Use this tag only if your question is about the modern theoretical footing for probability, for example probability spaces, random variables, law of large numbers, and central limit theorems. Use [tag:probability] instead for specific problems and explicit computations. Use ...

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13 views

A Question on CDFs and PDFs (substitution/inverse?)

(a) Need step by step solution to problem explaining steps. So far I got: $f_X(x) = X = 50,000e^R$ $f^{-1}(x)=\ln(\frac{x}{50,000})$ $f_X(x) = f_R(f^{-1}(x))\cdot \mid [f^{-1}(x)]' \mid = ...
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0answers
12 views

Suppose that there are two cells in a parallel system. In order for the system to work, at least one of the two parallel subsystems must work.

Consider a particular lifetime value $t_0$, and suppose we want to determine the probability that the system lifetime exceeds $t_0$. Let $A_i$ denote the event that the lifetime of cell $i$ exceeds. ...
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18 views

Finding a random variable.

Let $X,Y$ be two non negative random variables such that density of $Y$ is the same as the survival function of $X$. Is there any way we can find $Y$? Thank you for your time and help.
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0answers
28 views

$X = E(Y | \sigma(X)) $ and $Y = E(X | \sigma(Y))$

Suppose $X, Y$ are random variables in $L^2$ such that $$X = E(Y | \sigma(X)) $$ $$Y = E(X | \sigma(Y))$$ Then I want to show that $X=Y$ almost everywhere. What I've done: By conditional Jensen ...
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13 views

How to calculate the Pushforward measure of $f(\omega) =\sum_{n=1}^{\infty} \frac{2 \omega_n}{3^n}$

Suppose $X := \{0,1\}, \mu := \frac{1}{2} (\delta_0 + \delta_1)$ and $(\Omega, \mathcal{F},\mathbb{P}) : = \bigotimes_{n=1}^{\infty} \left( X, 2^X,\mu \right)$. For $\omega \in \Omega$ we denote the ...
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1answer
24 views

Probability Theory: Expectation Problem [on hold]

Need help. (1) Can we mathematically proof that the difference between $\mathbb E[\min(X,Y)]$ and $\min(\mathbb E[X],\mathbb E[Y])$ is minimal / negligible? (2) Can we say that $\min(\mathbb E[X], ...
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1answer
31 views

what could 1/probability represent?? [on hold]

I was working on a concept in probability theory with a friend and we came across 1/probability. Does the inverse of probability appear anywhere in mathematics and what are its applications?
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0answers
15 views

Conditional independence given elementary events implies conditional independence given $\sigma $-algebra

Proposition: Let $X$ be a continuous markov chain with discrete state space $S$. Let $Z$ be the corresponding jump chain and $\left\{ {{W_i},i \in \mathbb{N}} \right\}$ its holding times. Let ...
2
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1answer
7 views

Expectation and variance of X − Y

Let's say I have $X=\min\{X_1,...,X_{10}\}$ with the $X_i\sim Exp(\lambda_i)$ independent. And let $Y=\min\{X_{11},...,X_{20}\}$ What is the expectation and variance of $X-Y$? I really don't know ...
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1answer
19 views

$X_n \to X$ in $L_2$, show that $\lim_{n \to \infty}E[X_n^2]=E[X^2]$

$X,X_1,...$ are random variables, $X_n \to X$ in $L_2$. Show that $\lim_{n \to \infty}E[X_n^2]=E[X^2]$. My attempt: $X_n \to X$ in $L_2 \implies \lim_{n \to \infty} E[(X_n-X)^2]=0 \implies \lim_{n ...
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0answers
8 views

Probability Theory - Showing something generates the Borel $\sigma$-algebra

If I have $\{(x,y] : x,y \in (0,1] \}$, how would I show that this generates the Borel $\sigma$-algebra on $(0,1]$? So we are just showing that we can form open sets through countable union, countable ...
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1answer
20 views

Various modes of convergence of random variables

Let $\lbrace X_n \rbrace_n$ be a sequence of independent random variables such that $$P(\{X_n = \pm 1 \}) = \frac{1}{n}$$ $$P(\{X_n = 0 \}) = 1 - \frac{2}{n}$$ Is the sequence convergent: $1$) almost ...
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0answers
14 views
1
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1answer
22 views

what is the difference between event space and probability space?

Let the sample space, $S=\{1,2,3,4\}$ and event space,$F$ is defined on $S$ are $\{1\}$ and $\{2\}$.Enumerate all possible events in $F$. This is the question I encountered while solving problems ...
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0answers
8 views

Showing that moment estimates are asymptotically bi-variate normal.

Let $X_1,\dots,X_n$ be iid $\Gamma(p,1/\lambda)$ with density $g_\theta (x) = \frac{1}{\Gamma(p)} \lambda^p x^{p-1} e^{-\lambda x}$, $x>0$, $\theta = (p,\lambda)$, $p > 0$, $\lambda > 0$. ...
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1answer
26 views

Given the distribution of $X$ and $Y=-2\theta \ln X$. How is $Y$ distributed?

