Mathematical statistics is the study of statistics from a mathematical standpoint, using probability theory as well as other branches of mathematics such as linear algebra and analysis.

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Finding a more direct way to reach $\mathbb{E} \left( \sum (X_i - \mu)^2 \right) - \mathbb{E} \left( \sum (X_i - \overline{X})^2 \right) = \sigma^2$

Let $X_i$ be independent random variables, $\forall\,i \in \mathbf{n} \equiv \{0,\dots,n-1\}$, with identical expectation value $\mathbb{E}(X_i)=\mu$, and identical variance ...
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1answer
340 views

Hyper Birthday Paradox?

There are $N$ buckets. Each second we add one new ball to a random bucket - so at $t=k$, there are a total of $k$ balls collectively in the buckets. At $t=1$, we expect that at least one bucket ...
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4answers
160 views

Is there a closed form expression for $\int_{- \infty}^\infty \int_{-\infty}^y \frac{1}{2 \pi} e^{-(1/2) ( x^2+y^2 )} \mathrm{d}x\,\mathrm{d}y$?

I have been trying to evaluate the integral: $$\int_{- \infty}^\infty \int_{-\infty}^y \frac{1}{2 \pi} e^{-(1/2) ( x^2+y^2 )}\mathrm {d}x\,\mathrm{d}y$$ I know of course that the integral equals ...
9
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1answer
379 views

M.SE reputation distribution

What distribution does the reputation points per user follow on math.SE (or on entire stackexchange)? Is there a mathematical explanation/model of it?
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611 views

What is the deepest / most interesting known connection between Trigonometry and Statistics?

I'm teaching both at the same time to different classes in high school, so I just wondered about this. Added by OP on 16.May.2011 (Beijing time) I mean Statistics only, without Probability. In ...
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1answer
9k views

comparing distribution of two data sets

I need to compare the distribution (unknown) of a set of data to the distribution of another one (unknown). In particular, I want to check for equality of the two distributions. What are some ...
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2answers
708 views

What is the relationship between the Boltzmann distribution and information theory?

I'm reading a paper on Boltzmann machines (a type of neural network in Machine Learning), and it mentions that "The Boltzmann distribution has some beautiful mathematical properties and it is ...
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361 views

Applications of information geometry to the natural sciences

I am contemplating undergraduate thesis topics, and am searching for a topic that combines my favorite areas of analysis, differential geometry, graph theory, and probability, and that also has ...
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1answer
2k views

Under what circumstance will a covariance matrix be positive semi-definite rather than positive definite?

I have a covariance matrix: $\operatorname{cov}(\mathbf{X}, \mathbf{X}) = \operatorname{E}[(\mathbf{X} - \operatorname{E}[\mathbf{X}])(\mathbf{X} - \operatorname{E}[\mathbf{X}])^T]$ According to ...
9
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2answers
708 views

In what sense is the Jeffreys prior invariant?

I've been trying to understand the motivation for the use of the Jeffreys prior in Bayesian statistics. Most texts I've read online make some comment to the effect that the Jeffreys prior is ...
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0answers
181 views

What is the chance of obtaining 27 sets in the card game Set?

For people not familiar with the card game Set, see its entry on Wikipedia and/or one of the related questions here on Math SE. It might be faster to just play the game a couple of times though, see ...
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667 views

Why is polynomial regression considered a kind of linear regression?

Why is polynomial regression considered a kind of linear regression? This is what I mean by polynomial regression. For example, the hypothesis function is $$h(x; t_0, t_1, t_2) = t_0 + t_1 x + t_2 ...
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4answers
3k views

How to accurately calculate the error function erf(x) with a computer?

I am looking for an accurate algorithm to calculate the error function I have tried using [this formula] (http://stackoverflow.com/a/457805) (Handbook of Mathematical Functions, formula ...
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5answers
6k views

What is degree of freedom in statistics?

In statistics, degree of freedom is widely used in regression analysis, ANOVA and so on. But, what is degree of freedom ? Wikipedia said that The number of degrees of freedom is the number ...
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3answers
953 views

Intuition about the Central Limit Theorem

I'm studying statistics, and would like to better understand the Central Limit Theorem. The proof I found on Wikipedia requires some previous knowledge I do not currently possess. Is there a quick ...
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3answers
225 views

distribution of $X^2 + Y^2$

Suppose $X$ and $Y$ are independent uniform distributions between $(0,1)$. What is the distribution of $X^2 + Y^2$? I derived that the pdf of $X^2$ is $\frac{1}{2\sqrt{x}}$ for $0\leq x \leq 1$. How ...
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4answers
8k views

Is there a simple test for uniform distributions?

