2
votes
1answer
106 views

Two matrix Fisher distributions on SO(3)?

After the uniform distribution (normalized Haar measure), the matrix Fisher distribution seems to be the most popular probability distribution on the Lie group SO(3). The density is proportional to ...
0
votes
0answers
56 views

Maximizing the “uniformity” of a probability measure, with constraints, via path length minimization

Background I want to find a probability measure for a continuous random variable, subject to moment constraints, that is maximally "uniform", as defined below: Definition: Maximally Uniform ...
4
votes
1answer
130 views

How to check if a symmetric random variables is the difference of two iid symmetric random variables

I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...
0
votes
0answers
48 views

Quantile as solution to minimization problem

I posted this on Math Stack Exchange, but since I got no response, I'm trying my luck here. I'm studying basics of quantile regression now and I have trouble proving that $\tau-$th quantile of ...
0
votes
1answer
33 views

finite mixture of order statistics

Let $F(u)$ be a n-degree polynomial continuous distribution function in $[0,1]$, with $F(0)=0$, $F(1)=1$, that is $F(u)=\sum_{i=1}^{i=n} a_i u^i$. My question is: is that kind of distributions ...
1
vote
0answers
19 views

Minimal rectangular confidence regions

For a given multivariate pdf $f$ (mainly the gaussian one) I'm looking to compute a minimal rectangular confidence region for a given level $\alpha$. For example, I would like to solve problems of the ...
2
votes
1answer
209 views

Probability distribution of uAv…

Consider the complex domain ℂ. If U and V are 2 unitary random matrices and A is a deterministic matrix. What is the distribution of $u^HAv$ ( or $||u^HAv||^2$) where : u is a column vector of U. v ...
2
votes
0answers
21 views

How to get the Expectation of the normalization of some log-normal-distributions?

Problem Definition: Suppose that a random variable of multivariate Gaussian distribution $X \sim N(\Sigma,\mu)$, $\Sigma$ is the covariance matrix, and $\mu$ is the mean. For each $x_i$ from $X$, $x_i ...
1
vote
2answers
159 views

Empirical estimator for total variation distance between two product distributions

Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...
3
votes
2answers
92 views

expectation of log(x+a) when X follows a beta distribution

Is there a closed form expression for the expectation of $\log(x+a)$ (with $a>0$, the case $a=0$ is obvious) when X follows a beta distribution?
0
votes
0answers
77 views

Fitting distribution to spatial data

I am studying a physical process generating data which projects nicely into two dimensions with non-negative values. Each process has a (projected) track of $x$-$y$ points -- see the image below. ...
4
votes
2answers
235 views

Estimate on gaussian distribution

Let X be an $\mathbb R^d$-valued random variable with distribution $N_d(0,\Sigma)$. I'm looking for a function $f$ such that $$P(|X_1|\leq M, |X_2|\leq M,\dots, |X_d|\leq M)\geq f(M),$$ and such that ...
5
votes
3answers
227 views

How do you call the problem of approximating a continuous distribution with a simple discrete distribution?

The following problem came up on the Mathematica forum as "Generating a list of integers that roughly satisfy a distribution": Given $n$, find $n$ integers (possibly with duplicates) whose ...
0
votes
0answers
69 views

Eigen value distribution of autocorrelated Wishart matrix

Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t-1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on ...
2
votes
2answers
296 views

What is the maximum entropy distribution on the natural numbers?

On the reals $\mathbb{R}$, the maximum entropy distribution with a given mean and variance is the Gaussian distribution. Let $\mu, \sigma > 0$. What is the maximum entropy distribution on the ...
0
votes
1answer
62 views

Independence of Eigenvalues of Wishart

This question regards a previous post, but it is not immediately obvious the two are related, so I ask it anyways: are the eigenvalues of a Wishart matrix $\mathbf{S}$ $=$ ...
2
votes
1answer
323 views

Order statistics of independent NOT identically distributed random variables

I want to find the p.d.f of the n-th order statistics from a set of independent, but NOT identically distributed random variables $X_1, \dots, X_n$ (the p.d.f. of the $X_i$'s is at hand)
2
votes
1answer
344 views

Central limit theorem for $P(x)\sim 1/x^3$ distribution

I have a random variable $x \in (0,\infty)$ with distribution $P(x)$ falling off slowly $P(x) \sim 1/x^3$ for large $x$. So the expectation value $\bar{x}$ is finite but the second moment $\bar{x^2}$ ...
-1
votes
1answer
60 views

Wishart random variables

I have a question about Wishart random variable. If X follows a Wishart distribution, then does X-Y follows a Wishart Distribution if Y is a Hermitian matrix? Thanks.
4
votes
1answer
538 views

What is the maximum-entropy distribution given mean, variance, skewness, and kurtosis?

