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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27
votes
4answers
14k views

Intuition behind using complementary CDF to compute expectation for nonnegative random variables

I've read the proof for why $\int_0^\infty P(X >x)dx=E[X]$ for nonnegative random variables (located here) and understand its mechanics, but I'm having trouble understanding the intuition behind ...
22
votes
4answers
3k views

Motivation behind standard deviation?

Let's take the numbers 0-10. Their mean is 5, and the individual deviations from 5 are -5, -4, -3, -2, -1, 0, 1, 2, 3, 4, 5 And so the average (magnitude of) ...
12
votes
2answers
10k views

Proof of upper-tail inequality for standard normal distribution

$X \sim \mathcal{N}(0,1)$, then to show that for $x > 0$, $$ \mathbb{P}(X>x) \leq \frac{\exp(-x^2/2)}{x \sqrt{2 \pi}} \>. $$
21
votes
7answers
9k views

Intuitive Explanation of Bessel's Correction

When calculating a sample variance a factor of (N-1) appears instead of N (see http://en.wikipedia.org/wiki/Sample_variance#Population_variance_and_sample_variance ). Does anybody have an intuitive ...
209
votes
4answers
89k views

What is the intuitive relationship between SVD and PCA

Singular value decomposition (SVD) and principal component analysis (PCA) are two eigenvalue methods used to reduce a high-dimensional dataset into fewer dimensions while retaining important ...
9
votes
2answers
1k 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 ...
5
votes
3answers
10k views

How to use stars and bars (combinatorics)

How to use the stars and bars method? Say I want to find number of combinations I can get with $x_1+x_2+x_3+x_4=22$, where $x_i\in\mathbb{N}$. Is this the correct time to apply the method?
10
votes
3answers
2k views

The pseudoness of pseudorandom number generators

Is there a reasonable statistic test one can do to standard random number generators (say, one of those that come built in in Python libs) which shows they are not really random? (By reasonable I ...
0
votes
2answers
117 views

What are numerical methods of evaluating $P(1 < Z \leq 2)$ for standard normal Z? [closed]

Let $Z \sim Norm(0, 1)$ and denote its PDF and CDF by $\phi$ and $\Phi$ respectively. Then, theoretically, $P(1 < Z \leq 2) = \Phi(2) - \Phi(1).$ However $\Phi$ cannot be expressed in closed form, ...
8
votes
1answer
15k views

density of sum of two uniform random variables $[0,1]$

I am trying to understand an example from my textbook. Let's say $Z = X + Y$, where $X$ and $Y$ are uniform random variables with range $[0,1]$. Then the PDF is $$f(z) = \begin{cases} z & \text{...
8
votes
5answers
2k views

Geometric mean never exceeds arithmetic mean

This was a mathematical induction question proposed in a textbook, and I've exhausted multiple approaches (proving RHS - LHS > 0, splitting the fraction, fractional exponents, etc.) The geometric ...
8
votes
2answers
12k 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 ...
2
votes
2answers
864 views

probability distribution of coverage of a set after `X` independently, randomly selected members of the set

I have a set of numbers where I am randomly and independently selecting elements within a set . After a number of these random element selections I want to know the coverage of the elements in the ...
31
votes
4answers
43k views

Variance of sample variance?

What is the variance of the sample variance? In other words I am looking for $\mathrm{Var}(S^2)$. I have started by expanding out $\mathrm{Var}(S^2)$ into $E(S^4) - [E(S^2)]^2$ I know that $[E(S^2)]^...
39
votes
9answers
11k views

Why do we use a Least Squares fit?

I've been wondering for a while now if there's any deep mathematical or statistical significance to finding the line that minimizes the square of the errors between the line and the data points. If ...
17
votes
1answer
59k views

Sample Standard Deviation vs. Population Standard Deviation

I have an HP 50g graphing calculator and I am using it to calculate the standard deviation of some data. In the statistics calculation there is a type which can have two values: Sample Population I ...
8
votes
4answers
6k 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 7.1....
10
votes
1answer
4k 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 ...
5
votes
3answers
549 views

Ways of getting a number with $n$ dice, each with $k$ sides

Assume the dice are numbered from $1$ to $k$. My hunch is that this will form a normal distribution with a median at $n\cdot\frac{k}{2}$. However, I have no idea as to turn this fact into an answer ...
60
votes
5answers
42k views

How to intuitively understand eigenvalue and eigenvector?

