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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9
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2answers
143 views

At time n, randomly choose a natural number ≤n. How long is it until a single number is chosen three times?

To clarify, the number ≤n is chosen uniformly at random at each step, and n chooses from the natural numbers beginning with 1. I wish to determine the expected value of $n$ at which a natural number ...
0
votes
1answer
22 views

product of two multivariate normal densities for the same vector, if one is only specified for a subset

A random vector x with n elements has a multivariate-normal density f(x). Another distribution is known for m linear combinations of elements of x. The linear combinations are given in the form ...
1
vote
1answer
25 views

Almost sure convergence, arithmetic mean, variance

I am stuck proving that this sequence $$\sigma^2_n:= \frac{1}{n-1} \sum_{i=1}^n (X_i - \frac{X_1+...+X_n}{n})^2$$ is converegent almost surely to $D^2X_i = \sigma^2$. We assume that $X_1, X_2, X_3, ...
1
vote
1answer
45 views

Help with two probability questions. Classic definition of probability.

The first can be done using condition probability, but was wondering how to do it just with the classic definition of probability? Both questions are in the same part of the book, and therefore i ...
0
votes
3answers
36 views

Problem on Baye's formula

I was reading A First Course in Probability by Sheldon Ross. I think I quite understood the below problem but I still feel fuzzy. Problem: In answering on a multiple choice test, a student either ...
0
votes
0answers
22 views

why does $X,Y \in L^2 $ and $E[X^2]=0 \implies X=0$ everywhere and not almost surely

If $L^2$ denote all (equivalent classes of almost sure equality) random variables $X$ such that $E[X^2] < \infty $. Note here we are identifying all random varibles $X,Y$ in $L^2$ that are equal ...
2
votes
1answer
68 views

Jee Main 2015 Question. Probabilty

If $12$ identical balls are to be placed in $3$ identical boxes, then the probability that one of the boxes contains exactly $3$ balls is: (1) $22 \times(\frac{1}{3})^{11}$ (2) $\frac{55}{3} \times ...
0
votes
0answers
21 views

Random Variables and Statistic

I'm studying Statistical Inference by Casella and I'm confused with the definitions of random variable & statistic. So let we have the probability space $(\Omega, F, P)$ where $\Omega$ is the ...
0
votes
0answers
21 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 ...
1
vote
2answers
23 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 ...
1
vote
1answer
47 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 ...
0
votes
0answers
28 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 ...
0
votes
0answers
14 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 $1$.
-1
votes
0answers
21 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 ...
1
vote
0answers
12 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 ...
0
votes
1answer
42 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 ...
0
votes
1answer
41 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 ...
-1
votes
0answers
29 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 ...
2
votes
1answer
36 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 ...
0
votes
0answers
15 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!
1
vote
1answer
48 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{ ?} $$
0
votes
1answer
18 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 ...
0
votes
1answer
28 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) $E[\int_0^T X_tds]$? ...
2
votes
0answers
31 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 ...
1
vote
1answer
27 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 ...
0
votes
1answer
23 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 ...
1
vote
1answer
23 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 ...
1
vote
1answer
49 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 ...
0
votes
1answer
84 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 ...
1
vote
1answer
35 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 $t$, ...
0
votes
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 ...
0
votes
1answer
68 views

incorrect rejection of a true null hypothesis? [closed]

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 ...
0
votes
1answer
27 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; ...
0
votes
1answer
25 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 ...
2
votes
0answers
33 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} ...
0
votes
1answer
21 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 ...
0
votes
1answer
37 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 ...
1
vote
0answers
22 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: ...
1
vote
1answer
23 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 ...
1
vote
0answers
18 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. ...
3
votes
1answer
45 views

Reference request for stochastic process

I studied the book, "Probability, Random Variables and Random Signal Principles" by Peyton Peebles. And I am a little bit familiar with statistical analysis like signal estimation and detection. In ...
17
votes
1answer
236 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 ...
3
votes
3answers
39 views

You are making cookies and add N chips to dough randomly, and split it into 100 equal cookies, again at random. How many chips should go into dough?

Question: You are making chocolate chip cookies. You add N chips randomly to the dough and you randomly split the dough into 100 equal cookies. How many chips should go into the dough to give a ...
3
votes
1answer
37 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 ...
0
votes
2answers
27 views

Finding the probability of a complex event…

My apologies - I'm not a math professional, but the guys in my office (a bunch of web programmers) just came across across a logic problem that we've been discussing. We have a solution, but now ...
1
vote
1answer
31 views

Probability of exactly $K$ events out of possible $N$

So I've stumbled upon this question in Grimmett and Stirzaker's text. I have their solutions manual, which starts off like this: The line above, where the statement is expanded into sums, is where ...
-2
votes
2answers
38 views

Exponential distribution of random variable [closed]

Random variable $X$ has probability density function $g(x)=\frac{3}{7}x^2\mathbf{1}_{[1,2]}$. Is there a function $F: \mathbb{R}\to\mathbb{R}$ for which $F(X)$ has an exponential distribution with ...
1
vote
1answer
32 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 ...
-1
votes
2answers
60 views

Expected values of a dice game with a 30-sided die and a 20-sided die.

Two people, $A$ and $B$, have a $30$-sided and $20$-sided die, respectively. Each rolls their die, and the person with the highest roll wins. ($B$ also wins in the event of a tie.) The loser pays ...
0
votes
1answer
51 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 ...