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

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0answers
14 views

Determine the multivariate distribution of $(\bar{Y_1}-\bar{Y_2},\bar{Y_1}-\bar{Y_3},\bar{Y_2}-\bar{Y_3})$

Assume you have a factor variable $A$ with $k=4$ groups and a normal distributed command variable fullfilling the condition $Y_i=\theta_{A_i}+U_i$ with independent $U_i\sim N(0,\sigma^2), ...
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1answer
39 views

Compute a conditional probability of normal random variable

Suppose $X, T$ are continuous random variables, and $X \sim \mathcal{N}(0, 1)$, $T$ have density function $f_T$. (But $X,T$ do not have joint density) Is there any way to compute the following ...
3
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1answer
49 views

Interesting Problem - Computing CDF

A rv X is an exponential distribution with parameter 1 and Y is a uniform distribution between 0 and 1. X and Y are independent. Define Z = min {X, Y}. Compute the CDF of Z ? I really have no idea ...
3
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2answers
428 views

Conditional distribution in Brownian motion

I need to prove the following: Let $X$ be a Brownian motion with drift $\mu$ and volatility $\sigma$. Pick three time points $s < u < t$. Then, the conditional distribution of $X_u$ given ...
5
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2answers
46 views

Deriving Moment Generating Function of the Negative Binomial?

My textbook did the derivation for the binomial distribution, but omitted the derivations for the Negative Binomial Distribution. I know it is supposed to be similar to the Geometric, but it is not ...
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0answers
15 views

Kernel density estimation of a divergent probability density function

I'm working with a 2D probability distribution function (pdf) that will be something like $$P\left(r,\theta\right)\approx\frac{3}{\pi^3}\frac{1}{e^{r}-1},$$ when written in polar coordinates (i.e. ...
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1answer
36 views

Resolve integral with importance sample Monte Carlo

I'm trying to compute the integral $$\int_{a}^{b}(\sin( 1 + x ) + \cos( 1 + x ))e^{-x}\ dx$$ using importance sample Monte Carlo method. The exercise ask to use Cauchy Distribution to resolve the ...
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1answer
190 views

Sum of Wishart matrices

Considering two matrices, $H_1$ and $H_2$, that are independent of each other and follows complex wishart distributions as $\mathcal{CW} _m(n_1,\Sigma_1)$ and $\mathcal{CW} _m(n_2,\Sigma_2)$ ...
1
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1answer
264 views

Unknown number of colours Bernoulli Urn

Okay, so, in the traditional Bernoulli Urn problem, we have an urn with a number N, possibly infinite, of coloured balls, and there are k possible colours. That one I grok. However, what if I don't ...
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0answers
8 views

Is it possible to get the PDFs of each of the three vector components knowing the PDF of the modulus if isotropy is guaranteed?

The PDF of a given vectorial quantity modulus is known. I would like to obtain the PDF of each of the three vector components in the case of isotropy, i.e. the three PDFs are supposed to be equal and ...
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0answers
36 views

One double integral elated problem

The bit I am stuck is the limits in the double integral. I tried X from 0 to uy and Y from 0 to infinity, this is obviously incorrect. I just want to know the complete double integral in the order ...
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3answers
60 views

Let $U$ be $~U [0,1] $and let $Y = U^{\frac{1}{2}}$

Let $U$ be $\sim \mathcal{U}[0,1]$ and let $Y = U^{1/2}$. I'm having trouble finding the $E(Y)$. How do I go about doing this?
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1answer
17 views

Covariance of random variables with identical distribution.

Let $X_1,...,X_n$ be random variables with identical distribution, and for all $i=1,...,n$ $\mathrm{Var}(X_i)$ exist. 1. Show that the covariance between each two random variables exist. 2. Show that ...
2
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2answers
25 views

probability-distribution that has its mode equal median

Could anyone tell me any asymmetric distribution whose mode=median? Thanks in advance.
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2answers
33 views

Math probability combination explanation

A group of four components is known to contain two defectives. An inspector tests the components one at a time until the two defectives are located. once she locates the two defectives, she stops ...
1
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1answer
56 views

Conjugated priors (Pareto and Beta): Does this distribution have a name?

$$F_X(x)=\begin{cases} \quad\dfrac{\alpha}{\alpha+\theta}\left(\dfrac x\omega \right)^\theta &\text{ if } x<\omega \\ \\ 1-\dfrac{\theta}{\alpha+\theta}\left(\dfrac\omega x\right)^{\alpha} ...
1
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1answer
43 views

Estimate arrival time of a ship given the average of the ships in a day in a Poisson Distribution

I'm working in a simulation of a Port where ships come to specific stations of the port. I already know that the average amount of ships is given by a Poisson distribution and the service time (On ...
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2answers
132 views

