The probability-distributions tag has no wiki summary.

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### Distance between the product of marginal distributions and the joint distribution

Given a joint distribution $P(A,B,C)$, we can compute various marginal distributions. Now suppose:
\begin{align}
P1(A,B,C) &= P(A) P(B) P(C) \\
P2(A,B,C) &= P(A,B) P(C) \\
P3(A,B,C) &= ...

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100 views

### Joint distribution with specified marginals

Suppose we are given a probability distribution over a finite discrete product space $p(x,y)$ with marginals $p(x), p(y) > 0$ for each $x,y$ respectively. We are given two more marginal ...

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**1**answer

59 views

### Solutions of a stochastic reduced wave equation

Given a spherical reference frame $\left(\rho,\phi,\theta\right)$, the reduced wave equation can be written as:
$$\nabla^2U=k^2n^2U$$
in which:
$U=U(\rho,\phi,\theta)$
The solutions of this equation ...

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**4**answers

897 views

### A Normal Distribution Inequality

Let $n(x) = \frac{1}{\sqrt{2\pi}} e^{-\frac{x^2}{2}}$, and $N(x) = \int_{-\infty}^x n(t)dt$. I have plotted the curves of the both sides of the following inequality. The graph shows that the following ...

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**1**answer

144 views

### Is anything known about Large Deviation Principle for non additive functionals on Markov chains?

Let $\Sigma$ be a finite set of cardinality $|\Sigma |$ and
$$\Pi = \{ \pi(i,j)\}_{i,j = 1}^{|\Sigma|}$$
a stochastic matrix (ie a matrix whose elements are non negative and such that
each row sum ...

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**1**answer

269 views

### Probability that no three events happen in a pre-defined window

Consider a Poisson process with arrival rate $\lambda$ arrivals per unit time. Given a window of time $W$ and a total of $k$ events, what is the upper bound of the probability that no three events ...

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**1**answer

415 views

### Generalized central limit theorem

I am looking for a generalized central limit theorem for non-square integrable stationary sequences. More precisely I suspect that when $(X_j)_{j\geqslant 1}$ is a stationary sequence such that $X_i$ ...

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**1**answer

982 views

### inner product of two gaussian random vectors?

Suppose that $x, y\sim N(0,I_n)$ are independent. Consider the inner product $\langle x, y\rangle$. Intuitively, $y$ behaves like a random vector of length $\sqrt n$, so $\langle x, y\rangle$ is close ...

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**0**answers

106 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} ...

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**2**answers

271 views

### Probability distribution over cluster size in Erdős–Rényi random graph.

My question is about the probability distribution over the possible size of the containing cluster of a randomly chosen node in an Erdős–Rényi random graph.
Let G(n,p) be an Erdős–Rényi random graph ...

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**1**answer

809 views

### What is characteristic function of maximum of i.i.d. random variables?

Is is possible to get characteristic function of maximum of i.i.d. random variable sequence? Such as $X_1, X_2$ are two i.i.d random variables, then what is characteristic function of ...

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**0**answers

186 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 ...

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**1**answer

420 views

### computing an integral involving standard normal pdf and cdf

recently, i need to compute this kind of integral:
$$ \int ^\infty _c \Phi(ax+b) \phi(x) dx$$
where a, b and c are all constants and $\Phi(x)$ denotes the CDF of standard normal distribution and ...

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**1**answer

134 views

### Sum of binomial probablilities

One of my friends is building a game where the player will get questions from 6 different categories. Each category has a total of 50 questions. A single game consists of answering one question from ...

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340 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 ...

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270 views

### expectation of ln(1+e^x) [closed]

x is a normal distributed variable. then what is the expectation of ln(1+e^x).
i simulated this distribution and find that when x is N(0, 100), the mean of this function is around 4.1, and when x is ...

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87 views

### Random variables related through nonlinear system of equations

I asked this question on http://math.stackexchange.com/questions/377140/random-variables-related-through-nonlinear-system-of-equations, however I received no answer for a while so I'm posting it here:
...

