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

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9 views

Distrubution of the maximum of a sequence of random variables.

Let $\{Xn\}_n$ a sequence of independent random variables with the same distribution. Suppose their mean is 0 and their variance is 1. Consider $$\max_{0\le k \le n} X_k(t)-tX_k(1)$$ How can I ...
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0answers
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Question about upcrossings of Brownian motion

I am very stuck on this problem: Given a Brownian motion $(B_s)$, write $S_t = \sup_{0 \leq s \leq t} B_s$, for each $t>0$. All stopping times and martingales are considered w.r.t the filtration ...
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2answers
27 views

Let $X$ be Hypergeometric, Find $E\left(\binom{X}{2}\right)$

Let X be Hypergeometric: $X \sim \operatorname{HGeom}(w,b,n)$, so that $X$ is the number of white balls in a sample of size $n$ out of a population of $w+b$ white and black balls. Find ...
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1answer
14 views

Data distribution for sine time series

Suppose we have a time series $x_t=\sin(0.02\pi t)$. Although this time series is totally deterministic, we can treat it as one realization of a proto/quasi/pseudo-stochastic process and estimate the ...
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1answer
41 views

Convergence to $N(0,1)$ in distribution

Question is as following: $X\sim Po(\lambda)$ $$\frac{X-\lambda}{\sqrt{\lambda}} \,{\buildrel d \over \rightarrow}\, N(0,1)$$ as $\lambda \rightarrow \infty$. Obs. One is asked not ...
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1answer
18 views

Exit time of Brownian motion from the upper half plane

I am currently reading some books on SLE and struggling on some problems regarding Brownian motion. For a Brownian motion in $\mathbb{R}^2$ starting from $(x,y)$, I don't know how to find the ...
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0answers
23 views

Three state probability where one state has yet to factor results.

I'm currently trying to explain something to someone else using probability to make it simpler to understand. As I have it now there have been 5 examples that have happened. In one case there are 3 ...
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0answers
36 views

Calculate expected values of the lengths of line segments

There is a line segment of the length of $1$. $N-1$ points are randomly chosen in it, so it is divided by $N$ parts. The question is to calculate expected values of all these parts, from the shortest ...
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1answer
12 views

definition of Cumulative distribution function

let X be RV, and his Cumulative distribution function: there is a difference if in my case if $X<x$ ? the definition is the same?
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2answers
20 views

probability of a brownian motion being equal to the running maximum

Let $B$ be a standard Brownian motion on $\mathbb{R}$. I would like to show that $$ \mathbb{P} \bigg\{ B_1 = \max_{t \in [0,1]} B_t \bigg\} =0 .$$ I argue that since $\max_{t \in [0,1]} B_t $ has the ...
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1answer
23 views

Two series of independent Bernoulli trials. Find distributions of being simultaneously successful and of first success being simultaneous.

Nick and Penny are independently performing independent Bernoulli trials. For concreteness, assume that Nick is flipping a nickel with probability p1 of Heads and Penny is flipping a penny with ...
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21 views

How to calculate the following conditional expectation? Is my calculation process right?

I want to calculate the conditional person's correlation coefficient. But I don't know how to calculate the following expressions,especially the conditional expectation of ...
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1answer
30 views

Who can help me to interpret the following expression?

I don't understand the second line of the following expression. Why does he use conditional expectation? and can you explain the following calculation process to me? Thanks.
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1answer
25 views

Using Poisson distribution to find the probability that the interval between arrivals exceeds some value

Suppose we have a helpdesk with tickets arriving at a rate of three per min. Tickets arrival follow a Poisson distribution. How someone can calculate: a. The probability of the time between the first ...
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0answers
10 views

Limit distribution on return time $\tau = \inf\{k: X_k = X_m \text{ where }m<k\}$ [on hold]

Suppose there is a stochastic process ${X_i}_{i=1}^n$ where $X_i$ is distributed normally over $\{1,\dots,n\}$. As $n\rightarrow \infty$, the probability that any one value is repeated should go to ...
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0answers
10 views

Iso-density locus of Gaussian mixture distribution

I would like to known what is the equation of the iso-density locus of a Gaussian mixture distribution. Is such an iso-density locus a union of ellispoids? Let's say that this Gaussian mixture is in ...
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1answer
21 views

How is logistic loss and cross-entropy related?