I have a function that (more or less) is supposed to select a small number m of random number from the range [1,n] (for some n >> m) and I need to test that it work. Is there an easy to implement test ...
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1answer
442 views

Monotonic behavior of a function

I have the following problem related to a statistics question: Prove that the function defined for $x\ge 1, y\ge 1$, ...
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3answers
3k views

How would I figure out how many anagrams of mississippi don't contain the word psi?

I'm really confused how I'd calculate this. I know it's the number of permutations of mississippi minus the number of permutations that contain psi, but considering there's repetitions of those ...
8
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1answer
197 views

What is the intuition behind the generalized confidence interval?

What is the intuition behind the generalized confidence interval? My best description on GCI that it is the way to derive a formula to calcuate the area of the center region in a asymetry distribution ...
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2answers
144 views

Lies, damned lies, and statistics

A story currently in the U.S. news is that an organization has (in)conveniently had several specific hard disk drives fail within the same short period of time. The question is what is the likelihood ...
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1answer
133 views

If half the population were murderers, and they could only kill once, how many would survive?

So here's the rules: Half the population are murderers Each murderer can only kill once We assume the nobody will fight back, and only murderers can murder Murderers can kill other murderers Only ...
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2answers
224 views

Finding $E\left[\frac{\sum_{i=1}^n X_i^2}{(\sum_{i=1}^n X_i)^2}\right]$ of a sample of gamma random variables

Suppose $X_1,\ldots,X_n$ is a random sample from the $\Gamma(k,\lambda)$ distribution where $\lambda$ is unknown and $k$ is a positive integer and known. How can I find $$E\left[\frac{\sum_{i=1}^n ...
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I roll 6-sided dice until the sum exceeds 50. What is the expected value of the final roll?

I roll 6-sided dice until the sum exceeds 50. What is the expected value of the final roll? I am not sure how to set this one up. This one is not homework, by the way, but a question I am making up ...
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988 views

What is the expected number of dice one needs to roll to get any monotonically increasing series of 1 to 6?

Similar to: "What is the expected number of dice one needs to roll to get 1,2,3,4,5,6 in order?" but we allow repeats so 1,1,2,2,3,4,4,4,4,5,5,6 would count. My answer (or simulation) is flawed as I ...
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2answers
6k views

Proof of $\frac{(n-1)S^2}{\sigma^2} \backsim \chi^2_{n-1}$

It's a standard result that given $X_1,\cdots ,X_n $ random sample from $N(\mu,\sigma^2)$, the random variable $$\frac{(n-1)S^2}{\sigma^2}$$ has a chi-square distribution with $(n-1)$ degrees of ...
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2answers
5k views

Proof of upper-tail inequality for standard normal distribution

$X \sim \mathcal{N}(0,1)$, then to show that for $x > 0$, $$ \mathbb{P}(X>x) \leq \frac{\exp(-x^2/2)}{x \sqrt{2 \pi}} \>. $$
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3answers
222 views

How come in statistics there is very little justification for the formulas used and proofs are almost nonexistent [closed]

I don't understand why people accept certain formulas in statistics without a mathematical proof style argument. You see this a lot in statistics textbooks and unfortunately this spills over with the ...
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2answers
10k views

Examples of Simpson's Paradox

I'm looking for fresh examples of Simpson's paradox for use in my statistics courses. The examples I've been using are fine, but I'd like to have some new ones, and I'm hoping folks here might know a ...
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1answer
201 views

Is pi lying on the ground, and on TV?

Consider the leaves from a bunch of trees in a terraced plaza in the Autumn. It may well happen that the tiles of the terrace are squares whose length easily exceeds the length of the stem of the ...
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247 views

A statistical approach to the prisoners problem

Two days ago, I found this problem on reddit (I didn't have access to reddit when I did the math, so I did it with 24 instead of 23, and I decided the warden picked someone every day, not "whenever he ...
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1answer
2k views

What's the difference between Rao-Blackwell Theorem and Lehmann-Scheffé Theorem?

I know that the Rao-Blackwell theorem states that an unbiased estimator given a sufficient statistic will yield the best unbiased estimator. Is the only difference between Lehmann-Scheffé and ...
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2answers
175 views

What is the T-distribution, and what is it used for?

