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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$ | \sup_{x \in [0,1]} | x - \frac{1}{k} \sum_{i=1}^{k} \mathbb{1}_{(-\infty,x]}(X_i)| - \max_{i}| Y_{k-1,i} - \frac{i}{k}|| \leq \frac{2}{k}$

Let $k \in \mathbb{N}$ and $X_1, \ldots, X_k$ be uniformly distributed random variables on $[0,1]$. With $Y_{k-1,i}$ we denote the $i$-th smallest nuber in $\{X_1, \ldots, X_{k-1}\}$. How can I prove ...
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1answer
67 views

Profile likelihood: Box-Cox transformation

I'm trying to prove a result that shows that the maximum likelihood estimator reduces the number of parameters in a Box-Cox model. In essence, we're trying to prove that $\bar{z}$ is the nuisance ...
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6 views

Consistent and invariant estimators

I have problems with the following two estimators. I don't know how to prove that one of them is consistent (I've already proven that it is invariant) and that the second one is invariant and checking ...
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1answer
322 views

$X$ and $Y$ i.i.d., $X+Y$ and $X-Y$ independent, $\mathbb{E}(X)=0 $and $\mathbb{E}(X^2)=1$. Show $X \sim N(0,1)$

$X$ and $Y$ are independent and identically distribued (i.i.d.), $X+Y$ and $X-Y$ are independent, $\mathbb{E}(X)=0$ and $\mathbb{E}(X^2)=1$. Show that $X\sim N(0,1)$. We should use characteristic ...
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1answer
22 views

Calculate $\mathbb{E}(T^2)$ and $\mathbb{E}(\int_0^T X_s \,d s)$ for exit time $T$ of Brownian motion $(X_t)_{t \geq 0}$

Let $T$ be the exit time of from the interval $[-b,a]$ of a standard Brownian Motion $X_t$, then how would we go about calculating the following two expectations: $E[T^2]$ (and) $E[\int_0^T X_tds]$? ...
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On a limit in probability theory and its convergence rate:

Let $X$ be a random variable with distribution $F$, $\texttt{supp}\lbrace F \rbrace=[-a,a]$, $a>0$, $EX^n=\int_{-a}^{a}X^n dF(X)$, $n\in \mathbb{N}$. How to prove that ...
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12 views

expectation calculation problem small problem

a Continuous, positive random variable X, whose PDF is proportional to $(1+x)^{-4}$, where $0<x<\infty$, determine $E(X)$ i tried to solve it directly by integrating from 0 to infinity to get ...
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2answers
21 views

expectation calculation problem

I got the answers for this and i know its 1.05 but the way it explains is very difficult to understand so im seeking for some help here. A system made up of 7 components with independent, identically ...
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1answer
16 views

Tail field of random variables in $\mathbb{Z}$

Let $X_1, X_2, \ldots$ i. i. d. with values in $\mathbb{Z}$, define $S_0 := 0$, $S_n := X_1 + \cdots + X_n$ and $R_n := \{S_n = 0\}$ for $n \in \mathbb{N}$. Show that ...
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1answer
53 views

incorrect rejection of a true null hypothesis?

We have a contest 1 weeks ago. One question is a bit strange for us as follows: $X\sim B(4,p). $ for test $H_0:p=0.2$ versus $H_1:p>0.2$. if $X=4$, $H_0$ assumption is rejected. calculate ...
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1answer
20 views

Distribution of a transformed Brownian motion

Let $W$ be a standard Brownian motion. From an earlier proven result I know that $N_t = \exp\left\{a W_t - \frac12 a^2 t \right\}$ defines a martingale on the natural filtration of $W$ for all $a \in ...
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1answer
29 views

4 cards are shuffled and placed face down. Hidden faces display 4 elements: earth, wind, fire, water. You turn over cards until win or lose.

Question: 4 cards are shuffled and placed face down in front of you. Their hidden faces display 4 elements: water, earth, wind, fire. You turn over cards until win or lose. You win if you turn over ...
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22 views

Is there a name for this stochastic process?

Let $(\Omega,\mathscr{F},P)$ be a probability space and $\{X_n\}_{n\geq 1}$ be a stochastic process. Assume each $X_n$ only takes two values $0$ or $1$, i.e., $X_n:\Omega\rightarrow \{0,1\}$. Of ...
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8 views

Integral of Constant Parameter Martingale

What is the $\int_{1}^{t}W_1W_sdW_s$. This is the question solved by Kuo in his paper an extension of the Ito's Integral (2008) but there limit runs from $0$ instead of $1$.
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39 views

Can anyone help with this probability question?

n balls are arranged in n boxes (the balls are distinguishable and each box can accommodate any number of balls). What is the probability that exactly one box stays empty? The answer is $$n!(n-1)\over ...
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9 views

Exercise on stationary measures.