The pdf of $X$ is $f(x) = \theta x^{\theta-1},\enspace 0<x<1, \enspace 0<\theta<\infty.$ Let $Y=-2\theta \ln X.$ How is $Y$ distributed? My work: $$ \begin{align*} F(Y) = P(Y \leq y) ...
1
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1answer
21 views

Please check my answers on these Convergence Problems

Let $X_1,X_2,...$ be a sequence of random variables with corresponding distribution functions given by $F_n(x)=0$ if $x<-n$, $F_n(x)=\dfrac{x+n}{2n}$ if $-n\leq x< n$ and $F_n(x)=1$ if $x\geq ...
2
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0answers
20 views

Exercises with solutions for probability theory?

I'm reading the book Probability Theory: A Comprehensive Course by Achim Klenke. There are no solutions for the exercises in this book, so I constantly have to annoy people here (but nobody wants to ...
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3answers
33 views

Expectation of min of two random variable

Looking for your kind help to solve the following expectation problem. Let assume, $C_{u} = min(C_{a},C_{b})$ where $C_{a}$ & $C_{b}$ are random variables. Is the following is true? ...
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1answer
49 views

Markov chain doesn't sum up to 1

Let $\{X_n\}$ be a Markov chain on $S=\{1,2,3,4,5,6\}$ with the matrix suppose we define a new sequence $\{Y_n\}$ by $$Y_n=\cases{1\quad X_n=1\vee X_n=2\\2\quad X_n=3\vee X_n=4\\3\quad ...
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0answers
19 views

Existence of regular conditional distribution of random variable given the value of another variable

Let $(\Omega, \mathcal{A}, \mathbf{P})$ be a probability space with a measurable function $Y: (\Omega, \mathcal{A}) \rightarrow (E, \mathcal{E})$ and another measurable function $X: (\Omega, ...
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0answers
13 views

Have I used the Probability generating function of poisson point process correctly?

Let $v\in \mathcal{V}$ be measurable and let $\Phi$ be a Poisson Point Process with intensity $\lambda$ then the probability generating function (PGF) is $$\mathbb{E}\left( \prod_{x\in \Phi} ...
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1answer
12 views

Is the product measure space generated by the filtration adapted to the projection maps?

Let $(\Omega, \mathcal A)$ be a measure space. Consider the product measure space $(\Omega^{\mathbb N}, \mathcal A^{\mathbb N})$ and denote by $\pi_n : \Omega^{\mathbb N} \to \Omega$ the $n$-th ...
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1answer
37 views

Find the Expected value of a Random variable

Assume random variable $$X \sim f_X(x) \,\,\, -2 \leq x\leq 2$$ Now Assume we need to compute the following $$F= \mathbb{E}\left(\frac{1}{1+(G(X))^2}\right)$$ where we define the function $$G(x) = ...
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0answers
18 views

Show Projection minimizes variance

Van der Vaart's Asymptotic Statistics, problem 11.2 Another idea of projection is based on minimizing variance instead of second moment. Show that $\text{Var}[T-S]$ is minimized over a linear space ...
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0answers
20 views

Central limit theorem with Lyapunov condition

$Z_1, Z_2,...$ are iid uniformly distributed on $[-1;1]$, $\lim_{n \to \infty} a_n=0$ and $\lim_{n \to \infty} na_n=\infty$ also $a_n>0$ $\forall n$, $X_{n,j}= \frac{1}{a_n}I(|Z_j| \le a_n)$ ...
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1answer
17 views

Probability issue given a Bayesian Network

If we have a Bayesian Network A -> B ->C then P(B|A, C) = P(B|A)? Thanks!
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0answers
14 views

Proof of theorem on markov chains

If $X=(X_n)_{n\in\mathbb N}$ is a Markov chain on a space $E$, it has an initial distribution $(\lambda_i)_{i\in E}$ such that $\sum\lambda_i=1$ and a transition matrix $(p_{ij})_{i,j\in E}$ such that ...
1
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2answers
50 views

If $\{X_n\}$ converges in probability to $1$, where does $\{1/X_n\}$ converge to?

Without using the continuous mapping theorem, I want to show that, given $\{X_n\}$ is a sequence of random variables converging in probability to $1$, $\{1/X_n\}$ converges in probability to $1$. The ...
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0answers
13 views

Chain conditional probability issue [on hold]

In conditional probability network if A -> B ->C then P(B|A, C) = P(B|A)? If no, then what is the answer? Thanks!
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1answer
17 views

Slutsky for joint convergence

I am interested whether Slutsky's Theorem also holds in the case of joint convergence. Let $(X_n,Y_n)$ be random variables with $(X_n,Y_n) \rightarrow (X,Y)$ in distribution for $n \to \infty$. ...
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6answers
79 views

How come everyone says that you can't with in lottery because of statistics yet every single day I hear that someone has won?

