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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14
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4answers
2k 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) ...
11
votes
4answers
4k 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 ...
100
votes
2answers
35k 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 ...
5
votes
2answers
4k views

Proof of upper-tail inequality for standard normal distribution

$X \sim \mathcal{N}(0,1)$, then to show that for $x > 0$, $$ \mathbb{P}(X>x) \leq \frac{\exp(-x^2/2)}{x \sqrt{2 \pi}} \>. $$
8
votes
2answers
819 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 ...
3
votes
2answers
375 views

What is the probability that $x_1+x_2+…+x_n \le n$?

Given that $X_1, X_2...$ are mutually independent random variables. For each $i$ with $1\le i \le n$ the variable $X_i$ is equal to either $0$ or $n+1$ $E(X_i)$ = $1$ also.. if $X_i$ is equal to ...
15
votes
4answers
18k 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 ...
9
votes
5answers
4k 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 ...
2
votes
2answers
373 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 ...
16
votes
6answers
18k views

What is the probability of a coin landing tails 7 times in a row in a series of 150 coin flips?

If you were to flip a coin 150 times, what is the probability that it would land tails 7 times in a row? How about 6 times in a row? Is there some forumula that can calculate this probability?
10
votes
1answer
20k 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 ...
5
votes
2answers
5k 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 ...
5
votes
3answers
2k 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 ...
8
votes
2answers
572 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 ...
2
votes
4answers
1k 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 ...
5
votes
3answers
318 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 ...
0
votes
1answer
513 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 ...
29
votes
5answers
11k 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 ...
2
votes
1answer
2k 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 & ...
13
votes
4answers
7k views

Is positive the same as non-negative?

I would assume the answer to my question is yes, but I want to make sure because my book uses both terminologies. Please also indicate where zero falls into the mix. UPDATE: Here is an excerpt from ...
7
votes
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 ...
1
vote
2answers
191 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
4answers
1k 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 ...
3
votes
1answer
278 views

Shortest Confidence interval for $\beta^2$

let $x_1,x_2, \ldots, x_n$ be a random sample from distribution under function distribution: $$F(x)= \left( \frac{x}{\theta} \right)^\beta, \quad 0 \leq x \lt \theta.$$ Where $β$ is unknown but $θ$ ...
2
votes
2answers
577 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
327 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
vote
2answers
271 views

Variance of discrete random variables

Two fair and independent dice (each with six faces) are thrown. Let $X_1$ be the score on the first die and $X_2$ the score on the second. Let $X = X_1 + X_2$ , $Y = X_1 X_2$ and $Z = \min(X_1; ...
0
votes
1answer
69 views

calculate Limiting distribution $\displaystyle\frac{\sum_{i=1}^n X_i}{\sum_{i=1}^n Y_i}$

let $X_1,X_2,\ldots,X_n$ are random sample of bernoulli distribution with parameter of $\displaystyle\frac{\theta_1}{\theta_1+\theta_2}$ and $Y_1,Y_2,\ldots,Y_n$ are random sample of geometric ...
16
votes
2answers
5k 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 ...
29
votes
10answers
2k 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.
22
votes
6answers
720 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 ...
29
votes
2answers
4k views

Why is the error function defined as it is?

$\newcommand{\erf}{\operatorname{erf}}$ This may be a very naïve question, but here goes. The error function $\erf$ is defined by $$\erf(x) = \frac{2}{\sqrt{\pi}} \int_0^x e^{-t^2}dt.$$ Of ...
6
votes
4answers
697 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 ...
2
votes
2answers
12k 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 ...
3
votes
1answer
7k views

What is continuity correction in statistics

Can someone please explain to me the idea behind continuity correction and when is it necessary to add or subtract $\dfrac{1}{2}$ from the desired number (how do we tell whether we need to add or ...
12
votes
5answers
2k 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 ...
11
votes
3answers
284 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 ...
8
votes
3answers
694 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. ...
5
votes
2answers
3k 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?
5
votes
4answers
6k 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?
3
votes
2answers
8k views

Sum of two independent geometric random variables

Let X and Y be independent random variables, $ P(X = k) = P(Y = k) = p(1 - p)^{k-1} $ How do you show that the pmf of $ Z = X + Y $, is negative binomial, and how do you find $ P(X = Y) $?
2
votes
2answers
159 views

Let $X_1$ and $X_2$ are independent $N(0, \sigma^2)$ random variables. What is the distribution of $X_1^2 + X_2^2$?

Let $X_1$ and $X_2$ are independent $N(0, \sigma^2)$ which means (mean = 0, variance = $\sigma^2$) random variables. What is the distribution of $X_1^2 + X_2^2$? My approach is that $X_1\sim N(0, ...
6
votes
1answer
115 views

Help with convergence in distribution

$Y$ is a random variable with $$M(t) = \frac{1}{(2-\exp(t))^s}.$$ Does $$\frac{Y-E(Y)}{\sqrt{\operatorname{Var}(Y)}}$$ converge in distribution as $s$ tends to infinity? I let $Z = ...
6
votes
2answers
4k views

Proof of the independence of the sample mean and sample variance

I've been trying to establish that the sample mean and the sample variance are independent. One motivation is to try and write the sample variance, $S^{2}$ as a function of $\left\{ ...
5
votes
3answers
334 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 ...
3
votes
2answers
7k views

Finding probability P(X<Y)

How can I find this probability $P(X<Y)$ ? knowing that X and Y are independent random variables.
2
votes
2answers
208 views

Double Summation: Need help to handle $ i \neq j $ : $ \sum_{i=0 \to 7,\ j=1 \to 8,\ i\neq j} (8i + j) $

[Q1]. Can I ? ( write the same summation as ) : $$ \sum_{i=0, i \neq j}^7 \sum_{j=1}^8 (8i + j) \tag{1}$$ I tried to solve the following Summation as follows: Let i = m-1 then, $ \sum_{i=0,\ i ...
2
votes
1answer
370 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
1answer
310 views

Evaluating 'combinatorial' sum

Help me please to calculate the following sum. I have seen such kind of formulas in the papers related to combinatorics, specifically 'trees'. I am curious how to calculate or approximate this sum: ...
1
vote
1answer
365 views

Likelihood Function for the Uniform Density.

Let the random variable $X$ have a uniform density given by $$ f(x;\theta)=I_{[\theta-\frac{1}{2},\theta+\frac{1}{2}]} $$ where $-\infty\leq\theta\leq\infty $ the likelihood function for a sample of ...