Questions about maps from a probability space to a measure space which are measurable.

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0
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0answers
7 views

Zero variance Random variables with density

I found here the question: Can a random variable have a density function whose variance is $0$ ? I understood as a random variable which has a density. What is your opinion on what I ...
2
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1answer
25 views

Convergence a.e. of the series $\sum_{i=1}^{n^2} \frac{X_i}{n^2}$

Let $(X_n)_{n\geq 1}$ be independent random variables with expected value $m$ and $\sup_n Var(X_n)\leq K < \infty$, and they are uncorrelated. Then $1)$ $$\sum_{i=1}^n \frac{X_i}{n} $$ ...
-1
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1answer
17 views

$E_n =\lbrace X_n > X_m \ \forall m < n \rbrace $ are independent

I'm stuck with this exercise. Suppose $(X_n)$ are independent random variables defined on $(\Omega, \mathfrak{F}, P)$ with the same p.d.f. Let $E_1 = \Omega$ and for $n \geq 2$ $$E_n =\lbrace X_n ...
0
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1answer
16 views

Expected valued of Random sums about dice and jar problem

A six-sided die is rolled , and the number N on the uppermost face is recorded. From a Jar containing 10 tag numbered 1,2,,,,10 , we then select N tags at random without replacement. Let X be the ...
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0answers
4 views

Random Variable 1

This is my answer: E[X]=1(0.4)+2(0.2)+3(0.1)+4(0.3) =0.4+0.4+0.3+1.2 =2.3 E[W(X)]=E[200-10X] =E[200]-E[10X] =200-10(2.3) =200-23 =177 and i don no how to find ...
0
votes
1answer
29 views

Expectation of matrix product

Suppose we have a random matrix $M \in \mathbb{R}^{n\times m}$ such that $\text{E}[M] = 0$ and $\text{E}[M M^\top] = \Sigma$. How does one compute $\text{E}[M^\top M]$?
1
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1answer
29 views

Showing That Two Normal-Based Random Variables Have the Same Distribution

Above is my question. $\overline X$ has distribution $N(0,1/n)$ - that's fine to work out. Similarly, $X_n / \sqrt{n}$ has distribution $N(0,1/n)$. These follow from the general relation $$ ...
0
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0answers
23 views

$E(X_T; T < \infty) \leq E(X_0)$ with $T$ stopping time

I'm doing this exercise: $(X_n)$ is a non-negative supermartingale and $T$ a stopping time, then $$E(X_T; T < \infty) \leq E(X_0)$$ My attempt: $(X_n)$ is a negative supermartingale, and so ...
1
vote
1answer
42 views

Probability of Random Event and Conditionality

A company has been running a television advertisement for one of its new products. A survey was conducted. Based on its results, it was concluded that an individual buys the product with probability ...
-1
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1answer
17 views

sum of two dependent random variables

Let $X$ be a cotinuous random variable uniformly distributed over $[-10,10]$. Let $Y$ be a random variable with pdf $f_Y(y) = \frac{1}{40}\ln \frac{20}{|y|}, -20 \leq y \leq 20$. $X$ and $Y$ ARE NOT ...
2
votes
1answer
49 views

Do not exist IID random variables $X, Y$ such that $X-Y \sim U[-1,1]$

This is an exercise from Williams, Proability with martingales. Prove that if $Z$ has the $U[-1,1]$ distribution, then $$\phi_Z(t) = \frac{\sin t}{t}$$ Then prove that do not exist IID random ...
1
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0answers
8 views

transformation and functions of random variables

Let $X,Y$ be independent random variables. I already have the distribution of $XY$ over a certain subinterval of $\mathbb{R}$, by convolution. My question is, is it possible to get the distribution of ...
2
votes
1answer
44 views

$\frac{S_n}{n} \to -1 \ \ a.e.$, exercise from probability book

I'm stuck with this exercise from Williams, probability with martingales. Let $X_1, X_2, \ldots $be independent random variables with $$P(X_n = n^2-1 )= \frac{1}{n^2}$$ $$P(X_n = -1 )= ...
1
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1answer
46 views

Exercise from Williams book Probability with martingales

I'm doing this exercise from Williams book Probability with martingales Let $(X_n)$ be a sequence of IID random variables with $E(|X_n|) = \infty $ for all $n$. Then prove that $$1)\ \sum_n ...
0
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0answers
35 views

