $W_t$ is an $F_t$ adapted standard ...
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1answer
56 views

Example of non continuous random variable with continuous CDF

Can someone provide an example of $X$ being a non-continuous random variable with continuous cumulative distribution function? For instance: $X$ is discrete if it takes (at most) a countable number ...
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2answers
24 views

Joint density distribution and Variance

I was wondering if there is a way to calculate the joint distribution of two fully correlated variables, both with known distributions, expected value and variance, without knowing the conditional ...
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0answers
49 views

A city wants to encourage downtown

could you please help me with this ( part d ) A city wants to encourage downtown employees to use public transportation. Below is the time in minutes to get to work on one morning according to ...
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1answer
51 views

Transformation theorem, Cauchy distribution

I have derived the density for the ratio of two independent random variables,via the transformation formula. In this way: $V = X/Y $ and $ U = X $ inversion yields: $Y = U/V$ och $X =U$ , the ...
2
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1answer
18 views

Continuous Random Variables: Uniform

Problem: A person drives to work via a road with a single traffic signal. The light cycles, green for 45 seconds, red for 15 seconds – ignore yellow. Assume the person approaches the signal at a ...
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40 views

What did I do wrong when using Jacobian transformation

A device containing two key components fails when, and only when, both components fail. The lifetimes, $T_1$ and $T_2$, of these components are independent with common density function $f (t) = ...
2
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1answer
25 views

Column space of stochastic matrix.

Consider an arbitrary matrix $M \in \mathbb{R}^{n \times m}$. Denote the column space of $M$ as $\mathcal{C}(M)$. Is it always possible to construct a right stochastic matrix $S$ such that ...
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1answer
35 views

Question about a change of variable used to compute $E(X)$ from the CDF of $X$

I was studying a proof where the author shows that if the range of x is $\mathbb R_+$ and $F$ is the cumulative distribution function then: $$E[X] = \int_{0}^\infty (1-F(x))dx $$ However on one ...
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2answers
32 views

probability of a flipped coin

A fair coin is flipped three times. Let $A$ be the event that a head occurs in the first flip and $B$ be the event that exactly one head occurs. a) Find $p(A/B)$ b) Are $A$ and $B$ independent? ...
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2answers
33 views

If pages in a book have an iid Poisson number of errors, in 10 pages what is the probability that exactly 3 pages have exactly 1 error?

Suppose the number of spelling error on any given page in particular book can be modeled by a Poisson distribution with $\lambda=2$, and assume that the number of errors on different pages is ...
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0answers
39 views

Choosing random marbles until one is divisible by $X$ [closed]

A box contains twelve marbles on which they are numbered by $1,2,3,...,12$. Now let $X$ represent the number of marbles you must choose with replacement until you obtain one with a number that is ...
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0answers
7 views

finding the variance of a complex scenario

construct a sequence of cubes with one vertex at the origin and having lengths 1/2^x, x=1,2,3,... Select a point randomly from the unit cube with one vertex at the origin and sides of length 1. Let ...
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3answers
42 views

Determine the law of $F^{-1}(U)$, $U$ uniformly distributed on $[0,1]$

i'm trying to understand the following problem Let $X$ be a real random variable, its distribution function is $F(t):\Bbb{P}(X\le t), \forall t\in \Bbb{R}$. Define the right-continuous inverse by ...
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2answers
56 views

conditional probability about sum and product rule

I am reading Bishop's Pattern Recognition and Machine Learning. In page 73, chapter 2.1. I can't understand the formula 2.19 : $$p(x=1|\mathcal{D})=\int_0^1 p(x=1|\mu)p(\mu|\mathcal{D})\text{d}\mu ...
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26 views

What is the optimal prize for a prize ticket in a raffle [closed]

What, if any is the optimal price for a prize ticket given the value of a prize? For example if you were to raffle a TV and wanted to cover the cost of the prize? Let say the people were aware of how ...
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0answers
12 views

Sum of a truncated normal random variable and normal random variable (correlated) [duplicate]

I'm wondering if there is a closed form of pdf of sum of a "correlated" normal random variable and a truncated normal random variable. I found a paper providing the pdf for "uncorrelated case" but I ...
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2answers
16 views

What is the probability density function of $g(S) =S/2$ for a triangle pdf

Say we have the following "triangle" probability density function: $ p_{S}(s) = \left\{ \begin{array}{lr} s & : s \in[0,1]\\ 2-s & : s \in [1,2]\\ 0 & o.w. ...
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2answers
80 views

Sum of normally distributed independent random variables, where one has a different (exponential) unit

$$X \sim \mathcal{N}(\mu_X,\,\sigma_X^2)$$ $$Y \sim \mathcal{N}(\mu_Y,\,\sigma_Y^2)$$ $\mu_X$ and $\sigma_X$ have unit decibel watt ($\text{dBW}$); $\mu_Y$ and $\sigma_Y$ have unit watt ($\text{W}$). ...
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0answers
17 views

Integrating with indicator functions

I want to evaluate $$\int_{-\infty}^{\infty}(A_1e^{-\beta_1(b-x-y)}+B_1e^{-\beta_2(b-x-y)})(pn_1e^{-n_1y}1_{\{y\geq0\}}+qn_2e^{n_2y}1_{\{y<0\}})dy,$$ $b>x, \beta_1<n<\beta_2$. I am trying ...
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1answer
22 views

Polynomial joint pdf $f(x,y)$ such that of $f(x) \neq f(y)$

How can I build a polynomial joint pdf $f(x,y)$ for $x \in [x_1, x_2]$ and $y \in [y_1, y_2]$ such that of $f(x) \neq f(y)$ or equivalently, $x$ and $y$ are depended on each other?
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4answers
133 views

What is the difference between $E[X\mid Y]$ vs $E[X\mid Y=y]$ and some of the properties of $E[X \mid Y]$?

I was trying to understand both intuitively and rigorously what the difference between $E[X\mid Y]$ vs $E[X\mid Y=y]$. Let me tell you first the things that do make sense to me. $E[X\mid Y=y]$ makes ...
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1answer
25 views

Probability of multiple variables, geometric distribution?

You are on a basketball team, and at the end of every practice, you shoot half-court shots until you make one. Once you make a shot, you go home. Each half-court shot, independent of all other shots, ...
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1answer
25 views

How do you get the probability distribution of the sum of random variables by using the inverse of the transform?

I read the following statement: If X and Y are independent random variables, the distribution of their sum W = X + Y can be obtained by computing and then inverting the transform $M_W (s) = ...