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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1answer
119 views

Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...
2
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2answers
1k views

Distribution of Maximum of a uniform multinomial distribution

Hello, I'm working with a data structure which uses a uniform distribution to bucket the inputs into $k$ buckets. The efficiency of the structure is bounded by the $\frac{k_{max}}n$, where $n$ is the ...
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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5answers
9k views

Resultant probability distribution when taking the cosine of gaussian distributed variable

I am trying to do a measurement uncertainty calculation. I have a gaussian distributed phase angle (theta) with a mean of 0 and standard deviation of 16.6666 micro radians. The variance is the ...
2
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3answers
8k views

Integration of the product of pdf & cdf of normal distribution [closed]

Denote the pdf of normal distribution as $\phi(x)$ and cdf as $\Phi(x)$. Does anyone know how to calculate $\int \phi(x) \Phi(\frac{x -b}{a}) dx$? Notice that when $a = 1$ and $b = 0$ the answer is ...
5
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2answers
132 views

Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian

This is a question related to the statistical model behind independent component analysis (ICA). We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...
41
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1answer
3k views

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 ...
5
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3answers
13k 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 ...
11
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4answers
424 views

Number of intervals needed to cross, Brownian motion

Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le {j\over{2^n}}\right\},$$and let$$K_n = \sum_{j = 2^n + 1}^{2^{2n}} ...
9
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2answers
938 views

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 ...
3
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1answer
3k views

Euclidian norm of Gaussian vectors

Let $X \sim \mathcal{N}(0, \Sigma)$ be a Gaussian vector in dimension $N$. I am interested by the probability density of the random variable $\lVert X \lVert_2$. If $\Sigma = {I}_N$, we recognize ...
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1answer
202 views

Double Markovity

Suppose we have a double Markov relation for three random variables $X$, $Y$ and $W$ as follows $$X\to W\to Y,$$ and $$X\to Y\to W.$$ How to prove that there exist functions $f$ and $g$ such that ...
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3answers
279 views

An inequality based on expectation of continuous random variables

I am trying to prove the following statement: $$ E[g(X)] E[X^2g(X)]\ge E[Xg(X)] E[Xg(X)] $$ where $X$ is a random variable, $E[\cdot]$ denotes the expectation operator with respect to ...
6
votes
2answers
176 views

Gaussian and the convex hull of moment curves

Let $c_1,\dots, c_d$ be the first $d$ moments of the standard normal distribution. Does the point $(c_1,\dots, c_d)$ lie in the convex hull of the set $\{(t,t^2,\dots,t^d)\colon t\in[-b,b]\}$, for a ...
5
votes
2answers
281 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 ...
3
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1answer
138 views

Poisson kernel, expectation, an absolute value comes in

See here. Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...
3
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1answer
115 views

Is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane almost surely?

Let $d = 2$. With probability $1$, is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane?
3
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1answer
874 views

What can be said about an infinite linear chain of conjugate prior distributions?

We can sample a discrete value from the multinomial distribution. We can also sample the parameters of the multinomial distribution from its conjugate prior the dirichlet distribution. Since the ...
3
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3answers
2k views

Integral over error function and normal distribution

Help me understand why $\int_{-\infty}^{\infty}\frac{1}{2}[1+\operatorname{erf}(\frac{\theta-x}{\sqrt{2q^2}})]\frac{1}{\sqrt{2\pi\sigma^2}}{\exp(-\frac{(x-\mu)^2}{2\sigma^2})}dx \approx ...
2
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1answer
128 views

Poisson kernel is the Cauchy distribution, reference?

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Can someone give me a reference to a proof that the Poisson kernel is the Cauchy distribution?
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0answers
32 views

Interpolating a polynomial when we permute part of $y_i$'s

Let $\vec{x}=[x_1,...,x_n]$ be elements of field $\mathbb{Z}_p$, where $p$ is a large prime. $x_i \neq x_j$, $x_i \in \mathbb{Z}_p$. Note $x_i$ values are NOT picked uniformly random and they are ...
7
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2answers
2k views

Convergence of moments implies convergence to normal distribution

I have a sequence $\{X_n\}$ of random variables supported on the real line, as well as a normally distributed random variable $X$ (whose mean and variance are known but irrelevant). I know that the ...
3
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1answer
155 views

Question abouth Skorokhod representation of random variables

It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e. $$\rho(\mu,\nu)<\varepsilon,$$ then there exist two random ...
3
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1answer
180 views

distribution discretization

Let $\mu$ be a distribution on $\mathbb{R}^n$. We partition $\mathbb{R}^n$ into small cubes congruent with $[0,\delta)^n$, parallel to the axes. In each cube, pick a point $x$ (for instance, the ...
3
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1answer
238 views

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 ...
3
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2answers
5k views

Maximum likelihood estimator for Power-law with Exponential cutoff

Hi, for fitting empirical data to power-law I am aware of the work by Clauset et al. (http://arxiv.org/abs/0706.1062) and how to use maximum likelihood estimation. There exists also a simple maximum ...
2
votes
1answer
127 views

Maximal component of a multivariate Gaussian distribution

Suppose you have a general random Gaussian vector $\mathbf{X}\sim\mathcal{N}\left(\boldsymbol{\mu},\boldsymbol{\Sigma}\right)$. I'm looking for the simple way to calculate the distribution of the ...
1
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1answer
115 views

Question abouth Skorokhod representation of random variables (II)

This is a continuation of Question abouth Skorokhod representation of random variables Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that $$\int_{\mathbb R}|x|^pd\mu(x),~ ...
1
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1answer
241 views

Set of distributions that minimize KL divergence,

Assuming that $p,q$ are probability distributions defined on the same support $\{x_i\}_{0 \leq i \leq n}$, $\epsilon$ a small real number, and $D_{KL}$ the Kullback-Leibler divergence, is there a ...
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0answers
50 views

Majorization in distributions of subsets

The subsets of a set $N=\{1,2,\ldots,n\}$ form a lattice, with larger sets being higher up, and a subset $B$ connected to another subset $A=B\cup\{x\}$ (for any $x\not\in B$) higher up by a "pipe". ...
0
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1answer
193 views

Volume of randomly changing sphere follows beta distribution

We are given $X,X_1,\ldots,X_N$ independent and identically distributed $k$-dimensional vectors. For a given query point $X_q\in\mathbb{R}^k$ assume without loss of generality that $X_1,\ldots,X_m$ ...
-1
votes
1answer
128 views

Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measures on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as $$D(Q\|P)=\int_X \log(\frac{dQ}{dP})dQ,$$ ...