Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies.

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101 views

envelope function for a linear combination of gaussian distributions

Given a distribution $F$ defined as a linear combination of Gaussian distributions: $F = \sum_{i=1}^n C_i*N(\mu_i,\sigma_i)$ with $\sum_{i=1}^n C_i = 1$ I want to find a Gaussian function $Q = ...
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1answer
85 views

Convergence to a k-dimensional Gaussian vector

Suppose I have a sequence of stochastic processes $X_{N}(t)$, $N=1,2,3,\ldots$ with mean zero and that I know for every fixed $t$, the random variable $X_{N}(t)$ converges in law to a Gaussian random ...
4
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3answers
409 views

Incremental entropy computation

After a quick internet search I found no method for incremental entropy computation. Question 1 Let $\{x_i\}_{i=1}^n$ and $\{x_i\}_{i=1+n}^{n+m}$ be two samples and let $S_i^j:=\sum_{k=i}^j x_k$. ...
2
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0answers
93 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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3answers
286 views

Random infinite sequence : Can machines generate truly random sequences. [closed]

Test : "A True Random Sequence Source and a computer producing a certain sequence of numbers are kept in separate rooms and judges try to tell them apart by conducting a series of tests on the ...
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41 views

Statistics applied in A/B Testing and calculating ideal test duration for statistical significance

I'm trying to get my head around the maths used here: http://visualwebsiteoptimizer.com/ab-split-test-duration/ Can someone point me in the right direction in terms of what algorithms/mathematics ...
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0answers
41 views

Chi-square approximations for censored data

If you are working with censored data (that is, you only know a lower bound for the value of some observations), can you still use the Chi-square approximation for the statistic $D \equiv ...
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203 views

Testing contrasts in statistics: Is this provably a hard problem, or not?

Scheffé's method for identifying statistically significant contrasts is widely known. A contrast among the means $\mu_i$, $i=1,\ldots,r$ of $r$ populations is a linear combination $\sum_{i=1}^r c_i ...
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1answer
68 views

How to simulate random paths of a non-homogeneous continuous-time Markov process with discrete state space for a given infinitesimal generator matrix?

Let $X=(X_{t},t \in T)$ be a non-homogeneous, continuous time Markov process with a finite state space S={1,...,K}. Let $\alpha_{i,j}(t)$ be the hazard rates of some $\varGamma$-distributed random ...
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0answers
58 views

Importance sampling of finite path of stochastic difference equation

Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ ...
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87 views

Orthogonal transformation on random matrices

Let $A$ and $B$ be two random matrices such that $A = U^T B V$. Here $U$ and $V$ are deterministic and orthogonal matrices. The random matrices $A$ and $B$ have the same distribution?
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51 views

Distribution for probability of an incorrect inference based on a comparison of only two samples?

I'm trying to demonstrate the problems of how taking a sample and assuming it reflects the population accurately can be problematic. Imagine say an urn with some large number of balls, black and ...
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2answers
224 views

A machine learning application question

I am familiar with basic probabilities, random processes but not so much of machine learning methods. This is the problem I am trying to solve. I want to predict the nature of user activity on a ...
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1answer
98 views

What is the Bahadur-Anderson Algorithm?

What is the Bahadur-Anderson Algorithm, and which book could one read to learn it?
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0answers
61 views

repeated application of binomial distribution on a set of random variables

I have four solutions which are termed: A1, A2, A3, A4. These are actually the results of a searching algorithm. I know that A1 is the best solution, A2 is next to A1, A3 is next to A2 and A4 is the ...
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0answers
162 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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0answers
30 views

What is the reliable way to find the errors on the eigen values of a covariance matrix?

My question may be a bit lousy. Suppose we have a set of statistical variables X1, X2, .. Xn, and we have N independent samples. We can compute the covariance matrix of {X}. My question is: Is there a ...
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1answer
134 views

How to combine correlated signals !? [closed]

Hi everybody There are 11 signals: S_main : The original signal S1 ~ S10 : 10 signals that are correlated to S_main with different correlation coefficients (coeff1 ~ coeff10) Now here's the ...
2
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0answers
313 views

Concentration of sum of independent random variables

Let $X_1, ..., X_n$ be i.i.d. sub-Gaussian random variables with mean $0$ and variance $1$. That is, we have $Pr[|X_i| > t] \leq \exp(1-t^2/K^2)$ for all $t>0$ and a parameter $K$. Then we can ...
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0answers
323 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 ...
2
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1answer
351 views

correlation for three variables? [closed]

suppose we have three variables here, x,y, z now, what we know is that the correlation between x and z is 0.6, the correlation between y and z is 0.65. Here is the question, is there any formula to ...
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128 views

Normal correlation theorem in Banach spaces

I am looking for a version of the Bayesian Linear Model in Banach spaces. Background: the finite dimensional case The following is a well-known theorem about normal correlation for ...
3
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2answers
268 views

Probability distribution for two-state system that depends on residence time

I am a statistical physicist, and I've come across a problem that I don't know how to solve. I believe my issue lies with how to formulate it mathematically. I'd be very grateful for any assistance, ...
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3answers
390 views

Probability that one RV will exceed many others

Assume the $1 \times N$ vector $\mathbf X = [X_1, X_2, \ldots , X_N]$ contains i.i.d. normal samples such that $\mathbf X$ has a multivariate normal distribution. Now assume another random variable ...
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0answers
105 views

Placing Bounds on Correlation/Covariance Through Correlation with an Intermediate Variable

I am trying to make the most of computations that have already been performed in previous steps of an algorithm. Throughout this problem statement I am only mentioning correlation, but I think it is ...
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1answer
118 views

Transition time in finite voter model

I believe the following problem is related to something called the "voter model" in statistics. This is not my area of expertise so please forgive me if the answers turn out to be well known. ...
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1answer
100 views

ROC curve with repeated measures

Hi, I have some repeated measures data, one measurement a day for three days in a row, and the measured variable looks normally distributed. I have two groups, the "really ill" and the "not ill after ...
3
votes
1answer
172 views

Exact sampling from 2D Ising model where coupling is constant?

