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

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15
votes
3answers
7k views

Expectation of the min of two independent random variables?

How do you compute the minimum of two independent random variables in the general case ? In the particular case there would be two uniforms variables with difference support, how should one proceed ? ...
14
votes
3answers
372 views

How to generate points uniformly distributed on the surface of an ellipsoid?

I am trying to find a way to generate random points uniformly distributed on the surface of an ellipsoid. If it was a sphere there is a neat way of doing it: Generate three $N(0,1)$ variables ...
13
votes
2answers
802 views

Conditional expectation on more than one sigma-algebra

I'm facing the following issue. Let $X$ be an integrable random variable on the probability space $(\Omega,\mathcal{F},\mathbb{P})$ and $\mathcal{G},\mathcal{H} \subseteq \mathcal{F}$ be two ...
10
votes
1answer
180 views

Why is the function $\Omega\rightarrow\mathbb{R}$ called a random variable?

I do not understand the relation of a normal variable "x", which is to me just a placeholder for an element of a set, and a random variable, which is a mapping from the set of all possible events to ...
9
votes
1answer
3k views

sum of squares of dependent gaussian random variables

Ok, so the Chi-Squared distribution with n degrees of freedom is the sum of the squares of n independent gaussian random variables. The trouble is, my gaussian random variables are not independent. ...
9
votes
2answers
15k views

Convex Combinations of Low Probability Bernoulli Variables

Let $X_1,\dots,X_n$ be independent Bernoulli variables with probability $p<\frac{1}{2}$ (even $p\le\frac{1}{3}$ if needed). Let $\alpha_1,\ldots,\alpha_n$ be non-negative real numbers such that ...
9
votes
0answers
150 views

Variational formulations in group theory?

I apologise if this is a naïve question. Are there any known / widely applicable / important variational formulations in (finite) group theory? That is, a relationship of the form $$\alpha(G) = ...
8
votes
1answer
10k views

Computing the Expectation of the Square of a Random Variable: $ \text{E}[X^{2}] $.

What is the rule for computing $ \text{E}[X^{2}] $, where $ \text{E} $ is the expectation operator and $ X $ is a random variable? Let $ S $ be a sample space, and let $ p(x) $ denote the probability ...
8
votes
2answers
279 views

Conditional expectation equals random variable almost sure

Let $X$ be in $\mathfrak{L}^1(\Omega,\mathfrak{F},P)$ and $\mathfrak{G}\subset \mathfrak{F}$. Prove that if $X$ and $E(X|\mathfrak{G})$ have same distribution, then they are equal almost surely. I ...
8
votes
1answer
331 views

Weak convergence of random variables

Suppose we have an arbitrary probability space $(\Omega,\mathcal{F},\mathbb{P})$ and a sequence of random variables $X_n:\Omega\to\mathbb{R}$ such that the pushforward measures $(X_n)_*(\mathbb{P})$ ...
7
votes
2answers
3k views

Infinite expected value of a random variable

How can a positive random variable $X$ which never takes on the value $+\infty$, have expected value $\mathbb{E}[X] = +\infty$?
7
votes
6answers
2k views

“Random” generation of rotation matrices

For a current project, I need to generate several $3\times 3$ rotation matrices for input into an algorithm. I thought I might go about this by randomly generating the number of elements needed to ...
7
votes
3answers
270 views

Probability that a vertex in the spanning tree of an $N$ x $N$ grid graph is a leaf

Suppose we have an $N$ x $N$ grid graph $G(V,E)$ and we construct a spanning tree of this graph in the following way. Start with a set $S$ which contains only the vertex at the top left corner of the ...
7
votes
1answer
325 views

Laplace transform of a random variable

My professor says that the Laplace transform of a nonnegative RV uniquely determines the RV up to distributional equality among all nonnegative RVs. He says one can argue this by appealing to a fact ...
7
votes
2answers
1k views

Random sum of random variables

Say you sum i.i.d. variables $X_i$ a total of $Y$ times. If you know the distribution of random variables $Y$ and $X_i$, what is the calculation you have to do to get the distribution of the sum?
7
votes
0answers
147 views

Why “One cannot construct more than countably many independent random variables”?

I'm reading the book "Large Networks and Graph Limits" by László Lovász. On the page 18 he said the following: One cannot construct more than countably many independent random variables (in a ...
7
votes
0answers
119 views

Uncountable family of random variables

Let $\{ \xi _a \}_{a \in [0;1]}$ be a family of independent uniformly distributed on $[0;1]$ random variables on some probability space $(\Omega, \mathscr{F},P)$, indexed by a continuous parameter. ...
7
votes
0answers
318 views

What is the distribution of $\sqrt{X^2+Y^2}$ when $X$ and $Y$ are Gaussian but correlated?