This is a question from Durrett, exercise 6.5.4. Recall that $$ \mu_x(y) = E_x\left( \sum_{n=0}^{T_x-1} 1(X_n = y)\right) = \sum_{n=0}^\infty P_x(X_n = y, T_x > n)$$ is a stationary measure and ...
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0answers
10 views

Asking for helps about deriving arcsine distribution

I solved the above exercise. And the exercise below is based on the exercise above. Here, I managed to show the first equality of (i). But I can't find a way how to prove the second equality of ...
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0answers
23 views

Measurability of the event that Brownian motion hits a given set

Let $W$ be a Brownian motion in $\mathbb{R}^{2}$ on a probability space $\left(\Omega,\mathcal{F},\mathbb{P}\right)$ . Let us assume $\mathcal{F}$ is the sigma-algebra on the path space ...
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1answer
47 views

How to find $E[X^2\mid X+Y]$?

Suppose $X$ and $Y$ are independent Poisson random variables with rates $\lambda_1, \lambda_2$ respectively, then how would we go about calculating: $ E[X^2\mid X+Y] \text{ ?} $$
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1answer
23 views

Continuity of the joint distribution function given continuity of marginals

Suppose $X$ and $Y$ are continuous random variables such that $F_X$ and $F_Y$ are the respective distribution functions. Suppose $F_X$ is continuous at $x_0$ and $F_Y$ is continuous at $y_0$. Then ...
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1answer
25 views

Finding Variance

I am a little confused on how to go about finding different parts of the Variance of a random variable. Here is the question. A total of $n$ balls, numbered $1,.. n$, are put into $n$ urns, also ...
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27 views

understanding darts probability

Note: this problem for who understands the game of darts Hello iam trying to compute the probability of a dart to hit a ring if you know that the opportunity to miss the ring is 10% what will the ...
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97 views

Show two random variables have same distribution

Let X, Y be two non-negative random variables satisfying the condition $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$. How can one show that X and Y are equal in ...
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1answer
24 views

Divergent series of independent RV

I'm trying to prove that if $\{X_n\}_{n=1}^{\infty}$ is a sequence of independent random variables with the same distribution and $P(X_1 \neq 0)>0$, then the series $\sum_{n=1}^{\infty} X_n$ is ...
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1answer
42 views

Prove $\mathbb{P} \left( \sup_{t \geq 0} M_t > x \mid \mathcal{F}_0 \right) = 1 \wedge \frac{M_0}{x}$ for a martingale $(M_t)_{t \geq 0}$

Let $M$ be a positive, continuous martingale that converges a.s. to zero as $t$ tends to infinity. I now want to prove that for every $x>0$ $$ P\left( \sup_{t \geq 0 } M_t > x \mid \mathcal{F}_0 ...
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0answers
9 views

Book recommendation needed: asymptotic behavior of non-stationary Markov chain

Is there any stochastic process textbook which covers some standard results for non-stationary Markov chain? For my purpose, countable state space is enough. Thanks!
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1answer
10 views

Bounds-negative binomial distribution

Suppose $Y=\sum_{i=1}^{n} X_{i}$ where each $X_{i}$ is an independently and identically distributed geometric random variable with success parameter $p$, so that $Y$ has a negative binomial ...
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1answer
16 views

Characteristic Function and Density Function

Consider a random variable $X$ with density function $f(x)$, moment generating function $M(t):= \int e^{tx}f(x) dx$ (existing in an interval containing $0$), cumulant generating function $K(t):=\log ...
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2answers
128 views

Probability of guessing the colors of a deck of cards correctly

10 years ago when I was about 15 I sat down with a deck of shuffled cards and tried to guess if the next card in the deck would be red or black. In sequence I guessed 36 cards correctly as red or ...
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1answer
20 views

How transformation of co-ordinates system relates to its vectors?

Consider a positive definite matrix. Can we consider that it has a underlying co-ordiante system? If we transform that co-ordinate system how the the vectors are transformed? Is this question even ...
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1answer
21 views

Deciphering proof of SLLN

I was looking at a proof of the string law of large numbers, and am having trouble finding where the proof uses the assumption that the random variables are identically distributed. I'll reproduce the ...
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1answer
18 views

Meaning of co-ordinate system of Covariance matrix

Can we think that any matrix representation has an underlying co-ordinate system? Now consider a positive definite sample covariance matrix. If so what is the meaning of the co-ordinate system of the ...
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1answer
43 views

How long would it take to a lottery number repeat?

In Professor Stewart’s Cabinet of Mathematical Curiosities the following is asked: You have $1000$ songs on your MP3 player. If it plays songs ‘at random’, how long would you expect to wait ...
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1answer
36 views

In a train of n wagons, at random m passengers enter choosing a wagon..