What progress has been made towards sampling from the 2D lattice Ising model with the following Hamiltonian: $H=-J\sum_{\langle i,j \rangle}S_iS_j - \sum_i b_iS_i$ Where the first sum runs over all ...
2
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1answer
319 views

Expectation of the trace of an inverse of a random matrix

Given a $N \times M$ matrix $X$ comprised of standard normal entries ($M > N$), I'm interested in approximating $E[trace((XX^T\frac{\gamma}{M} + I)^{-1}]$ in terms of $N, M$ and $\gamma$. ...
2
votes
1answer
223 views

The first eigenvalue of a branching process matrix

Let $M$ be the real square matrix of a typed branching process, such that $M_{ij}$ is the expected value of offspring of type $j$ emanating from type $i$. We know that if the first eigenvalue if $M$ ...
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1answer
49 views

On Variance Break detection

Say that the variance of a constant mean scalar stochastic process can take finite number of values. The problem is to detect the the point of break in variance as observation data comes in. I tried ...
2
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1answer
205 views

Estimator for sum of independent and identically distributed (iid) variables

This interesting question was asked at http://math.stackexchange.com/questions/231455/estimator-for-sum-of-independent-and-identically-distributed-iid-variables a while ago but got no answers. The ...
2
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0answers
86 views

A simplified MCMC / MH algorithm. Are there known convergence results?

Hi, I hope this isn't too basic. We were working on a simulation using a Monte Carlo Within Metropolis algorithm and noticed that the whole thing could be expressed in the form below and simplified ...
0
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0answers
138 views

Spectral densities and their corresponding covariance functions.

Hey guys, I'm currently doing a course in stochastic processes and have come across something that has been wrecking my mind for a while. So, let's say that I have some even, symmetric function ...
3
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1answer
398 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
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1answer
236 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 ...
0
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1answer
149 views

How many ways we know to join two line segments with a smooth transitional function?

This topic was created to discuss how many ways we know to create piecewise linear functions with smooth transitions between the phases. An alternative is presents by Bacon & Watts (1971): the ...
0
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1answer
377 views

Has the controversy about *fiducial distribution* been settled? [closed]

Has the controversy about the correct meaning of Fisher's notion fiducial distribution meanwhile been settled? And are there newer applications than quoted in the following literature? G.P. Klimov: ...
9
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3answers
425 views

Rapid evaluation of multivariate normal integral

I'm implementing a model that requires me to numerically evaluate a multivariate normal integral of the following form $$\int_{-\infty}^\infty \phi(z)\displaystyle\prod_{i=1}^N \Phi(a_iz+b_i) \, ...
15
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1answer
398 views

The Chow & Robbins game ≈ 0.79295350640: improvements could come from simple statistics, or from a continuous version of the game

This question seeks help with improving a numerical estimate of the value of the Chow and Robbins game. Much about this game is unknown, such as whether its value is rational, but there are two routes ...
0
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1answer
112 views

Expression for the square of the correlation of two Gaussian variables as an expectation value

Dear all, I might just be blind, so forgive me if it is a trivial question. Given two normally distributed variables $x_1$ and $x_2$ (with zero mean), their correlation $c$ can be estimated from the ...
2
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1answer
104 views

How to calculate average lifespan of a new population?

What's the best estimate one can make about the average lifespan of a new population? For instance, let's say an alien kind of life came to earth and we're able to breed then. We then get 1000 aliens ...
3
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1answer
168 views

Is the Binomial Expectation of a Multivariate Convex Function Convex in the Vector p?

Let $\mathbf{p}=(p_1,\dots,p_m)$ be a vector in $[0,1]^m$ and let $\mathbf{X}=(X_1,\dots,X_m)$ be a vector of independently-distributed binomial random variables such that $X_i\sim ...
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0answers
86 views

Two Different Representations of Multivariate Bernstein Polynomials

In the literature the multivariate Bernstein polynomial of a function $f:[0,1]^m\rightarrow\mathbb{R}$ is often defined as the following: $$B_{f,n}(x_1,\dots,x_m)=\sum_{\mathbf{k}\in ...
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2answers
425 views

Concentration of sum of pairwise squared Euclidean distances of random vectors

Let $X_1, \ldots, X_n $ be independent random vectors in $B(0, D) \subset R^d$ ($\ell_2$ ball of radius $D$ centered at the origin). I am trying to find the concentration of the following quantity ...
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0answers
173 views

Is connected correlation/cumulant expansion additive?

Say X is a free field or a Gaussian random variable. Then I want to analyse the connected correlation, $<(X + a (X^2 - \langle X^2 \rangle))^n>_c$ I think that for $n \geq 4$ there are no ...
2
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1answer
125 views

Optimization problem

I'm trying to solve a very practical optimization problem and I think I hit a dead-end. There are $N$ products ($N \sim 50$). Each product can have a price $p_i$ in range between 1 and 40 dollars. ...
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1answer
145 views

Moments of the Kolmogorov distribution

Up to what order do the moments of the Kolmogorov distribution exist? References would be appreciated.
4
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2answers
310 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 ...
2
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1answer
288 views

Probability Density Optimization

I am working on an optimization problem which I am stuck on towards the end. Essentially, I have two probability density functions in $\mathbb{R}^2$, call them $q(x,y)$ and $p(x,y)$, now I define ...