I'm learning multivariate analysis and I have learnt linear algebra for two semester when I was a freshman. Eigenvalue and eigenvector is easy to calculate and the concept is not difficult to ...
19
votes
7answers
4k views

Why does Benford's Law (or Zipf's Law) hold?

Both Benford's Law (if you take a list of values, the distribution of the most significant digit is rougly proportional to the logarithm of the digit) and Zipf's Law (given a corpus of natural ...
8
votes
2answers
7k views

Probability density function of a product of uniform random variables

Let $z = xy$ be a product of two uniform random variables, with $x$ having the range $[a, b)$ and $y$ the range $[c, d)$. What is the probability density function of $z$, and how is it calculated?
4
votes
1answer
334 views

What books do you recommend on mathematics behind cryptography?

I am currently reading the Book Understanding Cryptography from Cristof Paar. I am enjoying the book but i don't like to scratch the surface when it comes to cryptography. I would like do dig a little ...
3
votes
4answers
5k views

Why is there not a simpler way to calculate the standard deviation?

Steps of getting standard deviation. http://www.techbookreport.com/tutorials/stddev-30-secs.html: Work out the average (mean value) of your set of numbers Work out the difference between each ...
1
vote
1answer
2k views

Probability of two people meeting during a certain time.

I recently read a math problem and, having not yet taken anything beyond calculus 1, was curious about how to solve it correctly. Problem: Calculate the probability of two people meeting at the ...
20
votes
2answers
3k views

Beta function derivation

How do I derive the Beta function using the definition of the beta function as the normalizing constant of the Beta distribution and only common sense random experiments? I'm pretty sure this is ...
31
votes
3answers
17k views

how does expectation maximization work?

I'm reading a tutorial on expectation maximization which gives an example of a coin flipping experiment (the description is at http://www.nature.com/nbt/journal/v26/n8/full/nbt1406.html?pagewanted=all)...
12
votes
1answer
5k 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. ...
11
votes
4answers
16k views

How many times to roll a die before getting two consecutive sixes?

Basically, on average, how many times do you have to roll a fair six-sided die before getting two consecutive sixes?
5
votes
3answers
6k views

Showing that Y has a uniform distribution if Y=F(X) where F is the cdf of X

Let X be a random variable with a continuous and strictly increasing c.d.f. function F (so that the quantile function F^−1 is well-defined). Define a new random variable Y by Y = F(X). Show that Y has a ...
11
votes
3answers
513 views

How many books are in a library?

My cousin is at elementary school and every week is given a book by his teacher. He then reads it and returns it in time to get another one the next week. After a while we started noticing that he ...
6
votes
1answer
752 views

Expected Value of a Continuous Random Variable

I've been reviewing my probability and statistics book and just got up to continuous distributions. The book defines the expected value of a continuous random variable as: $E[H(X)] = \int_{-\infty}^{\...
5
votes
2answers
21k views

Finding probability P(X<Y)

How can I find this probability $P(X<Y)$ ? knowing that X and Y are independent random variables.
6
votes
4answers
309 views

Why do statisticians like “$n-1$” instead of “$n$”?

Does anyone have an intuitive explanation (no formulas, just words! :D) about the "$n-1$" instead of "$n$" in the unbiased variance estimator $$S_n^2 = \dfrac{\sum\limits_{i = 1}^n \left(X_i-\bar{X}\...
5
votes
5answers
965 views

How to find unique multisets of n naturals of a given domain and their numbers?

