The probability-distributions tag has no wiki summary.

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### N random walkers that hit node v in a graph

Consider a finite, undirected graph G, with uniform edge weights. Assume that there are n number of random walkers that will start at different nodes (lets say n=3, hence the random walkers will start ...

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120 views

### Laplace transform of : $t^{\gamma-1} F(\alpha,\beta,\delta,t)$, where $F$ is the Gauss' hypergeometric function

What is the Laplace transform of : $t^{\gamma-1} F(\alpha,\beta,\delta,t)$, where $\gamma >0 $ and $F$ is the Gauss' hypergeometric function.
Thanks!

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37 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 ...

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203 views

### Using a probability measure, P, defined on uncountable sets to construct a probability measure, P' on singleton P-null sets

Let $\Omega$ be an uncountable set and $(\Omega, \mathcal{F},P)$ be a probability space built on $\Omega$.
Let $S \subset \{A \in \mathcal{F}: P(A)=0,\;|A|=1\}:|S|<\infty$ be a finite subset of ...

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### 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 ...

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216 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 ...

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237 views

### How to calculate $P(\sum_{i=1}^{m}(A_i+S_i)\le L)$ with $A_i,L\sim\text{exp}(\lambda),S_i\sim\text{exp}(\mu)$ and positive integers $\lambda\neq\mu$?

Recently I was stumped by the calculation of the probability
$$\mathbb{P} \big(\sum_{i=1}^{m} (A_i + S_i) \le L < \sum_{i=1}^{m+1} (A_i + S_i) \big)$$
where $A_i \sim \text{exp}(\lambda), S_i \sim ...

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74 views

### What are the generalized Gaussian laws that are infinitely divisible?

We consider the probability density, often called a generalized Gaussian density, $$f_{p,\lambda}(t) = \kappa_{p,\lambda} \exp (- \lambda |t|^p),$$
with parameter $0<p<\infty$ and $\lambda > ...

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### probabilistic distribution of given data

let us consider following model
$$y(t)=A_1 \sin(\omega_1 t+\phi_1) + A_2 \sin(\omega_2 t+\phi_2) + A_3 \sin(\omega_3 t+\phi_3)+ \ldots +A_p \sin(\omega_p t+\phi_p)+z(t)$$
we have three parameter ...

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134 views

### Push-forward density as surface integral [closed]

Let $X$ be a random variable taking values in $\mathbb R^n$ with a probability distribution $\mathbb P$ that has a density $p$.
Consider further a linear mapping $\pi: \mathbb R^n \to \mathbb R^m$, ...

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145 views

### Distribution of entries of a doubly-sorted random matrix

Take an $n \times n$ random matrix whose entries are i.i.d. with uniform distribution in $[0,1]$. Look at the sums of the elements of each row and then permute the rows so that these sums form an ...

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### 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 ...

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### Using Marchenko - Pastur type Theorems on Regression Analysis

Sometimes when doing regression analysis, we estimate our function $g(x) = E(Y |X =x )$ using an orthonormal series, and in particular we use an approximate series $g_{p_n}(x) = \sum_{k=1}^{p_n} ...

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### A question about the distributions of order statistics

Let $F_{k:n}(x)$ denote the distribution function of $k$th order statistic, i.e. $k$th lowest of $n$ i.i.d. draws from a smooth distribution $F$ with support $[0,\bar{x}]$. Then $F_{k+1}(x)-F_k(x) ...

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### Concentration of sum of powers of normals

Let $Z_1,Z_2,\ldots,Z_n$ be i.i.d. copies of a random variable $Z$ distributed as $\frac{1}{\sqrt{2}}X+i\frac{1}{\sqrt{2}}Y$ with $X$ and $Y$ independent standard Normal random variables ...

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73 views

### How to compute the limit of skewness function?

The skewness function of a list of values is:
where
$m_k=\sum_{i=1}^N (x_i-u)^k$
$u=E[x]$
The image shows the meaning of this function related to the shape of the distribution of its x values ...