If $Z = \sqrt{X^2+Y^2}$, and $X$ and $Y$ are zero-mean i.i.d. normally-distributed random variables, then $Z$ is Rayleigh distributed. What is the distribution of $Z$ if $X$ and $Y$ are correlated ...
6
votes
2answers
808 views

Summing (0,1) uniform random variables up to 1 [duplicate]

Possible Duplicate: choose a random number between 0 and 1 and record its value. and keep doing it until the sum of the numbers exceeds 1. how many tries? So I'm reading a book about ...
6
votes
4answers
365 views

What exactly is a random variable?

I don't really understand the definition of a random variable. I also find the wikipedia entry on random variables kind of confusing. Can someone give me a clear explanation of the random variable?
6
votes
2answers
12k views

Probability distribution of a sum of uniform random variables

Given $$X = \sum_i^n x_i$$ ,where $x_i \in (a_i,b_i)$ are independent uniform random variables, how does one find the probability distribution of $X$.
6
votes
3answers
2k views

Difference of two binomial random variables

Could anyone guide me to a document where they derive the distribution of the difference between two binomial random variables. So $X \sim \mathrm{Bin}(n_1, p_1) $ and $Y \sim \mathrm{Bin}(n_2, p_2) ...
6
votes
1answer
39 views

Divergent series of random variables

I've been trying to prove that given a sequence of independent random variables with identical distribution $\{X_n\}_{n \in \mathbb{N}}$ such that $P(X_1 \neq 0)>0$, so also $P(X_i \neq 0) >0 \ ...
6
votes
1answer
730 views

Jensen's Inequality (with probability one)

In the following theorem, I have a problem about the second part. That is showing if $f$ is strictly convex then $X=EX$ with probability $1$. While I can see this must be true, I don't know how to ...
6
votes
1answer
214 views

Gambling Game: Martingales

This is a multipart question; if there's a strong preference for breaking this into separate questions I'll do that. Imagine a game between a gambler and a croupier. Total capital in the game is ...
6
votes
1answer
60 views

Trying to understand the behaviour of i.i.d.

In a course called introduction to probability theorem we are covering now i.i.d. (independent and identically distributed random variables). I already know when two variables are independent: $X, Y$ ...
6
votes
1answer
90 views

Finding tight upper/lower bounds for $\mathbb{E}[\frac{1}{1+X^{2}}]$ where $X$ is a RV with $\mathbb{E}[X]=0$ and $\mbox{Var}(X)=\nu<\infty $

The question is pretty much in the title. My first thought was using Jensen's inquality to get some sort of lower bound. Since $\frac{1}{1+x^{2}}$ is convex on ...
6
votes
1answer
186 views

A consequence of the law of large numbers

Let $(X_k)_{k=1}$ be Poisson random variables with expectation $\mu$, let $Y_n = \sum_{k=1}^{n} X_k$. The weak law of large numbers states that, $$ \forall \delta>0, \forall \epsilon>0 \, \, ...
6
votes
2answers
233 views

$\{X_n\}$ are iid random variables with symmetric distribution

Let $X_1,X_2,\ldots,X_n$ be iid random variables with symmetric distribution. Show that $$P\left(|X_1+X_2+\cdots+X_n|\ge \max_{1\le i\le n}|X_i|\right)\ge \frac12.$$ I was trying it for $n=2$. ...
6
votes
0answers
214 views

Does this random variable have a density?

I have a persistent problem, which I'm almost certain can be answered using elementary probabilistic arguments, but for some reason I've been stuck for some time. Here is the problem. Let $(B_s, s ...
6
votes
1answer
177 views

Sum of average reciprocal of which random variable converges to a Cauchy distribution?

If $(X_n)_{n\in\mathbb{N}}$ are independent identically distributed random variables with density $f$ even, continuous in $0$ and such that $f(0)>0$, then $$\frac{1}{n}\left(\frac{1}{X_1}+\dots + ...
6
votes
2answers
443 views

Existence of iid random variables

In probability theory we often used the existence of a sequence $(X_n)_n$ of independent and identically distributed random variables. This was already discussed here. One of the answers says: As ...
5
votes
4answers
4k views

What does it mean to integrate with respect to the distribution function?

If $f(x)$ is a density function and $F(x)$ is a distribution function of a random variable $X$ then I understand that the expectation of x is often written as: $$E(X) = \int x f(x) dx$$ where the ...
5
votes
3answers
80 views

Why does $\mathbf{Var}(X) = \mathbf{Var}(-X)$ for random variable $X$?