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**2**answers

248 views

### A sampling and learning question

Suppose there is an oracle that returns a number $b \in \mathbb{Z}_{n}$ whenever I press the button.
We have $b = a + e$, where $a \in \mathbb{Z}_n$ is a fixed number and $e$ is sampled according to ...

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### Is there a name for the set of distributions whose probability generating functions are Mobius transformations?

Consider a discrete random variable $N\in\mathbb N$ with
$\mathbb P(N=0) = p$,
$\mathbb P(N=n) = (1-p)(1-q)q^n$ for $n\neq 0$.
Then the probability generating function of $N$
$$\mathbb E(z^N) = ...

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**0**answers

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### Minimizing/Maximizing the tail of the convex combinations of Chi Squared i.i.d random variables

Consider $N$ i.i.d random variables, $X_{1}, X_{2}, \ldots, X_{N}$ , that are chi-squared of degree $K \geq 2$. Also consider the following 3 vectors:
\begin{eqnarray*}
\bar{a} &=& ...

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**1**answer

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### 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 ...

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**1**answer

193 views

### Bounding statistical distance by matching moments

Suppose we have distributions $p(x)$ and $q(x)$ both supported on integers in $[-n, +n]$. We want $p$ and $q$ to have statistical (total variational) distance of at most $\epsilon$.
Is there a ...

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**1**answer

333 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 ...

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258 views

### Expected value of the log of the factorial of a poisson distribution

I found the expression for the expected value of the falling factorial of a Poisson distribution ($\lambda^n$) from - http://en.wikipedia.org/wiki/Factorial_moment. Is there a similar expression for ...

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502 views

### Solution to the fractional differential equation

What is the solution of the fractional differential equation
$$
f^{(\alpha-1)}(t) = tf(t)
$$
where $(\alpha)$ denotes the fractional derivative of order $\alpha$
EDIT: Background behind this ...

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**0**answers

156 views

### Have you seen this one parameter family of distributions before?

This is a one parameter family of distributions. Choose some parameter $\lambda > 0$ and define the measure $\nu_\lambda$ which is absolutly continuous with respect to the Lebsegue measure with the ...

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258 views

### probability density function

Hey, what is the probability density function of the following random variable $\theta$ :
$\theta=tan^{-1}\frac{Y_1-Y_2}{X_1-X_2}$ for $X_1-X_2>0$ and
$\theta=tan^{-1}\frac{Y_1-Y_2}{X_1-X_2}+\pi$ ...

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260 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. ...

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141 views

### Weak convergence in measure for negligible sets.

Let $X$ be a Polish space and $(P_n)$ a sequence of Borel probabilities which converges weakly in measure to a Borel probability $P$. By this i mean that for any $f\in C_b(X)$ which is continuous and ...

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217 views

### Liverani's CLT (a question)

Let $(\Omega,\mathcal{F},P)$ be a probability space where $\Omega$ is a complete separable metric space, let $T:\Omega\to \Omega$ ` be an ergodic transformation, let $\hat{T}:L^{2}_{_P}(\Omega)\to ...

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### question about circular law

Hi,
I have a question about the circular law.
Consider $A_n=[x_{ij}]$ a sequence of random matrices where $x_{ij}$ are iid with mean $0$ and variance $1$. Consider $\lambda_{n,1},\dots,\lambda_{n,n}$ ...

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**1**answer

210 views

### Order of difference of two generators of cyclic group

Let $n\in\mathbb{Z}^+$ and $\alpha,\beta $ be two generators of the cyclic group $\left(\frac{\mathbb{Z}}{(2^n - 1)\mathbb{Z}},+\right)$.
Question: What are known theorems regarding the order of ...

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151 views

### Moments of the Kolmogorov distribution

Up to what order do the moments of the Kolmogorov distribution exist? References would be appreciated.