(I'll post my own answer to this, but don't hesitate to post your own!) Student's t-distribution, or T-distribution, was introduced in 1908 by William Sealey Gossett writing under the pseudonym ...
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1answer
2k views

easy to implement method to fit a power function (regression)

I want to fit to a dataset a power function ($y=Ax^B$). What is the best and easiest method to do this. I need the $A$ and $B$ parameters too. I'm using in general financial data in my project, which ...
7
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3answers
188 views

Stein's lemma condition

(Apologies if I break some conventions, this is my first time posting!) I am working on proving Stein's characterization of the Normal distribution: for Z $\sim N(0,1)$ and some differentiable ...
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2answers
25k views

What is the equation used to calculate a linear trendline?

In excel it is done automatically but how to manually calculate a linear trendline over a set of points?
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4answers
3k views

Consecutive Coin Toss with static tosses

I'm writing an algorithm for a coin toss problem. But I have a problem understanding the calculation given. Here is the question: You have an unbiased coin which you want to keep tossing until ...
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4answers
753 views

Recommend a statistics fundamentals book

To give you some background, I have a grasp on the basics of statistics and probability theory and even remember touching Bayes theorem at the university data mining course. But being a few years away ...
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1answer
1k views

Why are additional constraint and penalty term equivalent in ridge regression?

Tikhonov regularization (or ridge regression) adds a constraint that $\|\beta\|^2$, the $L^2$-norm of the parameter vector, is not greater than a given value (say $c$). Equivalently, it may solve ...
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1answer
105 views

What is the limit behavior of this random sum?

Let $(X_n\mid n\in\mathbb{N})$ be an i.i.d. sequence of random variables taking values in $\mathbb{R}$. What can be said about the limit behavior of \begin{equation} S_n:=\sum_{i=1}^n\frac{X_i}{i} ...
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2answers
280 views

Mean and Median in a Classic River Crossing Problem

Consider the following classic problem: Four people on the west side of a river wish to use their single boat to get to the east side of a river. Each boat ride can hold at most two people, and the ...
7
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1answer
7k views

Average percent increase not equal to total percent increase?

I tried searching around for this but it was difficult to boil down the search terms. Plus nothing seemed to be showing up anyway. What's an easy way to show that the average percentage increase of n ...
7
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1answer
261 views

Does “50/50 chance of.. . ” convey information?

I distinctly remember the professor in the undergrad introductory systems & control course saying that "when weather forecasters say there's a 50% chance of precipitation, they are conveying no ...
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1answer
224 views

Tuning the birthday paradox

I have limited access to a collection $X_1,\ldots,X_m$ of sets of positive integers. Each $X_i$ is "moderately large" (a brief survey has found them to contain about $10^6$ elements in each set), but ...
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3answers
162 views

Estimate the size of a set from which a sample has been equiprobably drawn?

Here is the problem I'm trying to solve: In order to send spam, a spammer generates fake nicknames, by picking random girl names (and appending a random number to it). I suppose it randomly and ...
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2answers
523 views

Buckets of Balls, Will one fill if I add another Ball?

I was refereed here by stackoverflow.com. With some searching I found this: another balls and bins question, but its not quite what I am looking for. Rather the inverse. IE the expected number of ...
7
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1answer
360 views

License Plate Statistics

California issues license plates in numeric order (if we turn the letters into numbers). I have fun noticing the latest plate I have seen. I am interested in what you can derive from a series of ...
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3answers
144 views

Roll a fair die until a 6 appears for the third time. What is the chance that all six values have occurred?

The question in the title is a homework question that I have been stumped on for some time. My approach thus far was to treat it as an occupancy problem. From class we derived the following formula ...
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2answers
166 views

Can the maximum likelihood estimator be unbiased and fail to achieve Cramer-Rao lower bound?

If some maximum likelihood estimator (MLE) turns out to be unbiased (which does not necessarily holds), then does it achieve the Cramer-Rao lower bound (CRLB) even in finite sample? (It does when the ...
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1answer
135 views

Why can't I use the variance of the sample average in the Central Limit Theorem for the weak-stationary process?

Under mild conditions $\dfrac{\bar{X}-\mu}{\sqrt{\sigma^2/n}}$ approaches the standard normal (where $\sigma^2$ is the process variance, not the marginal variance $\sigma^2_x$). Why is the ...