Probability distributions with closed-form cumulative distribution functions (CDFs)

I am interested in finding multivariate probability distributions for which the cumulative distribution functions (CDFs) are given in close form. For instance, the multivariate Gaussian distribution ...
1
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1answer
29 views

Summation of binomial number of poisson random variables

Z is summation of K random variables that each has Poisson distribution with different means. But, K is a Binomial random with parameters of n and p. I was wondering what is the distribution of Z?
0
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1answer
25 views

Distribution of random variables when combined

I need help with this problem: If $X$ and $Y$ are two independent random variables and are both standard normal, what is the distribution of $\frac{1}{2}(X^2+Y^2)$? I think I start with ...
0
votes
1answer
27 views

Probability that sum of two uniformly distributed random variables is less than some constant

I am trying to find a way of determining the probability that the sum of two continuously uniformly distributed random variables is less than some constant $C$, formally: Let $A \sim ...
0
votes
2answers
40 views

Calculation of a characteristic function

Suppose $X_1, X_2, \ldots X_n \ldots$ are independent random variables with $$P(X_n = 1) = \frac{1}{2}$$$$P(X_n = -1) = \frac{1}{2}$$ Then $$\sqrt{\frac{3}{n^3}}\sum_{k=1}^n kX_k$$ converges to ...
1
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0answers
22 views

sum/product combination of random variables

Let $X$ and $Y$ be independent random variables. If I am asked about the distribution of random variable $XY+Y$, is it ok if I compute $XY$ first and then add the result to $Y$ (via convolution, or ...
0
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0answers
17 views

What is the nonlinear estimator for Gaussian Random variable?

I know that the best estimator is $g(x)=E\{Y|X=x\}$ and the conditional density for jointly Gaussian random variables is known to be Gaussian with mean and variance given by ...
0
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0answers
14 views

A stochastic process is generated as follows: we assign the value 1 to a head and the value 0 to a tail. Start at n=0, Compute Rxx(0,0) and Rxx(2,3)

I am kind of confused here, since autocorrelation describes the correlation between values of the process at different times, but for the first case, it is at the same time. I got that ...
3
votes
1answer
43 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 ...
1
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0answers
17 views

Probability question involving drawing balls from an urn

Suppose there's an urn containing $r$ red balls and $b$ blue balls. At each trial, I'm drawing a ball at random from the urn, without replacement. Let $R$ denote the event of drawing a red ball, and ...
0
votes
1answer
28 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 ...
1
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0answers
25 views

Mean Preserving PDF Spreading

I have a histogram representing the PDF of an unknown discrete RV. The histogram is asymmetrical. To be clear, all I have is the histogram. Is there a known way to increase/decrease the variance of ...
0
votes
3answers
35 views

Product of random independent variables

What are the properties of the product of random variables? The book I have on probability and statistics only comments on their sum properties. I know that when you sum random independent variables ...
2
votes
2answers
27 views

Expectation value of absolute value of difference of two random variables

I do not really know how to prove the following statement: If E(|X-Y|)=0 then P(X=Y)=1. The main problem is how to handle the absolute value |X-Y|. If I say that |X-Y| >= 0 it follows that ...
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votes
2answers
53 views

How to compute the sum of geometric distribution [closed]

How to compute the sum of random variables of geometric distribution $X_{i}(i=0,1,2..n)$ is the independent random variables of geometric distribution, that is, $P(X_{i}=x)=p(1-p)^{x}$, then how to ...
-1
votes
1answer
17 views

is it possible to implement random(0,1,..,m) with finite calls to random(0,1)? [closed]

that is, is there a function $f$ that $Y=f(m,X_1,X_2,...,X_{n(m)})$ where $X_i\sim B(1,\frac{1}{2})$ and $Y\sim U\{0,m\}$? e.g. when $m=2^k-1$,$n(m)=k$ and ...
1
vote
1answer
37 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, ...
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0answers
24 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: ...
1
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0answers
26 views

Cicurlar random-walk.