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314 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 ...

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104 views

### Inequality for square of the subgaussian distributions

Hi all,
For my research I am trying to bound some exponential moments of subgaussian r.v.'s. And I am stuck with proving one of such inequalities. More specifically:
Let $a$ be unit vector in ...

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**1**answer

151 views

### Central Limit Theorem for additive function of permutations of sequences

Fix the finite sets $\mathcal{X}$ and $\mathcal{Y}$, and probability mass functions $P_X(x)$ and $P_Y(y)$ on these sets. Assume each value of $P_X(x)$ and $P_Y(y)$ is rational.
For each $n$ such ...

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**1**answer

292 views

### Calculate channel capacity of general channel under constraint

Hi!
Given a conditional distribution $P_{Y|X}$ I'd like to find the prior distribution $P_X$ that maximizes the mutual information $I(X;Y)$ with $P_Y(y)=\int P_{Y|X}(y|x)P_X(x)\text{dx}$ (this ...

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**1**answer

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 ...

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192 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 ...

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193 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 ...

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### Distribution of the powers of a primitive element of a finite field

What are known results regarding the distribution of the powers of a primitive element (generator of the multiplicative group) of a finite field? Specifically, compare the ordered list of ascending ...

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**1**answer

452 views

### Is an L_1 bounded sequence of random variables with uniformly converging CDFs uniformly integrable?

Changing my question in light of Dan's answer. Thanks, Dan.
Consider a sequence of real random variables $X_i$ bounded in $L_1$, that is $\mathbb E\left|X_i\right|\leq M$ for all $i$. Suppose that ...

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404 views

### Concentration bounds for sums of random variables of permutations

I'm trying to find theorems regarding random variables derived from sampling permutations, specifically concentration bounds.
As an example, let $X_i$ be the $\{0,1\}$-random variable that represents ...

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**1**answer

302 views

### Probability density that minimizes the sample range

Let $\mathcal{F}$ denote the set of all "concave probability distributions" on the unit interval, that is, all functions $f:[0,1]\to \mathbb{R}$ such that $f$ is concave, $f(x)\geq 0$ for all $x\in ...

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### What is the most extreme set 4 or 5 nontransitive n-sided dice?

A set of nontransitive dice is a set of dice whose face numbers are such that the relation "is more likely to roll a higher number than" is not transitive. (See wikipedia)
For some sets, the ...

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**1**answer

77 views

### Multinomial — how many trials in order to see all the values with prob 1-\alpha

Let suppose that I have a box with $k$ different balls, each one with a different color.
At each time I have to extract a ball and observe the color. Then I put the ball back in the box.
How many ...

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**3**answers

323 views

### Support of an infinitely divisible measure.

Hello,
if $G$ is a compact Lie group. Let $\mu$ be an infinitely divisible measure on $G$, such that $e$, the neutral element of $G$, is in the support of $\mu$. Is that true that the support of ...

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74 views

### Numerical optimisation for multivariate Gaussians

Hi,
I want to calculate
$
f_{\mathbf x}(x_1,\ldots,x_k)\, =
\frac{1}{(2\pi)^{k/2}|\boldsymbol\Sigma|^{1/2}}
\exp\left(-\frac{1}{2}({\mathbf x}-{\boldsymbol\mu})^T{\boldsymbol\Sigma}^{-1}({\mathbf ...

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**2**answers

554 views

### minimum of different independent Poisson random variables

Let $X_1,\ldots,X_N$ be independent Poisson distributed random variables with unequal parameters $\lambda_1,\ldots,\lambda_N$.
Is there any closed form expression or at least a good approximation for ...

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**0**answers

725 views

### Distribution of Inverse of a Random Matrix

Recently i got stuck into a problem and couldn't find its
satisfactory answer anywhere.
My question is simple. Suppose i have a fat random matrix (i,e $R$ has dimensions $k\times d$ where $k<d$) ...