In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

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40 views

What is the inverse of the integrated $\chi^2$ function?

I am implementing some preprocessing of variables in the context of a paper called A Neural Bayesian Estimator for Conditional Probability Densities. It states: 1.) Given a non-linear, a monotonous ...
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0answers
13 views

Constrained optimization with an integral [on hold]

I am trying to maximize the parameters $\alpha$ and $\beta$ of the following equation $ max_{\alpha, \beta} \sum_{n=1}^N ln (q(\lambda, \beta)) + \sum_{n=1}^N \sum_{k=1}^K \alpha_k \psi_k(\lambda)$ ...
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0answers
34 views

What's the name of the following distribution? [on hold]

What's the name of the following distribution? $f(\lambda, \beta)=\frac{\beta}{2\alpha\Gamma(1/\beta)}e^{-\frac{(x-\mu)}{\beta}}$ I copied the formula from wikipedia a while ago but I cannot recall ...
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1answer
270 views

Supremum of a martingale

Let $(X_n)$ be a martingale. What can be said about the distribution of its maximum over a window of fixed length: $$M_n = \max_{n-10 \leq k \leq n} X_k$$ or about the "range" over a window: $$R_n = \...
3
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1answer
71 views

Tail bound for product of normal distribution

Let $U, V$ be two standard normal random variables with covariance $cov(U,V) = \beta \in [0,1)$. Let $W = UV$ be the product of two RV's, and $W_1, W_2, \ldots, W_n$ be n i.i.d copies of $W$, what's ...
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0answers
65 views

How to prove this Gaussian Mixture theorem? (Fitting/Overfitting)

Note from OP: I gave up and reposted this Question with a Bounty on Cross Validated HERE. In certain applications, we approximate an unknown pdf by placing uniformly weighted Gaussian terms at each ...
2
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1answer
552 views

Calculate channel capacity of general channel under constraint

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 corresponds ...
1
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1answer
105 views

Convexity of truncated expectation

Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$. Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
-1
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0answers
13 views

Markov Chain: Number of communicating classes of a power of the irreducible transition matrix [closed]

Suppose $P$ is an irreducible transition matrix, with period $d$. Consider the transition matrix $P_k$. In terms of $d$ and $k$, how many communicating classes does $P_k$ have, and what is the period ...
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15 views

Statistical problem: What are the a priori probabilities for a given x that these properties hold? [closed]

This is from an explaining of input perturbation on DB on Privacy course, anyway there's this calculation but I don't get the outcome of 40.5% Data: $$ 0≤x≤1000,\quad p(x=0)=0.01,\quad p(x≠0)=0....
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0answers
73 views

Looking for an exposition of a certain theorem of Talagrand

The following is a theorem by Talagrand (as stated here, http://arxiv.org/pdf/1511.08609v1.pdf), Let $(X, \mu)$ be a probability space. Let $F : X \rightarrow \{0,1\}$ be a family of functions ...
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2answers
613 views

On the sum of uniform independent random variables

Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$? ...
2
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1answer
79 views

Bound on the total variation distance for multiple samples $d_{tv}(P^n,Q^n)$

Given two discrete distributions $P$ and $Q$, with computable total variation distance $d_{TV}(P,Q)=||P - Q||_1$, is there a precise bound for $d_{TV}(P^n,Q^n)=||P^n - Q^n||_1$, as need to estimate ...
3
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1answer
410 views

Bounds on $\int \log(1+x) g(x) \mathrm{d}x$?

Let $X$ and $Y$ be two continuous real random variables with common support $(0,x_{\max}]$ and with PDF $f_X(x)$ and $f_Y(y)$. Assume that $\Pr [Y\geq\beta \mid X<\beta] \leq k$ and that $\Pr [Y<...
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0answers
95 views

Radon-Nikodym for continuous time processes

Likelihood theory for statistical inference concerning stochastic processes in continuous time are well used. How ever i've found no real literature concerning the fundamentals. What is know from ...
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2answers
56 views

Reference for the monotonicity in $\alpha$ of the Rényi entropy

I'd like to have a reference for the property $0 \leq \alpha < \alpha' \leq \infty \implies R_\alpha(\mu) > R_{\alpha'}(\mu)$, where $R_\alpha(\mu)$ is the Rényi entropy of order $\alpha$ of a ...
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0answers
57 views

