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

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12
votes
0answers
246 views

Integrate this monster

Can you please help me? I've been trying for some time now to integrate this: $$\int_0^\infty g^{-(a+1)} \; \exp\left\{-\left(\frac{b}{g} + \frac{1}{2} \sum_{i=1}^{n} ...
7
votes
0answers
162 views

How well can the maximum of a Gaussian process be approximated by a finite-dimensional Gaussian variable?

Consider a compact set $K$ in $\mathbb{R}^p$, and let $W$ be a mean zero continuous Gaussian process on $K$, meaning that $W$ takes its values in the space of continuous functions from $K$ to ...
7
votes
0answers
318 views

What is the distribution of $\sqrt{X^2+Y^2}$ when $X$ and $Y$ are Gaussian but correlated?

If $Z = \sqrt{X^2+Y^2}$, and $X$ and $Y$ are zero-mean i.i.d. normally-distributed random variables, then $Z$ is Rayleigh distributed. What is the distribution of $Z$ if $X$ and $Y$ are correlated ...
7
votes
0answers
314 views

Is this question solvable? $2$ non-linear equations and the proof that the solution is unique (with asymmetric bounty option)

As mentioned in the title I want to show the uniqueness of the solution to $2$ non-linear equations. However, it seems that I can not solve this question with my current mathematical knowledge. More ...
6
votes
0answers
86 views

Normalizing factor for product of Gaussian densities - interpretation with Bayes theorem

The normalizing factor for the product of two multivariate Gaussian densities, $f(x)$ and $g(x)$ with mean vectors $a$ and $b$ respectively, and covariance matrices $A$ and $B$ respectively, is itself ...
6
votes
0answers
218 views

The Expectation of a function of independent random variables

Assume we have for some index $i>n$ ($n \in \mathbb{N} $) the following ${\it Independent \ Random \ Variables}$ $$h_i \sim \text {i.i.d }\ \ \mathcal{CN}(0,1) \ \ \text{ Complex Gaussian}$$ ...
6
votes
0answers
209 views

Regular Version of Conditional Gaussian Distribution

Let $Z_{1}$ and $Z_{2}$ be two independent normally distributed random variables with expectations $\mu_{1},\mu_{2}\in\mathbb{R}$ and variances $\sigma_{1}^2,\sigma_{2}^2\in (0,\infty)$ . I would ...
6
votes
0answers
359 views

Calculating probability of some event using geometric considerations

I want to estimate exponentially the following probability: Let $\bf{U}\in\mathbb{R}^n$ be a random vector uniformly distributed on the $n$-dimensional hypersphere, centered at the origin with radius ...
5
votes
0answers
94 views

Probability that a five is seen before any of the even numbers are seen

A fair die is repeatedly tossed. What is the probability that a five is seen before any of the even numbers are seen? I have my own solution below and just want someone to verify it. According ...
5
votes
0answers
97 views

Distribution for ratio of dependent quadratic forms.

Random vector $\mathbf{x}_{0}$ $\sim$ $\mathcal{N}\left(\boldsymbol{\mu}, \mathbf{\Sigma} \right)$ is a sum of two orthogonal random vectors: $\mathbf{x}_{0}$ = $\mathbf{x}_{1}$ + ...
5
votes
0answers
57 views

Deconvolution of distribution of diffraction reflexes

I'm a chemist stuck in a mathematical problem. Please bear with me as I'm trying to express myself in Math language. Let me explain in short terms the experimental method I'm using: X-ray ...
5
votes
0answers
588 views

Maximum and minimum of an integral under integral constraints.

Find the maximum and minimum of the following integral in terms of $f(x),a,C$: \begin{align}I=\int_{0}^{a} \frac{x}{f(x)}p(x)dx \end{align} s.t.: 1) $\int_{0}^{a} p(x)dx=1$ 2) $\int_{0}^{a} ...
5
votes
0answers
209 views

I need help about some compactness arguments

I need help to find some compact sets for my engineering problem. Through this page I learned quite much about it however since I have neither read a book yet nor have an experience I am not able to ...
5
votes
0answers
169 views

Need advice: what should be my next step?

I am dealing with a quite algebraic question and I arrived at some good point. I had $2$ equations with $2$ unknowns and I was able to eleminate one of the variables. My final equation still seems ...
5
votes
0answers
432 views

Simulating from a Multivariate Gaussian without Cholesky

I'd like to draw a sample from a multivariate Gaussian distribution $\mathcal{N}(\mu, \Sigma)$, where $\mu$ is the mean vector (can assume it to be $\boldsymbol{0}$), and $\Sigma$ is a sparse positive ...
4
votes
0answers
36 views

shifted exponential distribution with inter-arrival time

Given that time interval $T^*$ in seconds between certain events has a negative exponential distribution. The instrument cannot detect intervals which are less than $\delta$ seconds. Let $T_1, ..., ...
4
votes
0answers
45 views

