# Tagged Questions

**2**

votes

**3**answers

114 views

### Estimating the Variance of a Discrete Normal Distribution

Let $f(x; \sigma) = \frac{1}{\sigma\sqrt{2\pi}}\cdot e^{-\frac{x^2}{2\sigma^2}}$ be the probability density function of a normal distribution $\mathcal{N}(0, \sigma^2)$. We consider a discrete normal ...

**5**

votes

**1**answer

259 views

### Is this inverted integral transform valid?

I have the following transform:
$$F(y) = \int_{0}^{\infty} y\exp{\left[-\frac{1}{2}(y^2 + x^2)\right]} I_0\left(xy\right)f(x)\;\mathrm{d}x$$
with the following conditions:
$f(x)$ and $F(y)$ must ...

**1**

vote

**0**answers

83 views

### Distribute Monte Carlo samples among dimensions

Simplified problem: Given a $d$-times nested convolution of an input function $g(x):\mathbb{R}\mapsto \mathbb{R}$ with the same band-limited smooth function $f(x):\mathbb{R}\mapsto \mathbb{R}$. I am ...

**7**

votes

**0**answers

441 views

### American put option pricing by “binomial trees”

Dear MO World,
I'm teaching a financial mathematics course and have found a fascinating (to me) numerical phenomenon and wonder if anyone has studied it, or knows anything similar.
I'll try and give ...

**9**

votes

**3**answers

442 views

### Rapid evaluation of multivariate normal integral

I'm implementing a model that requires me to numerically evaluate a multivariate normal integral of the following form
$$\int_{-\infty}^\infty \phi(z)\displaystyle\prod_{i=1}^N \Phi(a_iz+b_i) \, ...

**2**

votes

**2**answers

243 views

### Computing hypergeometric function of matrix argument

In the context of the Bingham probability distribution the ${ }_1F_1$ hypergeometric function of matrix argument naturally arises as a normalization constant of the probability distribution function. ...

**6**

votes

**1**answer

150 views

### Algorithm for numerically approximating the Prokhorov metric?

Question: What is known about algorithms for numerically computing/approximating the Prokhorov distance between two measures?
Recall that the Prokhorov distance metrizes the topology of weak(-*) ...

**3**

votes

**1**answer

107 views

### exact simulation of a large sample histogram

Say I want to create a histogram of $N$ samples from some simple compactly supported distribution on $\mathbb{R}$, where $N$ is very large, say $N = 10^{30}$. The histogram has $K$ disjoint bins, ...

**1**

vote

**0**answers

296 views

### Monte Carlo sampling high dimensions with the halton sequence?

Referring to the Halton Sequence, Swiler et al 2006 state that
In cases where a large number of input variables are sampled,
Robinson and Atcitty recommend using a leaped sequence, where the
...

**5**

votes

**3**answers

420 views

### Traceless GUE : Four Centered Fermions

The proof of the Wigner Semicircle Law comes from studying the GUE Kernel
\[ K_N(\mu, \nu)=e^{-\frac{1}{2}(\mu^2+\nu^2)} \cdot \frac{1}{\sqrt{\pi}} \sum_{j=0}^{N-1}\frac{H_j(\lambda)H_j(\mu)}{2^j j!} ...

**4**

votes

**3**answers

606 views

### Quanitative de Moivreâ€“Laplace theorem (reference request)

The classical de Moivre-Laplace theorem states that we can approximate the normal distribution by discrete binomial distribution:
$${n \choose k} p^k q^{n-k} \simeq \frac{1}{\sqrt{2 \pi ...

**5**

votes

**1**answer

361 views

### Numerically finding a Mercer expansion for a given covariance kernel

Let $c(r)$ be a nice, continuous function with compact support. For example, $c(r) = \tfrac 1 5 (1-r)^{11} \big( 5 + 55r + 239 r^2 + 429 r^3 \big)$ for $r \in [0,1]$, and $c(r) = 0$ otherwise.
On ...

**0**

votes

**0**answers

276 views

### Estimating a multinomial sum

I have the following sum
\begin{equation}
\sum_{r_1=q+1}^{\tau}\dots\sum_{r_\lambda=q+1}^{\tau}{\tau\choose r_1,\dots,r_\lambda,\tau-r_1-\dots -r_\lambda} (\Lambda-\lambda)^{\tau-r_1-\dots-r_\lambda}
...

**2**

votes

**1**answer

292 views

### Numeric problem when evaluating log of a pdf

In maximum likelihood estimation, one typically needs to compute the log (natural log) of probability values. When a probability, say $p(x)$, becomes so close to zero, $log(p(x))$ returns -Inf. What ...

**3**

votes

**5**answers

537 views

### Numerical Solution to Inverse Integral (Pseudo Random Number Generation)

If I have an arbitrary positive monotonically decreasing function $f(x), x \in [0,\infty]$, is there an 'efficient' method for finding $y$ in:
$r = \int\limits_0^y f(x) dx $
for a known $r \in [0, ...

**6**

votes

**1**answer

686 views

### Random, Linear, Homogeneous Difference Equations and Time Integration Methods for ODEs

Most methods (that I know of) of numerically approximating the solution of ODEs are "general linear methods". For this type of method, the so-called 'linear stability' is examined by applying the ...

**-2**

votes

**1**answer

698 views

### Determine noise distribution [closed]

I'm trying to solve the following least squares problem:
$\underset{x}{\text{min}} ||Ax - \tilde{b}||_2$
where $Ax = b$ and $\tilde{b} = b + w$
Question:
How do I determine which probability ...

**1**

vote

**1**answer

302 views

### Distribution on permutations derived from probability of pairwise orderings

A followup question to Probability estimates for pairwise majority votes - I think it doesn't actually give an answer in any terribly precise sense, but it would give something I'd be happy to use in ...

**10**

votes

**0**answers

651 views

### Constructive aspects of Caratheodory's theorem in convex analysis

Let me paraphrase Caratheodory's theorem in a probabilistic setup:
Let $X$ be a real-valued random variable. For $k = 1, \ldots, m$, let $f_k: \mathbb{R} \to \mathbb{R}$ be a continuous function such ...

**7**

votes

**1**answer

498 views

### Sampling from Sine Kernel and Airy Kernel

A determinantal process on the line is a random collection of points on $\mathbb{R}$ such that the probability of $x_1, \dots, x_n$ lying on the random set is $\det (K(x_i, x_j))_{(i,j)}$. Examples ...