0
$\begingroup$

Let $X_1,X_2,...,X_n$ be a fixed number of Bernoulli random variables. My problem is to find a distribution for $Y$ such that for some function $f$, we have $Y=f(X_1,X_2,...,X_n)$. There are two candidate functions to use, $max$ or $avg$. I have no idea if an average function would work here or not but I think it'd give me a meaningful result.

I have looked into similar problems and mostly found the cases where $X_i$ are continuous random variables. Any hint on this problem is highly appreciated.

Thanks!

$\endgroup$
4
  • $\begingroup$ Are the variables $X_1,\dotsc, X_n$ independent? $\endgroup$ Apr 4, 2012 at 19:40
  • 1
    $\begingroup$ I don't think this Q is right for this site - try math.stackexchange.org $\endgroup$ Apr 4, 2012 at 20:50
  • $\begingroup$ Or possibly stats.stackexchange.com :-) $\endgroup$
    – David Roberts
    Apr 4, 2012 at 21:41
  • $\begingroup$ Yes, the variables are independent. Why this is not a right question for this site? I have seen a similar question but with differences on this site! $\endgroup$
    – isec
    Apr 5, 2012 at 0:16

1 Answer 1

2
$\begingroup$

I agree that this question is rather elementary for this site but since Easter is around the corner...

Assume the $X_i$'s are independent. Suppose that $X_i$ takes the values $a_i$ and $ b_i $, with probabilities $p_i(a_i)$ and respectively $p_i(b_i)$, where $p_i(a_i)+p_1(b_i)=1$. Without loss of generality we can assume $a_i< b_i$.

The vector valued r.v. $\vec{X}=(X_1,\dotsc, X_n)$ is distributed on the set $V$ of vertices of the parallelepiped

$$ P=\prod_{i=1}^n [a_i,b_i]. $$

A vertex $\vec{v}$ of this parallelepiped has coordinates

$$ \vec{v}=(v_1,\dotsc, v_n),\;\;v_i\in\lbrace a_i,b_i\rbrace. $$

The probability that $\vec{X}=\vec{v}$ is

$$p(\vec{v})=\prod_{i=1}^n p_i(v_i). $$

In other words, the probability distribution of $\vec{X}$ the measure

$$\vec{\mu}=\sum_{\vec{v}\in V} p(\vec{v})\delta_{\vec{v}}, $$

where $\delta_{\vec{v}}$ denotes the Dirac measure on $\mathbb{R}^n$ concentrated at $\vec{v}$. The distribution $\mu$ of $f(\vec{X})$ is a sum of Dirac measures

$$ \mu=f_*(\vec{\mu})=\sum_{t\in \mathbb{R}} w_t \delta_t, $$

where

$$w_t =\sum_{f(\vec{v})=t} p(\vec{v}). $$

In the end the problems reduces to identifying which of the vertices of $V$ lies on a given level set of $f$ which may not be easy for a complicated $f$. If $a_1=\cdots =a_n=a$, $b_1=\cdots =b_n=b$, $p_1(a)=\cdots =p_n(a)=p$ and $p_1(b)=\cdots = p_n(b)=q=1-p$ the above formula simplifies somewhat.

$\endgroup$
3
  • $\begingroup$ Well, thanks for the answer but I do not see why this should be such an elementary question for the site. Anyhow, I'd say the problem is already simplified since a and b of each X_i is known. We only have $X_i: D -> {0,1}$ and I can also fix $f$ to be a $max$ function. $\endgroup$
    – isec
    Apr 5, 2012 at 21:00
  • $\begingroup$ This question is an exercise typically assigned as homework in an introductory graduate course on probability. $\endgroup$ Apr 6, 2012 at 0:23
  • $\begingroup$ For me this was a question to answer as part of a research project. So, with limited knowledge of probability, I needed a hint not even a complete answer. If it was a homework, then I'd have known the answer by reading my book and listening to the lectures. $\endgroup$
    – isec
    Apr 9, 2012 at 13:58

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.