How to prove the following about eigenvalues

Let $\mathbf{M} = [m_{ij}]$ be a symmetric matrix of size $m\times m$ of real elements. Let $\mathbf{A} = [a_{ij}^R + ia_{ij}^I]$ be a random Hermitian matrix whose elements have variance, $\sigma^2$, ...
4
votes
0answers
43 views

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 ...
4
votes
0answers
43 views

Generalized Binomial Model independent in the limit

Start with a generalized binomial model $$P(X_{n+1}=1\mid \mathcal{F}_n)=\theta_n+ n^{-1} d_n \sum_{i=1}^n X_i$$ $$P(X_{n+1}=1)=p_{n+1}=\theta_n + n^{-1}d_n \sum_{i=1}^n p_i$$ With $0\leq \theta_n+ ...
4
votes
0answers
109 views

How to model this easy problem as sum of indicator random variables in order to apply Chernoff bound

Do you have an idea how I could model the following process somehow as a sum of independent indicator random variables? I have given a grid of size $n \times n$ for $n \rightarrow \infty$. Now I ...
4
votes
0answers
137 views

About the total number of twin primes in the vicinity of twin primes

Just for curiosity's sake, I did a test regarding twin primes, and I have doubts about the meaning of the results. Test: calculation of ${\pi_2}$(n) and the twin primes density in the vicinity of ...
4
votes
0answers
111 views

How to compute or simplify this nasty integration?

Any hints on solving an integration of the following form, $$\int_{x}^{+\infty}\left(1-\frac{1}{1+sy^{-1}}\right) \left(\text{exp}(-\sqrt{y})+ y^{-\frac{1}{2}}(1-\text{exp}(-\sqrt[4]y)\right)dy $$ ...
4
votes
0answers
525 views

Mean Absolute Deviation for a Stable Distribution as a Function of the Tail Exponent

Consider the standard Lévy-Stable (or Alpha Stable) distribution $S(\alpha,\beta, \mu, \sigma)$ where $\alpha$ is the tail exponent, $1 \leq \alpha \leq 2 $. Picking the symmetric case with $0$ mean ...
4
votes
0answers
96 views

Entries of a Haar distributed unitary matrix

The eigenvector matrix of a Wishart matrix is Haar distributed and that implies that the eigenvectors are uniformly distributed on a sphere. I'm interested to know what is the distribution of ...
4
votes
0answers
140 views

The distribution of the inner product of a random complex normal vector.

Good day! I would like to find the distribution of the inner product of a random complex normal vector with: some constant vector; random gaussian vector. Let's assume a vector $\vec{z}$ which has ...
4
votes
0answers
91 views

Convergence in distribution of bernoulli rv over square root of uniform rv

This is a question from an old comprehensive exam: Let $U$ be a $\operatorname{Uniform}[0,1]$ random variable and let $X$ be a $\operatorname{Bernoulli}(1/2)$ random variable independent of $U$. ...
4
votes
0answers
81 views

Identifying the joint distribution from some values of $t \cdot X$

Suppose that $S$ is a subset of $\mathbb{R}^n$ and $X, Y$ are $\mathbb{R}^n$ valued RVs. We already know that $X$ and $Y$ are equidistributed iff $t \cdot X=^d t\cdot Y$ for all $t \in \mathbb{R}^n$. ...
4
votes
0answers
2k views

Uniform distribution on the surface of unit sphere

It is known that given $X=(X_1, X_2, \ldots, X_n)$ iid $\sim N(0,1)$, then $X/\sqrt{X_1^2+\cdots+X_n^2}$ is uniformly distributed on the surface of unit sphere. Intuitively, I know that that's ...
4
votes
0answers
149 views

Using Bernoulli distribution approximate the $q$-th moment

Let $x$ be vector in $R^n$. Let $\pi(⋅)$ be a permutation on the set $\{1,\ldots,n\}$ with a uniform distribution. Let $|m|\leq n, m \in Z$. Using Bernoulli (or maybe some other) distribution ...
4
votes
0answers
343 views

An absolutely continuous cumulative distribution function that fails to have a Riemann-integrable pdf.

We know that if a real-valued random variable $ X $ on a probability space has an absolutely continuous cumulative distribution function (cdf) $ F $, then $ X $ possesses a probability density ...
4
votes
0answers
164 views

a integral of bivariate Gaussian random variables.

I met the following problem when doing estimation and detection homework. The problem asks for a maximum likelihood estimator for (v,$\rho$) of bivariate joint Gaussian, where v is the common ...
4
votes
0answers
215 views

Equivalence of two sequences

I'm having some trouble showing that two things I really want to be the same are in fact the same. I want to show that these two sequences are, in fact, the same thing: $$a_0=1,a_1=-1, ...
4
votes
0answers
518 views

Exponential family representation of multi-variate Gaussians

I'm a bit stumped by the exponential family representation of a multi-variate Gaussian distribution. Basically, the exponential form is a generic form for a large class of probability distributions. ...
3
votes
0answers
34 views

Sufficient statistics and UMVUE for joint poisson, bernoulli

Given a pair $(X,Y)$ of r.v.s such that: $$X \sim \text{Poisson}(\lambda)\quad \text{and}\quad Y \sim B(\frac{\lambda}{1+\lambda})$$ with $X,Y$ independent, determine a one-dimensional ...
3
votes
0answers
114 views

Joint pdf of N > 1 i.i.d. random variables isotropic if and only if they are centered gaussian?