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182 views

### Approximating Probability Distribution by Sampling

Consider a discrete probability distribution over $n$ events. Assume that the probabilistic kernel is a black box, that is, we can only sample from it without knowing anything about the type or ...

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### Singular distributions: Applications and Instances

Singular distributions are special mathematical objects. They have an interesting property of not having a density function, defined on a set with Lebesgue measure zero. Cantor distribution is the ...

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### Are the primes normally distributed? Or is this the Riemann hypothesis?

Forgive my very naive question. I know next to nothing about number theory, but I'm curious about the state of the art on the distribution of primes.
Let $\mathrm{Li}(x)$ be the offset logarithmic ...

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### Quantiles moments and Convergence

QUESTION:
Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence
...

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242 views

### Derive concentration bound for the derivative

It that true to conclude that if a random $f(z)$ is a sub-Gaussian random variable for a constant value of z, its derivative $f'(z)|_{z=k}$ with respect to variable $z$ is also sub-Gaussian?
In ...

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### Concentration bound for $f(w) = w \times \sin wz$

I need to find an exponential bound for $P(|S_n - \mu| > \lambda)$ where $S_n = \frac{1}{D} \sum_{i=1}^D w_i \sin w_iz$ for a constant $z$, $E(S_n) = \mu$ and $w_i$ are drawn from the normal ...

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183 views

### A calculation involving a uniform random variable quantile

THE PROBLEM:
Let $U$ be a uniform distribution and $U_{n}$ be its nth empirical distribution. Suppose $t\in (0,1)$ and $n\in \mathbb{N}$ are constants. What's the explicit expression to
...

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### Reference request: results on the asymptotic distribution of singular values related to a random orthogonal matrix

Let $Q$ be a random variable taking as its values the set of $n \times k$ real matrices with orthogonal columns, and whose distribution is the Haar measure on the Stiefel manifold $O(n)/O(n-k)$. This ...

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71 views

### Running supremmum of a Levy process

Let X be a cadlag Lévy process with $X_0=0$ and let $p$ be a real number in $[1,\infty)$. Then, the following are equivalent.
1): $X$ is $L^p$-integrable.
2): $X^*_t= \mathop{\sup}_{0\leq s\leq t} ...

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### Is any derivative of $f_1^x f_0^{1-x}$ w.r.t. $x$ integrable?

For $f_0$ and $f_1$ two continuos probability density functions on $\mathbb{R}$, by Hölder, I know that $f_1^x f_0^{1-x}$ is integrable on $\mathbb{R}$, where $0 \leq x \leq 1$. Let $l=f_1/f_0$, then ...

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### 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 ...

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138 views

### Question about characteristic function with independence assumption

Let $X$ be a random vector taking values in $\mathbb R^2$ with probability density $p(x) = p_1(x_1)p_2(x_2)$, i.e. the components of $X$ are independent.
Let $V$ be an open set in $\mathbb S^1$, the ...

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### one divided by (constant plus complex Gaussian) [closed]

Let $X$ be a circular symmetric complex Gaussian random variable with zero mean and unit variance.
Define $Y=\frac{1}{A+x}$ for some real-valued constant A.
What is the distribution of $Y$?
When is ...

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### Joint probability distribution as functions

Suppose $X$ and $Y$ are correlated random variables in a finite set ${\mathcal A}$, and let $f, g$ be functions that map elements from ${\mathcal A}$ to ${\mathcal B}$ for some finite set ${\mathcal ...

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### Angular distribution for Gaussian vector with non-zero mean

The angular central Gaussian distribution (ACG) is the distribution of $\frac{\mathbf{x}}{\|\mathbf{x}\|}$, when $\mathbf{x}\sim\mathcal{N}\left(\boldsymbol{0},\mathbf{A}\right)$, where $\mathbf{x}$ ...

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### Maximum of the expectation of maximum of Gaussian variables

Suppose $X=(X_1,\ldots,X_n)$ is a Gaussian vector with each entry $X_i$ marginally distributed as $\mathcal{N}(0,1)$. Want to find out the possible maximum of
$$\mathbb{E}\max_{1\le i\le n}|X_i|$$
and
...