$X\in \mathbb{R}$. Which distribution $P(X)$ has the highest possible entropy given its expected value, variance, skewness, and kurtosis? Is it an exponential family distribution of the form $P(X) ...
1
vote
0answers
88 views

Sum of non-identical categorical random variables

Is there a named distribution for the sum of non-identical categorical random variables? When the categorical variables are i.i.d., the sum is a multinomial distribution. When the categorical ...
1
vote
1answer
111 views

What is a likelihood kernel?

The paper, "The Multinomial-Poisson Transformation" by S. Baker (see http://www.math.ntnu.no/inla/r-inla.org/papers/multinomial-poisson.pdf) presents "likelihood kernels" for multinomial variables, ...
2
votes
0answers
105 views

Marginalizing multivariate normal over defined interval

Hello everyone, I am trying to obtain an analytic expression for the following Gaussian integral $$\frac{1}{\sqrt{(2 \pi)^n |\Sigma|}} \int \kern-0.2em \cdots \kern-0.2em \int d\mathbf{x}_{\sim i} ...
1
vote
0answers
177 views

Joint distribution from multiple marginals

Consider an experiment consisting of a repeated trial with two random Bernoulli (=binary) variables, A and B. Each trial consists of multiple outcomes for both A and B. Each trial has the same number ...
1
vote
0answers
332 views

Prove that the sum of a certain infinite series is 1

Prove the (numerically-evident) proposition that \begin{equation} \Sigma_{i=0}^\infty f(i) = 1, \end{equation} where \begin{equation} f(i)= 2^{-4 i-6} q(i) \frac{\Gamma(3 i+\frac{5}{2}) \Gamma(5 ...
3
votes
1answer
428 views

The average number of people that can sit on a bench of a given length.

Let me explain what I mean: The width of the average person varies, perhaps with a normal distribution. Given a specific variance, how many people (on average) can sit side-by-side on a bench of a ...
0
votes
1answer
320 views

Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...
1
vote
1answer
149 views

Moments of the Kolmogorov distribution

Up to what order do the moments of the Kolmogorov distribution exist? References would be appreciated.
4
votes
2answers
313 views

Expectation of $(c+e^{N(0,\sigma^2)})^{-n},\, n>0$

I would like to know if there's a way to compute or approximate the following expectation: $$\mathbb{E}[(c+e^X)^{-n}]$$ where $X=N(0,\sigma^2)$ and $n,c>0$ (you can also assume that $n$ is a ...
3
votes
1answer
125 views

Statistical properties of principal components and their convergence rates.

Hello everyone, I'm interested in doing statistical tests on properties of principal components, but none of the literature I've found so far seems quite right for my purposes. Many articles present ...
0
votes
0answers
186 views

Expectation of sample variance

Hi all, Just a quick question - I want to make sure I'm not missing anything obvious here! I'm trying to evaluate $E(S^2 \mid \bar{X} = \bar{x})$, where $X_1,\ldots,X_n$ are i.i.d. Normal($\mu, \sigma ...
0
votes
2answers
191 views

Are all variables in a set of random variables independent if all pairs are independent?

If I have a sequence of random variables $X_1, X_2, \ldots, X_n$ (possibly infinite) such that all pairwise cdf's are factorized: $$F(X_i, X_j) = F_i(X_i) F_j(X_j)$$ for all pairs $(X_i, X_j)$, does ...
0
votes
0answers
98 views

power law distribution of time events

Suppose you have the logs of a web server. In these logs you have tuples of this kind: user1, timestamp1 user1, timestamp2 user1, timestamp3 user2, timestamp4 user1, timestamp5 ... These ...
1
vote
1answer
265 views

Product of probability densities of the form x^{-t} exp (-ax)

I have two probability distributions $p(x) = N_1 x^{-\tau} \exp(-\frac{x}{x_0})$ and $p(y) = N_2 y^{-\kappa} \exp(-\frac{y}{y_0})$. $N_1$ and $N_2$ are just normalization constants and $x>0$, ...
1
vote
2answers
227 views

Finding Decision Boundary from empirical distribution

Based on measuring a certain characteristic, we want to classify measurements as coming from either of two populations. The true population distributions are unknown (and we don't want to take any ...
3
votes
3answers
380 views

What is the name for a non-normalized distribution?