Question from UCLA Math GRE study packet, Problem Set 2, Number 4: http://www.math.ucla.edu/~cmarshak/GREProb.pdf Let $X$ and $Y$ be random variables. Which of the following is always true? ...
5
votes
4answers
2k views

Question on the 'Hat check' problem

The famous 'Hat Check Problem' goes like this, 'n' men enter the restaurant and put their hats at the reception. Each man gets a random hat back when going back after having dinner. The goal is to ...
5
votes
2answers
439 views

Expectation with square root

I don't know how to calculate the expectation when there is some square root in the expression. My problem is this: we have three real random variables $X,Y,Z$, independent and with standard normal ...
5
votes
1answer
123 views

Finding E(x) from E(ln(x)).

Say you have $\operatorname{E}[\ln(x)]=\mu$, is there a way to find $\operatorname{E}[x]$? This seems like a really simple question but I can't figure it out. Any help would be appreciated.
5
votes
2answers
48 views

Finding all Borel measures $\mu_X$ such that $Y\sim \mathcal{N}(0,1) \Rightarrow XY \sim \mathcal{N}(0,1)$.

Find all Borel measures $\mu$ on $\mathbb{R}$ such that for every independent random variables such that $X \sim \mu$ and $Y\sim \mathcal{N}(0,1)$ we have $XY \sim \mathcal{N}(0,1)$. To be honest ...
5
votes
1answer
8k views

Generate Correlated Normal Random Variables

I know that for the $2$-dimensional case: given a correlation $\rho$ you can generate the first and second values, $ X_1 $ and $X_2$, from the standard normal distribution. Then from there make $X_3$ ...
5
votes
3answers
89 views

Bernoulli Random Variables and Variance

The question is: Suppose $Z_1, Z_2, \ldots $ are iid $\operatorname{Bernoulli}\left(\frac{1}{2}\right)$ and let $S_n = Z_1 + \ldots +Z_n$. Let $T$ denote the smallest $n$ such that $S_n = 3$. ...
5
votes
2answers
2k views

What is the PDF of random variable Z=XY?

Given two independent random variables X and Y, how can I find the PDF of random variable $Z=XY$? *If their joint distribution is required, assume that we also have it.
5
votes
2answers
33 views

correlation between $\sum_{i=1}^{98}X_i$ and $\sum_{i=3}^{100}X_i$

Let $X_1,...,X_{100}$ be iid $N(0,1)$ random variables. The correlation between $\sum\limits_{i=1}^{98}X_i$ and $\sum\limits_{i=3}^{100}X_i$ is equal to (A) $0$ (B) $\dfrac{96}{98}$ (C) ...
5
votes
1answer
171 views

Showing that $X\sim E[X\mid\mathcal{G}]$ implies $X=E[X\mid\mathcal{G}]$ almost surely

Suppose $(\Omega,\mathcal F,P)$ is a probability space and that $\mathcal G$ is a sub-sigma-algebra of $\mathcal F$. If $X$ is an integrable, non-negative random variable with the same distribution as ...
5
votes
2answers
385 views

Variance of the sum of Bernoulli Random variables?

$\newcommand{\var}{\operatorname{var}}$ Let $X_{i}$ be a Bernoulli random variable with paramater $p_{i}$ where $p_i$ itself is a random variable that ranges from $0$ to $1$. The expectation of ...
5
votes
1answer
171 views

Survivor function of a variable that has discrete and continuous components

I'm currently reading The Statistical Analysis of Failure Time Data by Kalbfleisch and Prentice and had trouble at arriving at the expression for the survivor function of a random variable $T$ having ...
5
votes
1answer
359 views

Prove that expected value of X is greater than Y, if given that $P(X\ge Y)=1$

I have to prove that $E(X)$ (Expected Value of a random variable X), is greater than $E(Y)$, if given that $P(X\ge Y)=1$. my thoughts so far: I know from the $P(X\ge Y)=1$ statement, that the values ...
5
votes
1answer
211 views

Conditions on Poisson random variables to convergence in probability

Let $X_1,X_2,...$ denote iid random variables such that $X_j$ has a Poisson distribution with mean $\lambda t_j$ where $\lambda$ > 0 and $t_1, t_2,...$are known positive constants. a)Find conditions ...
5
votes
1answer
141 views

Density function of $\max(X_1,\dots,X_n)$.

I'm making this statistics exercise and I'm not sure about my solution. Find the density function of $Y=\max(X_1,\dots,X_n)$ if they are all i.i.d. This was my take on this question: $F_Y(a)=P(X_1 ...
5
votes
2answers
97 views

Proving the sum of two independent Cauchy Random Variables is Cauchy

Is there any method to show that the sum of two independent Cauchy random variables is Cauchy? I know that it can be derived using Characteristic Functions, but the point is, I have not yet learnt ...
5
votes
1answer
91 views

Closed formula for mean

Suppose we have the i.i.d. random variables $X_{11}, X_{12},\ldots, X_{nn}$, such that each $X_{ij}$ has standard normal distribution $N(0,1)$, with mean $0$ and variance $1$. Given some integer ...