Bounding a distribution using moments

Suppose $X$ is a non-negative random variable with bounded image. I was wondering if anybody knew of any results that could answer a question of the following type: Suppose the $n$-th moment satisfies ...
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0answers
31 views

information about composite random process

I have a following composite random process $$X_j = v_0 + 1/j^2 + Y_j + Z_j$$ where $v_0$ is a constant, $Y_j \rightarrow 0$ almost surely as $j\rightarrow \infty$ and $Z_j \sim N\big(0, \frac{a^{2j}...
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1answer
29 views

Discretization of a continuous distribution

For a research project I work with continuous distributions, like the normal distribution. In my use case however the random variable Z generally follows a normal distribution, though it can only take ...
5
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69 views

Distribution of Random Knots from Braids

Let $R_{2n,l}$ be a random braid word of length $l$, where each letter is chosen uniformly from the braid generators of $B_{2n}$, $\{\sigma_1,\ldots,\sigma_{2n-1},\sigma_1^{-1},\ldots,\sigma_{2n-1}^{-...
7
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2answers
327 views

Maximal entropy distribution with given conditionals

It is well known that of all the joint distributions $p(x,y)$ with fixed marginals $p(x),p(y)$, the one with the highest entropy is: $$ p(x,y)=p(x)p(y). $$ Suppose instead that we have conditionals. ...
6
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1answer
276 views

Functional limit theorem under random change of time

FINAL EDIT: There is one main question left: According to the answer, we have choosen $\theta=1$ , where we could choose $0<\theta<\infty$ as we like. His this sufficient, if we regarde the ...
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0answers
34 views

Expression for Joint-PDF of Langevin equation?

How to derive exact or approximate analytical expression for time-dependent joint-PDF (velocity-coordinate PDF) for Langevin equations of Brownian motion? Langevin equations is: $\dot{x}=v$ $\dot{...
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1answer
42 views

Maximizing joint entropy?

I'm stuck trying to find the maximum entropy probability distribution taking into account a joint distribution. Basically, I want to find the maximum entropy expression for $p(x,y)$ when the marginal ...
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1answer
47 views

Conditioned sum of n Poissons versus unconditioned Poissons

Let $\theta >1$ and take independent random variables $Z_k \sim \text{Poisson}(\theta/k)$ for $1 \leq k \leq n$ and let $Z_k^*$ have marginals like the $Z_k$ conditioned on $\sum_1^n k Z_k = n$: $$\...
2
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1answer
139 views

Ask for a special function related to the error function

I am wondering whether anyone knows the following integration has a named special function or a reference $$ F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y $$ for ...
1
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1answer
48 views

A generalization of negative binomial distribution

Assume we have a set of n balls. For each step, we uniformly pick one ball and label it if it is not labeled. Or otherwise move on to next step. I am wondering what is the distribution of number of ...
5
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3answers
14k 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 ...
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1answer
189 views

connection between the statistical properties of a scalar field and its columns

Consider a scalar field $s:[0,1]^3 \to \mathbb{R}$ and its "column" field \begin{equation} c: [0,1]^2 \to \mathbb{R}: (x,y) \mapsto \int_0^1 s(x,y,z) \,\mathrm{d}z. \end{equation}. What can be said ...
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0answers
26 views

Product of lognormal random variables

Let $X_1$ and $X_2$ be two normal random variables. Write $X_1\sim N(\mu_1, \sigma^2_1)$ and $X_2\sim N(\mu_2, \sigma^2_2)$, to fix ideas. Consider the corresponding log-normal random variables: $...
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0answers
39 views

Characterize Linear Transformation of Dirichlet Distribution

Let $X=(X_1,....,X_K)\sim{}\text{Dir}(\alpha_1,...,\alpha_K)$ be a Dirichlet distribution with parameters $\alpha_1,...,\alpha_K$. Let $A$ be a non-singular linear map and $(Y_1,....,Y_K)=A(X_1,....,...
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36 views

Proving Fixed Point Algorithms

In Thomas Minka's paper on Estimating the Dirichlet Distribution (link here http://research.microsoft.com/en-us/um/people/minka/papers/dirichlet/minka-dirichlet.pdf), the author presents a fixed ...
2
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0answers
40 views

Existence of probability distribution satisfying upper/lower bounds on events

Suppose we have a finite sample space $S$ and some events $A_1, \dots, A_k \subseteq S$. We would like to put a probability distribution on $S$ so that no element has probability greater than a ...
25
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1answer
2k views