For some analysis work with probability distributions, I remember a common trick being to drop the "integrate to 1" requirement, so the set becomes closed under addition and is more convenient to work ...
2
votes
2answers
5k views

Distance metric between two sample distributions (histograms)

Context: I want to compare the sample probability distributions (PDFs) of two datasets (generated from a dynamical system). These datasets depend on a set of parameters, and I want a concise way to ...
0
votes
2answers
330 views

Do these random variables follow Gaussian distribution?

Say that a random variable $X$ follows the Gaussian distribution $\mathcal{N}(\mu, \sigma)$. Then will the ceiling $\lceil X\rceil$, the floor $\lfloor X\rfloor$, and the rounding $\lfloor X\rceil$ ...
0
votes
1answer
151 views

Copulas and marginals thereof

Hello everyone, I recently became aware of the existence of the copula concept. So, I have been reading a few things about copulas lately, but I cannot seem to find information on the following ...
2
votes
2answers
262 views

Scale random variables in a way they have equal probabilities of being minimal

I have several positive random variables $x_i,\ i=1,...,N$ taken from different unknown distributions (these distributions can be closely approximated by log-normal if needed). I can sample these ...
0
votes
1answer
310 views

Expectation of little o in probablity [closed]

If I have $Z=o_p(1)$ where $o_p$ is the little-o in probability. I'm interested in find some properties about $E(Z)$. My first idea was $E(Z)=E(Z (1_{Z>\varepsilon} + 1_{Z\leq\varepsilon}) ) ...
3
votes
1answer
359 views

Cover a line segment randomly with smaller line segments

Covering a circle randomly with arcs has been well studied in the past (Geometric Probability - Solomon). But the problem when the circle is changed to a line segment doesn't seem to have been ...
5
votes
1answer
807 views

Eigenvalue distributions of finite dimensional Wishart matrices

I am trying to obtain the eigenvalue distribution of a finite dimensional Wishart matrix. Let $A_{n\times n}\sim\mathbb{W}(\Sigma_{n\times n},m)$ where $\mathbb{W}(\Sigma_{n\times n},m)$ denotes the ...
5
votes
1answer
208 views

Is the maximum tree-path length distributed lognormally (in the limit) ?

Consider a full binary tree with $k>10$ levels. Let the lengths of individual edges in this tree be i.i.d. random variables with finite moments. Then total lengths of the $2^{k-1}$ source-to-sink ...
0
votes
0answers
101 views

A name for this distributional condition?

I have come across a needed condition on a continuous probability distribution defined over $[0, \infty]$ and wonder whether it has a name. For a distribution with CDF $F$ and pdf $f$ I need that the ...
3
votes
0answers
146 views

Iterated Kumaraswamy distributions

The Kumaraswamy distribution has cdf $F(x;a,b) = 1-(1-x^a)^b$. Does anyone know any formulas or properties relating to iterations of this on itself, meaning $$ F_i(x;a,b) = 1-(1-F_{i-1}^a)^b$$ If ...
1
vote
3answers
763 views

Concrete examples concerning standard deviations and mean absolute deviations

Once again stackexchange is not responding to one of my questions (so far no comments, no answers, two up-votes). Hence this "crossposting": Is there a simple (or not simple?) algorithm that will ...
2
votes
1answer
470 views

What conditions on a probability distribution defined by long-time averaging do I need to satisfy a central limit theorem?

For integer $n$, $1 \le n \le N$, consider the random variables $X_n = \cos[t \omega_n]$ For any fixed $N$, we can take the mean $Y_N = \frac{1}{N} \sum_{n=1}^N X_n$ and define a (cumulative) ...
8
votes
2answers
496 views

Order statistics (e.g., minimum) of infinite collection of chi-square variates?

Hi everyone, This is my first time here, so please let me know if I can clarify my question in any way (incl. formatting, tags, etc.). (And hopefully I can edit later!) I tried to find references, ...
6
votes
1answer
1k views

Probability distributions: The maximum of a pair of iid draws, where the minimum is an order statistic of other minimums?

General question: What is the distribution for the maximum of 2 independent draws from cdf F(x), when we know that the minimum of those same two draws is the kth order statistic of the minimum of n ...