0
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1answer
36 views

Average norm of a N-dimensional vector given by a normal distribution

I'm interested in knowing what is the expected value of the norm of a vector obtained from a gaussian distribution in function of the number of dimensions $N$ and $\sigma$, i.e: $E[||x||_2]$, $x $~$ ...
0
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1answer
47 views

Probability of occurrence after Latin Hypercube sampling and then random sampling

I am using Latin Hypercube sampling to obtain numbers from a Normally Distributed set of data, so that I get a uniform spread of numbers across the Normal Distribution. I then select a number at ...
0
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1answer
19 views

Probability of numbers within a Latin Hypercube

What is the probability of occurrence of numbers in a Latin Hypercube? If I have a 1 dimensional Latin Hypercube of 1000 numbers would the probability of each number just be 1/1000? Essentially, I am ...
1
vote
1answer
43 views

Probability of random variable in Normal Distribution

I've been talking to my lecturer about choosing random values from a Normal Distribution and he says the following: "Roughly 68% of expected values $ \in (\mu-\sigma,\mu + \sigma)$ does not imply ...
0
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0answers
18 views

How to generate normally distributed random numbers? [duplicate]

Is there any function that can generate normally distributed random numbers?
1
vote
1answer
677 views

'normally distributed random numbers' vs 'uniformly distributed random number'?

what is the difference between 'normally distributed random numbers' and 'uniformly distributed random number'? A answer in a layman language is appreciated :)
0
votes
1answer
77 views

how to generate Normally distributed random number?

I am looking for a function that can generate Normally distributed random numbers. I came to know about bux-muller transform but I didn't understood it completely what it is doing. Thus it would be ...
0
votes
1answer
39 views

Multiple independent random number streams

This question is somehow related to this one. Having multiple streams of pseudo-random numbers known to be independent and with a uniform distribution I want to do Monte Carlo simulations in ...
1
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3answers
2k views

Normalizing a Gaussian Distribution

Assuming a Gaussian distribution with mean of zero and standard deviation of one, I would like to normalize this for an arbitrary mean and standard deviation. I know you're supposed to add the mean ...
5
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1answer
56 views

Why does adding 3 random decimals in the range [-1,1] give a normal dist with std. dev 1?

I've used Math.random()*2-1+Math.random()*2-1+Math.random()*2-1 many times in the past to get normally-distributed random numbers with a standard deviation of 1. ...
-2
votes
2answers
234 views

Is first order moving average a Markov process?

Given first order moving average $$ x(n) = e(n) + ce(n-1) $$ where $e(n)$ is a sequence of Gaussian random variables with zero mean and unit variance which are independent of each other, and $c$ is ...
0
votes
1answer
1k views

Cumulative distribution function determine the random variable

I don't know that determine is the right word, but I try to explain. What I need to understand. :) So.. We know's that if a function fit this conditions: Monotonically non-decreasing for each of its ...
1
vote
1answer
287 views

CDF of standard normal random variable never actually is 0 or 1, right?

The CDF of a standard normal random variable is never actually 0 or 1, they only approach 0 and 1, correct?
0
votes
0answers
43 views

Cauchy Random Variable Question [duplicate]

Possible Duplicate: How calculate the probability density function of $Z = X_1/X_2$ Need help with the following problem: Suppose that X and Y are independent normal random variables with ...
3
votes
1answer
1k views

The variance in the average of a set of normally distributed random variables

I have a set of $M$ normally distributed random variables, $r_i$, each with an associated mean $u_i$, but the same variance $\sigma^2$. What is the variance of the average of these $M$ random ...
2
votes
1answer
90 views

$\chi^2$ test and sampling variance

Let $f(x)$ denote the pdf of a $\chi^2$-distribution with $n\in\mathbb{N}$ degrees of freedom given by $$f(x) = \frac{2^{-n/2}}{\Gamma(n/2)}\cdot x^{n/2-1}\cdot\mathrm ...
3
votes
1answer
7k views

Why doesn't NORMSINV(RAND()) in Excel work as a standard normal random number generator?

I am looking for an easy way to generate random numbers from a standard normal distribution in Excel. I realize the best way is probably the Box–Muller method, ...
1
vote
1answer
328 views

Normal Random Variable - uniform distribution

So here's the question I'm trying to solve: A stock price movement model supposes that if the current stock price is s, then, after one period, the stock price will be $us$ with probability ...
1
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3answers
947 views

Generate a set of random numbers with an average evenly distributed between two given values

1) I generate 1000 random numbers between 0 and 10 and take the average. If I do the above action "many" times the resulting average values will be a normal distribution over 0 to 10. Correct? What ...
4
votes
1answer
385 views

Generate a set of random numbers with a normal distribution

I am trying to generate a set of N random numbers where the set has a normal distribution. I'm currently using a brute force approach: Randomly select N numbers from a normal distribution. Check ...
4
votes
2answers
737 views

Connection to Normal distribution

I've been working on finding the probability for the event, that the sum of $n$ independent random variables are less than $s$, when they are evenly distributed on $[0,1)$. I've used the law of total ...