I found that Kullback-Leibler loss, log-loss or cross-entropy is the same loss function. Is the logistic-loss function used in logistic regression equivalent to the cross-entropy function? If yes, can ...
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0answers
21 views

AI Bayes Network Question? [duplicate]

A) Given this Bayes Net Answer and explain: 1) True or False 2) True or False B) Given this Bayes Net: Answer and explain: 3) True or False 4) True or False
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1answer
24 views

Determine the density of sum of three normal variables.

Setting $\pmb{X} = (X_1,X_2,X_3)$ is a properly center normal with covariance matrix $$\begin{pmatrix} a & b & 0\\ b & d & 0\\ 0 & 0 & e \end{pmatrix}$$ Determine the ...
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1answer
27 views

distinguishing probability measure, function, distribution

I have a bit trouble distinguishing the following concepts: probability measure probability function (with special cases probability mass function and probability density function) probability ...
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1answer
43 views
+100

Probability that there is sub-sequence of exact length

Can you help me to solve the following: Find probability that in sequence of N random uniformly distributed numbers there is increasing sub-sequence of exact length L.
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1answer
23 views

Probability measures and stochastically dependent events

If $P(B\mid A) > P(B)$ and $P(C\mid B) > P(C)$ can I infer that $P(C\mid A) > P(C)$? My suspicion is yes but I don't see how to prove it yet.
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3answers
25 views

probability of the empty set for arbitrary probability measures

I have a probability space $(\Omega, \mathcal{P}(\Omega), P)$. I want to know the probability of the empty set $\{\}$. Intuitively, I would say this probability is zero. It certainly is for the ...
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2answers
17 views

Product of two Beta distributed random variables

I have two Beta distributed random variables : $X_1=B(\alpha_1, \beta_1)$ $X_2=B(\alpha_2, \beta_2)$ What can we say about $Y=X_1.X_2$? Is this also a Beta distributed random variable?
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Convergence of $n^{-\gamma}T$ where $T$ a hitting time for uniform rvs, can I use CLT?

Let $X_1,X_2,\dots$ be iid uniform on $\{1,\dots,n\}$ and define $T=\inf\{k:X_k=X_r \text{ for some }r<k\}$. The objective is to figure out when $n^{-\gamma} T$ converges weakly to some ...
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1answer
35 views

Joint distribution of arrival times in Poisson process

I need to compute the following joint distribution in a Poisson process: $f_{S_A S_{A+B}}(t_1, t_2), t_2\ge t_1$ $S_A$ and $S_{A+B}$ are the arrival epochs of the $A^{th}$ and ${A+B}^{th}$ arrivals ...
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1answer
36 views

Binomial distribution giving me an answer above 1?

I am doing the following question. If i have a box of $20$ soccer balls and the independent chance of a soccer ball of being flat is $0.1$. What is the probability of having at least $4$ flat soccer ...
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0answers
11 views

Distribution of the ratio of two dependent chi-square

I look for my work the distribution of the ratio of two dependent chi-square variables $X, Y$ with different degrees of freedom for each one. Meanwhile I only found the distibution for the case where ...
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1answer
17 views

Finding the pdf of $X_1/(X_1+X_2)$ given $X_1,X_2 \sim \operatorname{Exp}(1)$

I have that $X_1,X_2 \sim \operatorname{Exp}(1)$. I need to find the pdf (probability density function) of $T$ where $T= X_1 + X_2$ and $R= X_1/(X_1+X_2)$. I convolved the pdf's of $X_1$ and $X_2$ to ...
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0answers
27 views

derivative of t distribution cdf wrt degrees of freedom

Given the cdf of a t distribution as follows: $T_\nu(x)=\frac{1}{2} + x\Gamma(\frac{\nu+1}{2}) + \frac{_2F_1 ...
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1answer
13 views

Convergence in distribution of the negative part of centered/scaled poisson variable

For every real number $x$ denote its negative part by $x^{-}$ if $x \le 0$, and let $x^{-} = -x$. Otherwise let $x^{-} = 0$. Now let $$T_n = \frac{(X_1 + \ldots + X_n) - n}{\sqrt{n}}$$ where $X_j ...
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2answers
35 views

Determine the probability distribution of a ratio of two random variables?