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### Learning resources for Probability Distributions/Models [closed]

I've a good background in basic probability. I need to learn and get a good grip on the probability distributions and stochastic processes, counting processes, and other related topics.
I am already ...

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143 views

### Random weighted selection without replacement

I am using the following procedure to select $m$ different numbers $\{i_1,\ldots,i_m\}$ from the set $\Omega = \{1,\ldots,N\}$, with $m,N\in\mathbb{N}$ such that $m< N$.
Selection procedure
...

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### concentration of random matrices involving normal random variables

Define the random variable
\begin{align*}
A=|a_1|^2\mathbf{a}\mathbf{a}^*
\end{align*}
where $\mathbf{a}\in\mathbb{c}^n$ is a random vector distributed as ...

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### Bounds or approximations for the conditional probability of an event involving correlated random variables

Let $\tilde{\gamma_1}, \tilde{\gamma_2}, \ldots, \tilde{\gamma_N}$ be exponential random variables (RVs) that are correlated with each other. Let $\gamma_n$ be another exponential RV that is ...

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### Conditional Distribution of Inverse Wishart [closed]

Suppose $\begin{bmatrix}
K_{11} K_{12}\\K_{12}^T K_{22}
\end{bmatrix}\sim\mathcal{IW}\left(\eta,\begin{bmatrix}
\Sigma_{11} \Sigma_{12}\\\Sigma_{12}^T \Sigma_{22}
\end{bmatrix}\right)$.
What is the ...

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### General version of Skorokhod representation of random variables

Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...

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### Lipschitz continuous maps from $\mathbb R^n$ to $\mathbb R^n$ that preserve Gaussian measure?

The only ones I can think of are linear maps like rotations and permutations. Is there a more general characterization?

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### Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...

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### Gradient descent-like optimization on a convex landscape with noisy sampling

This is a rewrite of the original positing (below), and is crossposted to ...

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### 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?

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### Mean of i.i.d Random Variables With No Expected Value

Let $X$ be an integer-valued random variable and let $X_n$ be the sum of $n$ independent realizations of $X$. I would like to understand the behavior of $X_n/n$ for large $n$ in some cases where $X$ ...

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### Variance of maximum of mixture of gaussians

Let $\{X_i\}$ be an iid collection of standard normal $(N(0,1))$ random variables . Let $X = (X_1,\ldots,X_n)$, and consider a function of the form $f(X) = \max(A\cdot X)$, where $A$ is some ...

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### Is there a simple closed form solution for the joint density distribution of an exponential distribution with a rate given by a Gamma distribution?

I have an exponential distribution with rate $\lambda$, where $\lambda$ is drawn from a Gamma distribution with shape and scale parameters $(k,\theta)$. I'd like to calculate an exact PDF for values, ...

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### 1-Wasserstein distance between two multivariate normal

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by
...

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### Does this kind of integral equations have unique solution?

Suppose $f_1$ and $f_2$ are two probability density functions on support $[0,1]$ (i.e. $f_1(x)=f_2(x)=0$ for any $x\not\in[0,1]$). Let $\varphi(x)$ denote a known probability density function on ...

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### Distribution of the local time for reflected Brownian motion on the quadrant

If $W$ and $B$ are two independent Brownian motions, $X_t=W_t-\sup_{u\le t} B_u + 1$. I want to find the distribution of $S$ the first hitting time of $0$ by $X$. If someone could give me a direction ...

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503 views

### Convergence rate of the central limit theorem near the center of the distribution

I'm looking for fast convergence rates for the central limit theorem - when we are not near the tails of the distribution.
Specifically, from the general convergence rates stated in the Berry–Esseen ...

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### explicit expressions of the distribution of sums of i.i.d. logistic random variables

Where can I find the explicit expression of the distribution of the sum of n i.i.d. logistic random variables, for n=2,3,4...
The expressions given in "On the convolution of logistic random ...