Lies, damned lies, and statistics

A story currently in the U.S. news is that an organization has (in)conveniently had several specific hard disk drives fail within the same short period of time. The question is what is the likelihood ...
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0answers
32 views

Convergence of probability density functions

Assume that a sequence of random variables, $(X_t)_{t\geq 0}$, converges in distribution to a random variable $X_0$, as $t\to 0$. Also assume that $X_t$ and $X_0$ have $C^{\infty}$-probability density ...
0
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1answer
44 views

binomial coefficient: maximum value

For $n\rightarrow \infty$ we consider $$f(p)=\sum_{j=c}^n {n\choose j} p^j (1-p)^{n-j}.$$ We are interested in $\hat{p}:=\arg \max_p f(p)$. Can we say something about $\hat{p}$ dependent on $n$ and ...
0
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1answer
236 views

Poisson Distribution!!!

Customers arrive at a checkout counter in a department store according to a Poisson distribution at an average of seven per hour. If it takes approximately ten minutes to serve each customer, find the ...
0
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1answer
44 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 $3\sigma$ ...
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0answers
36 views

Sums of Power Law random variables

Suppose $F$ be a pareto distribution with scale parameter $x_m$ and shape parameter $\alpha$. Assume $X_1, X_2 , ..., X_n$ are iid random variables drawn from $F$. Let $S_n(k) = X_1 ^k + X_2 ^k + ...
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2answers
38 views

Does a continuous probability density function (pdf) have zero values on +infinity and -infinity?

Assume a pdf $f(x)$ is continuous along $-\infty$ to $+\infty$. Does this assumption guarantee that $f(+\infty)=f(-\infty)=0$? How to prove? Thanks in advance.
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0answers
16 views

Vysochanskij Petunin vs. Cantelli inequality for random variables

The well known Cantelli inequality states: $$Pr(|X-\mu|\ge\alpha)\le\frac{2\sigma^2}{\sigma^2+\alpha^2}$$ where $X$ is a real valued random variable, $\mu$ the mean value and $\sigma^2$ the variance ...
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1answer
23 views

monotonicity of binomial coefficient

I am interested in $$f(x):={k-1 \choose x-1} p^{x} (1-p)^{k-x}.$$ How do I find out in which Domain this function is monotonically increasing, in which it is monotonically decreasing? For which $x$ ...
3
votes
1answer
58 views

Precise definition of the support of a random variable

I am reading lecture notes which contradict my understanding of random variables. Suppose we have a probability space $(\Omega, \mathcal{F}, Pr)$, where $\Omega$ is the set of outcomes ...
1
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1answer
19 views

Cumulative Distribution Function and

The demand, $X$, for a firm’s product is a random variable with density $f(x) = 2x$ for $0 ≤ x ≤ 1$. The corresponding cumulative distribution function is $F (x) = x^2$ for $0 ≤ x ≤ 1$. The firm’s ...
1
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1answer
37 views

Square root of Chi-square distribution tends to $N(0,1)$

The question requires to show that $\sqrt{2\chi^2_n}-\sqrt{2n}$ converges in distribution to $N(0,1)$ as $n \rightarrow \infty$, which I dont know how to proceed. The question also has a first part ...
0
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1answer
38 views

P(X>Y) Probability Double Integral

$f(x,y) = \frac{12}{7(x^2 + xy)}$ $ 0 \le x \le 1$ and $0 \le y \le 1 $ I want to know the $P(X>Y)$. I believe the correct solution to this is integrating from 0 to 1 for dy and y to 1 for dx ...
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3answers
42 views

Expected value of moment generating functions: [closed]

How do I do these? I don't understand any of them.. especially the last two. I'm studying for a final soon and need help. I recognize that they are distributions but how do I answer the question?
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1answer
242 views

Generalized chi distribution

Let $v\in\mathbb{R}^n$ follow a multivariate Gaussian$(0,I)$ distribution, and $M\in\mathbb{R}^{n\times n}$ a matrix. Has the distribution of the Euclidean norm $\|Mv\|$ been studied? I know that its ...
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0answers
38 views

Probabilistic fragmentation

Suppose we have the following problem: We start with an interval of length $1$ and break it into two intervals of lengths $r$ and $1-r$, where $r$ is a random variable in $[0,1]$ with probability ...
1
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1answer
30 views

If $X,Y$ are independent and geometric, then $Z=\min(X,Y)$ is also geometric

Let $X,Y$ be independent geometric random variables with parameters $\lambda$ and $\mu$. If $Z=\min(X,Y)$. Show that $Z$ is geometric and find its parameter. (Answer $\lambda\mu$) $\displaystyle ...
0
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1answer
34 views

What are the different ways of indicating that a random variable has a specific distribution?