When should we expect Tracy-Widom?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
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60 views

The role of absolute continuity in stochastic ordering defined over sets of probability distributions

This question is about a claim given in this paper (page 261, the remark), but without any proof. It simply says that if two sets of probability distributions, $\mathscr{P}_0$ and $\mathscr{P}_1$ (...
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0answers
31 views

On the numerical range of non-self adjoint Gaussian matrix

For a complex $n \times n$ matrix $A$, its numerical range is the set $$W(A) = \left\{\mathbf{x}^*A\mathbf{x} \mid \mathbf{x}\in\mathbb{C}^n,\ \|x\|_2=1\right\} .$$ We can further define the ...
2
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0answers
171 views

Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process $$ dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0 $$ where $a\in (-\infty,+\infty), b&...
4
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1answer
80 views

On the eigenvalues' distribution of random unitary

Fix an integer $d$, let $\mathbb{U}_d$ be the $d\times d$ unitary group. For any $U\in \mathbb{U}_d$, define $\Omega(U)$ be the length of the smallest arc containing all the eigenvalues of $U$ on the ...
5
votes
1answer
136 views

Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution

Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where \begin{equation} Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}. \end{equation} To ...
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0answers
62 views

Multimodal property of polynomial logistic distribution

Let $P(x)$ be a polynomial (of an odd degree $n$) strictly increasing on $(-\infty, +\infty).$ Then $F(x)=\displaystyle \frac{1}{1+\exp\{-P(x)\}}$ is a distribution function of a polynomial logistic ...
2
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1answer
66 views

Median of a uniform multinomial variable

Let $k\in\mathbb N^+$ be a positive integer. Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$. For $i\in \{1,2,\...
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0answers
29 views

Expected number of perfect matchings in bounded degree bipartite graphs

Consider collection $\mathcal C_{n,n,\Delta}$ of every $2n$ vertex balanced bipartite graph of average degree $\Delta$. What is the expected number of perfect matching a graph in $\mathcal C_{n,n,\...
3
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1answer
98 views

Reference request for a result regarding density of induced probability measure under a submersion

Let $\pi: M \to N$ be a smooth submersion from a bounded open subset of $\mathbb{R}^m$ onto $ N \subset \mathbb{R}^n$, $m \geq n$. Further, let $M$ be given a probability measure $\mu$. Then the map ...
5
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1answer
214 views

Estimate of incomplete binomial integral

Let $0\le k \le n$. Prove that $$ n\binom{n}{k}\int_{0}^{\frac{k}{n+1}}t^k(1-t)^{n-k}\,dt \le 1/2. $$ As far as I know 1) it is proved for $\frac{k}{n+1}\le 1/2$ and 2) not proved for $1/2 <\frac{...
3
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0answers
34 views

Joint distribution on order statistics and sample history

If samples $X_1, X_2, ... X_t$ are picked independently and identically from the discrete uniform distribution $[1,2, ..., P]$, what is the joint distribution of the last $k$ order statistics and last ...
5
votes
2answers
147 views

Expected number of changes in the sign of a rolling sum of independent normal variables

Imagine we define $Y(t+n)= X(t+1)+.....+X(t+n)$ where $X(i)$ is an independent normal (i.e. everyday we remove the starting observation and we add a new one). We have $n$ consecutive observations of $...
1
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0answers
51 views

BM hitting times with exponential killing process

Assume a BM in 3d domain (infinite) with a small absorbing subdomain (cube, sphere, ect), centered at point $p_s=(x_s,y_s,z_s)$ . BM starts at point $p_0=(x_0,y_0,z_0)$ and when it riches the ...
2
votes
1answer
97 views

Variance of the normal CDF [closed]

Several threads (e.g. Integration of the product of pdf & cdf of normal distribution ) have shown that $E[\Phi(x)]=\Phi(\mu/\sqrt{\sigma^2+1})$ when $x\sim N(\mu,\sigma^2)$. I'd like to compute ...
1
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1answer
73 views

Fundamental difference between Poisson Point Process and Binomial Point Process

What is the fundamental difference between Poisson Point Process and Binomial Point Process? I am evaluating a solution in a Binomial Point Process setup. If I want to evaluate that in a Poisson ...
7
votes
1answer
107 views

Choosing a sample based on where the density function is highest

Is there a name for the following process? Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...