I'm a very simple man with basic understanding of mathematics and theory. This question has bugged me for the last few years, ever since I learned about lottery tickets. When I talk with people about ...
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1answer
23 views

Which is the difference between $P(A \mid B)$ and $P(A=t \mid B)$ in a Bayesian Network?

Which is the difference between $P(A \mid B)$ and $P(A=t \mid B)$ in a Bayesian Network, where $A$ and $B$ are boolean values?
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0answers
21 views

Conditional probabilities given the evidence(Bayesian network)

Let's say we have a Bayesian network: How can I compute P(A | F, E) ? I have all the probabilities for each node. Thanks!
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0answers
24 views

Borel Sets and relation to probability theory.

I am currently having difficulty understanding the link between Borel Sets and Probability theory. How/Why are Borel Sets used in Probability theory?
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1answer
36 views

An Elementary Convergence Problem in Probability

Suppose that $X_1,X_2,...$ are degenerate random variables such that $f_{X_n}$ denotes the mass function of $X_n$.$$f_{X_n}(x)=P(X_n=x)= \begin{cases} 1, & x=2+\dfrac{1}{n} \\ 0, ...
2
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1answer
51 views

Independence of a Stochastic Process at Distinct Time

Suppose $X_t$ is a stochastic process of $t$ on $[0,\infty)$ with almost surely continuous sample path. I have modified my question to the following one, per Math1000's comment below: Is the ...
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0answers
20 views

Density of product of random variable

I would like to derive the product density of two independent continuous random variable in a measure theoretic framework. I am well aware of the result which can be found here: ...
2
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1answer
37 views

Counterexample for generating function?

This is Exercise 3.1.2 from Achim Klenke: »Probability Theory — A Comprehensive Course«. Exercise: Give an example for two different probability generating functions that coincide at countably ...
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0answers
13 views

Convolution of negative binomial distribution w/ generalized binomial theorem

This is Exercise 3.1.1 from Achim Klenke: »Probability Theory — A Comprehensive Course«. Exercise: Show that $b^−_{r,p} \ast b^−_{s,p} = b^−_{r+s,p}$ for $r, s \in (0,\infty)$ and $p \in (0,1]$. ...
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39 views

Origin of $\sigma$-algebra

In what paper, article or book was the notion of an $\sigma$-algebra first defined or mentioned? Or at least how far could this concept traced back?
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15 views

Book on Convergence Concepts in Probability without Measure Theory

I am looking for a comprehensive book on Probability which discusses Convergence of Random Variables in detail, excluding portions of Measure Theory. Allan Gut's "Probability: A Graduate Course" seems ...
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2answers
26 views

Convolution of 2 uniform random variables

I really do not know how to do this. Let $X$ have a uniform distribution on $(0,2)$ and let $Y$ be independent of $X$ with a uniform distribution over $(0,3)$. Determine the cumulative distribution ...
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1answer
34 views

If $F(a) - F(a^{-})$ is continous then $F(a)$ is continous [on hold]

Suppose $F$ is a distribution function and, $$H(a) = F(a) - F(a^{-})$$ is continous for all $a \in \mathbb{R} $, where $$F(a^{-}) = \lim_{\epsilon \to 0^+}F(a-\epsilon)$$ How to prove that $F$ is ...
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0answers
10 views

The expected number of mutations in a sequence of elements, each with random delays

In a sequence, the number of the permutations, is the (minimum) number of the pair of elements needed to switch to make them sorted. For example in the following: ...
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13 views

Sigma field generated by the union of a field and a set

I am trying to show that; If $H$ is a set lying outside a field (or $\sigma$-field) $\mathcal{F}$, then the field (or $\sigma$-field) generated by $\{\mathcal{F}\cup\{H\}\}$ consists of sets of the ...
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13 views

Central limit theorem rate of convergences for different distributions

A famous fact in statistics is that for any i.i.d. random variables $X_1,\dots,X_n$ with mean $\mu$ and variance $\sigma^2$ $$\sqrt{n}\left(\frac1n \sum_iX_i - \mu\right)$$ approaches $N(0,\sigma^2)$ ...
3
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0answers
31 views

Calculation of Conditional Expectation $\Bbb E[f(X)\mid Y]$

$\newcommand{\Cov}{\operatorname{Cov}}$and thank you for taking the time to read this. :) My question is about evaluating $\Bbb E[f(X) \mid Y]$ (a random variable in $Y$). There's plenty online (and ...
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27 views

Size of families: Birth death immigration

The context of this problem is as follows. Starting from a population size of zero, immigrants arrive according to a homogeneous Poisson process with rate $\theta$. Once they arrive, immigrants start ...
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0answers
16 views

Comparing infinite dimensional distributions

Given two infinite sequences of rvs $(X_{1},X_{2},...)$ and $(Y_{1},Y_{2},...)$, how can we show $(X_{1},X_{2},...)\stackrel{d}{=}(Y_{1},Y_{2},...)$? The way I heard is by comparing all their finite ...