Suppose you have a computer network with 5 code as following. Packet can arrive at any node and any other node can be its destination equal uniform probability. Determine the average number of ...
0
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0answers
17 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 ...
2
votes
2answers
29 views

Variance of Random Variable and Normal Variable

Let X be a random variable following normal distribution with mean +1 and variance 4. Let Y be another normal variable with mean -1 and variance unknown. If $$P(X\leq-1)=P(Y\geq2)$$ then standard ...
3
votes
0answers
41 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 ...
0
votes
1answer
21 views

Geometric distribution $G(p)$ for independent random variables $X$ and $Y$

Question: If the random variables $X$ and $Y$ are independent and each have the geometric distribution $G(p)$ - that is, $P(X=k)=P(Y=k)=pq^k$ for $k=0,1,2,\ldots$ (where $q=(1-p)$) show that: (I) ...
2
votes
2answers
44 views

How can we show that “almost surely” equal random variables have the same distribution?

How can we show that "almost surely" equal random variables have the same distribution? We know $X =\text{(a.s)} Y$. What I have so far: $$\begin{align*}\implies& P(X = Y) = 1 \\ ...
0
votes
0answers
14 views

Psudorandom number from diffrent generators.

Suppose I've N random number generators (uniform distribution) and I take 1 value from each one. Will this set of N variables be considered equivalent to N random numbers produced by a single ...
0
votes
0answers
23 views

Random-walk in a pentacle (5 nodes)

There are a total of 5 nodes at the edge of a pentagram At each node, you have a 4 choices which will lead you to either a destination node or non-destination node. Assume the decision of path is ...
0
votes
1answer
36 views

Setting bound for an infinite expected value

Say $X=2^Z$ and $Z$ is a geometric random variable with $p=1/2$. It follows that, $E[X] = \infty$ So setting the upper bound by the markov inequality, $$P(X \geq t) \leq \frac{E[X]}{t} = ...
1
vote
1answer
11 views

How to show that increasing r.v. imply stochastic dominance?

How can one prove the following statement: If $X$ and $Y$ are random variables such that $X(\omega) \geqslant Y(\omega)$ for all $\omega$ then $\mathbb P(X>x) \geqslant \mathbb P(Y>x)$ ? I saw ...
1
vote
1answer
28 views

Kolmogorov 0-1 law

Initial question: $X_n$, $n \in\mathbb N$, are independent real-valued random variables. Let $S_n$ be defined, for each $n\in\mathbb N$, by the sum: $S_n = X_1+X_2+...+X_n$. Prove that either the ...
3
votes
2answers
43 views

Random points in spherical shell

I have a sphere of radius $R_1$, and a smaller, concentric sphere of radius $R_2$. Let them be centered at the origin $(0,0,0)$. I need to generate random points with uniform density in the volume ...
2
votes
1answer
49 views

Statistically Independent Random Variables

Problem: For the statistically independent ramdon variables X and Y with fX(x)=1, 1≤x≤2, and fY(y)=e-(y-1), 1≤y<∞, determine fZ(z) where Z=X+Y I couldn't find a ...
3
votes
2answers
37 views

Mathematical justification for incorporating a conditional event in expectation?

Let $X_1,X_2,\dots$ be independent and identically distributed random variables. Furthermore, consider the sum $$ Y = X_1 + X_2 + \dots + X_N $$ where the number of terms $N$ is itself a random ...
2
votes
1answer
22 views

Showing convergence by using Levy's continuity theorem

Let $X_n \sim \mathrm{Po} (n)$. I want to show that $Y_n = \displaystyle \frac{X_n -n}{ \sqrt{n}}$ for $n \rightarrow \infty$ converges in distribution to a random variable that is standard normal ...
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0answers
19 views

Sums of random variables

Good evening community, I need some help. Prove the followed theorems: (a) $X$ and $Y$ have the density functions $p_X$ and $p_Y$ in terms of the Lebesgue-Borel-measure and both are Independent, so ...
0
votes
2answers
20 views

Deriving probability densitys

How does one derive probability densitys involving fractions? For example, let $X^2$ and $Y^2$ be exponentially distributed random variables with parameter $\lambda = 1$. Determine the PDF for $Z = ...
2
votes
0answers
36 views

Finding the maximum expected value

Say we have $a_1, a_2, ..., a_m \in \{0, 1\}^n$ where the sum over the elements of each vector $a_i$ is $k$. Let $b \in \{0, 1\}^n$ be a random vector based on the uniform distribution. Also, let ...