Let's say I have numbers each taken in a set $A$ of $n$ consecutive naturals, I ask myself : how can I found what are all the unique multisets, which could be created with $k$ elements of this set $A$?...
4
votes
1answer
7k views

finding mode in Binomial distribution

suppose $X$ has the Binomial distribution with parameters $n,p$ . how can show that if $((n+1)p)$ is integer then $X$ has two mode that is $((n+1)p)$ or $((n+1)p-1)?$
2
votes
5answers
3k views

The sum of $n$ independent normal random variables.

How can I prove that the sum of $X_1, X_2, \ldots,X_n$ random variables, all of which have normal distributions $N(\mu_i, \sigma_i)$, is a random variable that is itself normally distributed with mean ...
1
vote
2answers
331 views

Find the pdf of $\prod_{i=1}^n X_i$, where $X_is$ are independent uniform [0,1] random variables.

How do I find the pdf of $\prod_{i=1}^n X_i$, where $X_is$ are independent uniform [0,1] random variables. I know X~U[0,1], -ln(x) is exponential(1). I also know the sum of two or more independent ...
5
votes
3answers
487 views

Usefulness of Variance

I've had a look for intuitive explanations of the variance of an RV (e.g. Intuitive explanation of variance and moment in Probability.) but unfortunately for me, I still don't feel comfortable with ...
2
votes
1answer
938 views

Are squares of independent random variables independent?

If X and Y are independent random variables both with the same mean (0) and variance, how about $X^2$ and $Y^2$? I tried calculating E($X^2Y^2$)-E($X^2$)E($Y^2$) but haven't been able to get anywhere.
2
votes
2answers
3k views

CDF of a ratio of exponential variables

Let $X$ and $Y$ be independent exponential variables with rates $\alpha$ and $\beta$, respectively. Find the CDF of $X/Y$. I tried out the problem, and wanted to check to see if my answer of: $\frac{\...
2
votes
2answers
1k views

Probability that the sum of all values of 5 pairs of dice will be between 30 and 40

I'm trying to solve a question that asks: If 5 pairs of fair dice are rolled, approximate the probability that the sum of the values obtained is between 30 and 40 inclusive. My approach so ...
1
vote
2answers
676 views

Probability of getting >70% in exam with 50 yes/no questions

In a paper containing 50 yes/no questions, I am trying to find the probability of getting 70%. Using binomial distribution, $$P(X\ge70\%)=\sum_{k=25}^{50} \binom{50}{k}\left(\frac{1}{2}\right)^{50}$$ ...
-1
votes
1answer
86 views

Minimum and Maximum values of variance [closed]

Let $X$ be an arbitrary random variable takes values in $\{0,1,2,...,10\}$. What are the minimum and maximum values of variance of random variable $X$?
48
votes
17answers
8k views

Is the Law of Large Numbers empirically proven?

Does this reflect the real world and what is the empirical evidence behind this? Layman here so please avoid abstract math in your response. The Law of Large Numbers states that the average of the ...
25
votes
3answers
9k views

derivative of cost function for Logistic Regression

I am going over the lectures on Machine Learning at Coursera. I am struggling with the following. How can the partial derivative of $$J(\theta)=-\frac{1}{m}\sum_{i=1}^{m}y^{i}\log(h_\theta(x^{i}))+...
36
votes
10answers
5k views

Real life usage of Benford's Law

I recently discovered Benford's Law. I find it very fascinating. I'm wondering what are some of the real life uses of Benford's law. Specific examples would be great.
11
votes
2answers
34k views

maximum estimator method more known as MLE of a uniform distribution

Let $ X_1, ... X_n $ a sample of independent random variables with uniform distribution $(0,$$ \theta $$ ) $ Find a $ $$ \widehat\theta $$ $ estimator for theta using the maximun estimator ...
25
votes
6answers
1k views

Does exceptionalism persist as sample size gets large?

Which of the following is more surprising? In a group of 100 people, the tallest person is one inch taller than the second tallest person. In a group of one billion people, the tallest person is one ...
14
votes
3answers
2k views

What is the Probability that a Knight stays on chessboard after N hops?

Say a $8 \times 8$ chessboard as per picture. A position is represented here by co-ordinates $(x,y)$. A move is aslo considered as valid, where the Knight lands outside the chessboard [ For eg. ...