Recently I have seen random variable distributions described in two ways: $$ X \sim Nb(r,p) \\ X \stackrel{d}{=} Nb(r,p) $$ Both indicating that $X$ is a negative binomial random variable with $r$ ...
0
votes
1answer
17 views

Correlation coefficient of i.i.d variables

Let $X_1, X_2, X_3, ...$ be i.i.d variables, and for every $i$ $X_i$ has variance. Define $S_k=\sum_{i=1}^{k}X_i$. Calculate $\rho(S_m,S_n)$ for $m\leq n$. Well, I know it should be $\sqrt{ m/n }$, ...
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1answer
291 views

Maximum likelihood estimators, hypergeometric and binomial

I'm trying to solve a two part problem. The set up is as follows: consider a bag with $\theta$ red marbles and $7-\theta$ blue marbles, with $\theta$ being unknown. Let $x$ denote the number of red ...
0
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1answer
24 views

Probability “average” understanding

This is more of a problem understanding probabilities than an actual question. In a game I am playing I can use a certain item to try to unlock different levels. The item will unlock a new level ...
0
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1answer
34 views

What is the distribution of the product between a continuous (Exponential) and a discrete (Bernoulli) random variables?

If you have $X$ distributed as a $\mathrm{Bernoulli}(p)$ and $Y$ as a $\mathrm{Exponential}(\lambda)$ find $Z=XY$. I tried doing it with the MFG i.e. ...
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0answers
24 views

Extension of Slutsky's Theorem

I regard random variables $X_n$ and $Y_n$ with $(X_n+Y_n) \rightarrow (X+Y)$ (in distribution for $n \to \infty$). Furthermore there exist random variables $(a_n) \rightarrow 1$ and $(b_n) \rightarrow ...
1
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0answers
50 views

What does “sequence is equidistributed in [0, 2]” mean?

I was reading an article in which they are mentioning this sentence: "sequence is equidistributed in [0, 2]" where the sequence in question, is a sequence of real number (the article in question is ...
1
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0answers
49 views

Conditioning on function of random variable and random variable itself

Suppose that $Y_{i}\in\{0,1\}$ is a binary variable, and $X_{i}$ is some random vector in $\mathbb{R}^{d}$ . Why can we say the following: \begin{eqnarray*} ...
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1answer
35 views

Confused how to calculate continous random variable with pdf that has a min

The problem given was: Let $X$ be a continuous random variable with probability density function $$f(x) = \dfrac 1 4 \min \left( 1, \dfrac 1 {x^2} \right)$$ Find $P(−2 \le X \le 4)$. The ...
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1answer
29 views

Finding Probabilities of Distribution Functions

I recently turned in an assignment and had an error on it, or so I'm told, I'm not entirely convinced just yet. The problem was as follows: $$F(x) =\begin{cases}1-\frac{16}{x^2}, & x\ge4 \\ 0, ...
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5answers
238 views

Find the distribution of $X_1^2 + X_2^2$? [duplicate]

Let $X_1$ and $X_2$ are independent $N(0, \sigma^2)$ which means (mean = 0, variance = $\sigma^2$) random variables. What is the distribution of $X_1^2 + X_2^2$? My approach is that $X_1\sim N(0, ...
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0answers
18 views

The distribution of ratio of two shifted gamma

I am wondering if anyone can help me to find the ratio of this distribution. Assume $S$ and $T$ are independent, where $S\sim Gamma(n-1/2, 4(1+\rho)\sigma^2)$ $S\sim Gamma(n-1/2, ...
0
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1answer
33 views

Expected value of series of uniformly converges random variables [duplicate]

Let $X_1,X_2,X_3,...$ a series of i.i.d. variables with $X_i \sim \mathcal{U}(0,1)$. Let $N=\inf\{n\mid \sum_{i=1}^{n}X_i\geq1\}$ Prove that $E(N)=e$. I don't really have a clue how to even start ...
2
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1answer
36 views

Why is this distribution Poissonian?

Do this experiment. Draw 10000 random number in $[0,1]$ according to the uniform distribution. Order them in the increasing order. The difference between two neighbouring numbers follows a Poisson ...
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0answers
30 views

Finding $p$ of the binomial cdf…

Please bear with me, I'm only a biologist ^.^: I have a need of solving this cdf so as I can plug in known values $Pr, n, k$, and get an answer for $p$. $$f(k;n,p) = Pr(X\le k) = \sum_{i = ...
0
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1answer
223 views

Mixture Gaussian distribution quantiles

Let $f_1(x), \dots, f_n(x)$ be Gaussian density functions with different parameters, and $w_1, \dots, w_n$ be real numbers that sum-up to unity. Now the function $g(x) = \sum_i w_i f_i(x)$ is also a ...