Find the probability that: $(a)$ In every wagon there is at most one passenger, if $m\leq n;$ $(b)$ In the $n$th wagon, there is exactly one passenger, if $m\leq n;$ $(c)$ In every wagon there is ...
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1answer
30 views

New characteristic function from old

The question I want to do says: Let $f(u,t) : \mathbb{R}^2 \rightarrow \mathbb{R}$ be a function, such that for each $u$, $f(u, \cdot)$ is a characteristic function, and such that for each $t$, ...
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29 views

Probability_distribution [on hold]

Three points are chosen at random on the circumference of a circle. Find the probability that they all lie on the same semicircle, using random numbers generated from a uniform distribution.
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1answer
25 views

Method of moments estimation for $\theta$

I read one example in my notes, but I couldn't find out how the answer in my notes is derived. If $x_1,...,x_n$ are realizations of a random variable distributed with the following PDF: $f(z; ...
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1answer
391 views

Simulation of a Gaussian process on $R^2$ with a stationary kernel using the Karhunen-Loève expansion

Assume $X(\omega, t) \sim \mathcal{N}(0, K(\cdot, \cdot))$ is a real-valued, centered Gaussian process on $R^2$, i.e., $X: \Omega \times R^2 \to R$. Let the covariance function of the process be ...
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93 views

Covariance inequality for infinitely many exchangeable random variables

Let $X_1, X_2, X_3,\ldots$ be exchangeable, square-integrable random variables. Show that $\mathbf{Cov}[X_1, X_2] \geq 0$. Solution: Assume that \begin{equation*} \mathbf{Cov}[X_1, X_2] ...
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33 views

Does the power spectral density vanish when the frequency is zero for a zero-mean process?

A wide-sense stationary random time series $\zeta(t)$ is characterized by its mean value and its autocovariance function, which in the Wiener–Khinchin theorem is equivalent to the Fourier transform of ...
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21 views

An inequality for symmetric random walk

I need to show that if $(X_j)$ are symmetric i.i.d. random variables with partial sums $S_n:= \sum_{j=1}^n X_j$, then for all $x \geq 0$ $$P(|S_n| > x) \geq \frac{1}{2} P(\max_{1 \leq j \leq n} ...
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1answer
31 views

Representing the probability as a recurrence equation

Introduction Suppose that you initially have an $n$-sided die with equal probability and you throw it then you will get a certain number $1< k \leq n$ then you throw a $k$-sided die. Continue ...
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1answer
30 views

If two stochastic processes are modifications of each other and almost surely continuous from the right, then they are undistinguishable

Let $(\Omega,\mathcal{A},\operatorname{P})$ be a probability space $I\subseteq\mathbb{R}$ $E$ be a metric space and $\mathcal{E}:=\mathcal{B}(E)$ be the Borel-$\sigma$-algebra on $E$ $X:=(X_t)_{t\in ...
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1answer
15 views

Local martingale being true martingale

I am doing a question Let $X$ be a continuous local martingale and suppose $\mathbb{E}\left[\sup\limits_{0\leq s\leq t} |X_s|\right]<\infty$ for each $t\geq 0$. Then $X$ is a true martingale. In ...
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0answers
17 views

conditional expectation of exponential random variable conditoned on sum of exponential random variable

Let X,Y be i.i.d. exponentially distributed with parameter $\lambda$. Show that for $Z:=X+Y$ and a measurable, non-negative function $h$ we have: ...
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1answer
31 views

Reference request for stochastic process

I studied the book, "Probability with the book, Probability, Random Variables and Random Signal Principles" by Peyton Peebles. And I am a little bit familiar with statistical analysis like signal ...
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1answer
50 views

How to solve this integral in moment generating function

The moment generating function of generalised Pareto distribution eventually comes down to the following integral (here). $$ M_X(\theta) = \mathbb Ee^{X\theta} = \int_\mu^\infty e^{\theta ...
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1answer
30 views

Transitivity of a stochastic order

Let $X$, $Y$, $Z$ be three independent random variables such that $P(X \geq Y) \geq 1/2$, $P(Y \geq Z) \geq 1/2$. Is it true that $P(X \geq Z) \geq 1/2$? It seems true but I'm having a hard time with ...
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1answer
84 views

Almost sure convergence of the series of independent random variables

Let $\{X_n:n\ge1\}$ be i.i.d. random variables with $\operatorname EX_1=0$ and $\operatorname E|X_1|^p<\infty$, where $1<p<2$. Let $\{b_n:n\ge1\}$ be a real sequence. Does the series $$ ...
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16 views

Distribution of a r.v. with the same mean and variance is abs. cont. with resp. to the normal distr.

I have a question concerning the Kullback-Leibler divergence or relative entropy. In a book I found the following definition of the KL-divergence: Let $(\Omega, \mathcal F)$ be a measurable space. ...