Are centered Gaussian densities given by $$f_X(x) = \frac{1}{\sigma \sqrt{2\pi}} e^{-x^2/(2 \sigma^2)}$$ the unique densities such that the joint pdf of $N > 1$ independent and identically ...
3
votes
0answers
44 views

Compute the covariance of $\xi$ and $\min \{\xi,2\}$, where $\xi$ is exponentially distributed

Let $\xi$ be a random variable exponentially distributed and let $\xi_1=\min \{\xi,2\}$. Calculate $Cov(\xi,\xi_1)$. I know the problem is easy but I just need somebody to check my work. Here's ...
3
votes
0answers
28 views

Weak convergence of order statistics

I've encountered the following problem: Let $U_1,...,U_n$ be iid uniformly distributed on $[0,1]$ and let $U_{n(k_n)}$ denote the $k_n$-th order statistic where $k_n$ is chosen, s.t. ...
3
votes
0answers
38 views

What is the appropriate statistical test to see if a quantity has been distributed differently into discrete bins?

Say I have $10^6$ balls, $3$ bins $A,B,C$, and $2$ machines $X$ and $Y$ that distribute the balls into the bins according to an internal set of rules (i.e. a probability distribution). If I run both ...
3
votes
0answers
71 views

Using Jensen's inequality to prove the Cauchy distribution has no mean

I can see that there is no mean because $\int x / \pi(1+x^{2})$ does not converge from -inf to inf. But my prof hinted at using Jensen's inequality for the proof. $$f(E(X)) \le E(f(X))$$ How can I ...
3
votes
0answers
59 views

Estimating the support of a probability density function

The inverse moment problem deals with the reconstruction of a probability density function (PDF) of a random variable (RV) by means of its statistical moments. In the special case of the Hausdorff ...
3
votes
0answers
31 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 ...
3
votes
0answers
70 views

When will this generalized binomial model generate an exchangeable sequence?

Start with a generalized binomial model $$P(X_{n+1}=1\mid \mathcal{F}_n)=\theta_n+ n^{-1} d_n \sum_{i=1}^n X_i$$ $$P(X_{n+1}=1)=p_{n+1}=\theta_n + n^{-1}d_n \sum_{i=1}^n p_i$$ $$P(X_1 = 1)= ...
3
votes
0answers
53 views

Probability density function of $x$ in the unit circle?

I'm trying to work out how to find the probability density function (PDF) for $x$ values on the unit circle - not within the unit circle but on the edge. The reason for doing so is that I'm trying to ...
3
votes
0answers
34 views

Distribution and convergence of the r.vs.: $X_n= \frac{ \lfloor nX \rfloor}{n}$

$X$ is an absolutely continous random variable, with a continous density function, and: $$X_n= \frac{ \lfloor nX \rfloor}{n}$$ What is the distribution of $X_n$, and what can we say about its ...
3
votes
0answers
69 views

An inequality with a characteristic function

It's my first question here, hi. In fact, it derives from my probability theory homework, which appears to be unusually difficult (or I just don't see something): Suppose $X$ is a real valued random ...
3
votes
0answers
75 views

Question about application of Erdős-Kac theorem

My question is whether (*) below can be shown using the Erdős-Kac theorem? I don't think the distinction between $\Omega$ and $\omega$ is important here. For lack of better notation let ...
3
votes
0answers
71 views

A hard integral from probability theory

I am trying to resolve this integral, which comes out of considering a compound distribution of normal variables: $$ \int_{-\infty}^{\infty} \frac{1}{\sigma_{\sigma} \sqrt{2 \pi}} ...
3
votes
0answers
20 views

How to compute uniformly distributed points on an ellipse

The ellipse can be parametrized in polar coordinates by $$r(\theta)=\frac{1}{a+\cos\theta}$$ up to a scaling factor, and $a>1$. Suppose we measure $S$, the distance along the ellipse from the ...
3
votes
0answers
126 views

Extinction probability of binomial branching process tends to poisson one.

The folowing is stated and proved in the random graphs book by Luczak, Janson, Rucinski and this is on page 108 in the Giant component section. I can't understand why the conclusion follows from the ...
3
votes
0answers
47 views

Distributions question. I'm getting the wrong answer?

An oil exploration firm is to drill $10$ wells, with each well having probability $0.1$ of successfully producing oil. It costs the firm ${10}$ million dollars to drill each well. A successful well ...