Setting You are given two independent random variables $X_0,X_1$ with common exponential density $f(x) = \alpha e^{-\alpha x}$. Let $R = \frac{X_o}{X_1}$. Determine $\Pr[R > t]$ for $t > 0$. I ...
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2answers
48 views

The limit of an expected value vs expected value of a limit in this betting game

Setting The outcome $X$ of a slot machine takes values 1,2,or 3 with probability $p(1) = \frac{1}{2}$, $p(2) = \frac{1}{4}$, $p(3) = \frac{1}{4}$. We are given 3 for one odds, that is if we bet 1 ...
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0answers
14 views

Probability Density Function for Randomly Oriented Ellipse

I have an ellipse with a long aspect of a and a short aspect of b. The equation for this ellipse is found on this post: What is the general equation of the ellipse that is not in the origin and ...
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1answer
29 views

Central limit theorem in the setting of Poisson variables

Setting Given $S_{\lambda} \overset{d}{\sim} \operatorname{Poisson}(\lambda)$. Let $G_{\lambda}(t)$ be the distribution function of $\frac{S_{\lambda}}{\lambda}$. I need to determine ...
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1answer
24 views

Probability distribution for putting balls in boxes in a correlated way

I'm looking for help finding a probability distribution: Right now I have a problem where I have N indistinguishable balls, which I need to put into K indistinguishable boxes, each of which can hold ...
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1answer
41 views

Using the geometric distribution to find the probability that between 4 and 6 devices will be tested

Quality control tests spark plugs until they find one that doesn't work. If the probability of a spark plug working is 0.99, what is the probability that they will test between 4 and 6 (inclusive) ...
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1answer
33 views

Distribution problem where |a|, |b|, |c|, and |d| are at most 10. Check my work?

How many ways can a+b+c+d=18, where a,b,c,d are integers such that $|a|,\ |b|,\ |c|,\ |d|$ are each at most 10? This is what I have so far. If all four numbers have the restriction -10 =< a, b, ...
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2answers
29 views

Does this integral $\int f_{X|Y}(x|y) dy$ has any meaning in probability or statistics

Suppose I have two random variables $(X,Y)$ with joint probability density given by $f_{X,Y}(x,y)$. Does integral \begin{align*} \int f_{X|Y}(x|y) dy \end{align*} evaluate to something or has ...
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2answers
39 views

Selecting n matches from two pockets.

Setting An eminent mathematician fuels a smoking habit by keeping matches in both trouser pockets. When impelled by need he reaches a hand into a randomly selected pocket and grubs about for a match. ...
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1answer
39 views

Conditional expectation of an uniformly distributed random variable

Suppose $U_1, \ldots, U_n$ are i.i.d. random variables with $U_1$ distributed uniformly on the interval $(-1, 1)$. Compute $\mathbb{E}(U_1 + \ldots + U_n |\max(U_1, \ldots, U_n) = t)$ for $t \in (-1, ...
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2answers
30 views

Conditional distribution of geometric variables

Setting Suppose X1 and X2 are independent with the common geometric distribution w(k; p). Determine the conditional distribution of X1 given that X1 + X2 = n. Solution My argument is $$\Pr[X_1| ...
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31 views

Probability the pedestrian has to wait 3 time epochs to cross the street.

Setting A pedestrian can cross a street at epochs k = 0, 1, 2, . . . . The event that a car will be passing the crossing at any given epoch is described by a Bernoulli trial with success probability ...
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4answers
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Probability that given a 1000 page book with 1000 misprints, a page will have 3 misprints.

Setting A book of 1000 pages contains 1000 misprints. Estimate the chances that a given page contains at least three misprints. Solution My solution is ...
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1answer
17 views

Ordering of elements drawn from uniform distribution

Setting $$X_1,\ldots,X_n \overset{iid}{\sim} \mathcal{U}[0,1]$$ Next order them so that $x_{(1)} \le x_{(2)} \ldots\le x_{(n)}$ Find $F_{(k)}(t) = \Pr[X_{(k)} \le t]$ in terms of a binomial sum, ...
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1answer
26 views

Assumptions of a probability distribution

Let $X$ be a continuous real-valued random variable indicating the fragility of a firm. Suppose that the firm defaults if $X$ takes a value above a threshold $u>0$. Hence $$ Prob(X>u) $$ is the ...
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11 views

Functions of random variables - bivariate case

this is the question: I approached the first question in this way: Then, for the second question: After, my friend told me that if Z is a Poisson distribution than Var(Z) should be 25. I ...
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1answer
27 views

Sufficient conditions for monotonicity with probability distributions

Let $X_i$ be a continuous non-negative real-valued random variable and $i=1,...,n$. $X_i$ are not necessarily independent over $i$. Let $b>0$, $\delta>0$. Consider $$ ...
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How write down PMF when random variable follows conditionally discrete uniform distributions with different support.

A certain small town, whose population consists of 100 families, has 30 families with 1 child, 50 families with 2 children, and 20 families with 3 children. The birth rank of one of these ...