All Questions
Tagged with expectation integration
18 questions
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Proving bound on expectation of likelihood ratio involving mixtures
Let $p$ be a Lebesgue density function with infinite support (i.e. $p(x)>0 \forall x\in \mathbb{R}$ and $\int p(x) dx = 1$). Moreover, assume that $p$ is even (i.e. $p(x) = p(-x)$) and unimodal: $p(...
- 13
3
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1
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271
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Expectation on a Polish space
I was wondering, if given a Polish space $X$, and given some probability measure $p$ on $X$, can the expectation of an $X$-valued function be taken? In particular, would the integral
$\int_X x dp$ ...
- 291
1
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1
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198
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Probability of multivariant gaussian random variables in different areas
$\newcommand{\sgn}{\operatorname{sgn}}$Let $X_i$ is a gaussian random variable correlated with others. we want to find the probability of each possible case to find the expectation of following ...
- 25
0
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1
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243
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Integral form of expectation with respect to complex random variables [closed]
Let $h$ be a random variable and $g(h)$ be a real-valued function of $h$.
We know that if h is a real-random variable then:
$E_h[g(h)] = \int_{-\infty}^{\infty} f(h) g(h) dh$ where f(h) is the PDF of ...
- 13
4
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0
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249
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A tricky integral equation
In the context of reconstruction of climate data from ice cores (see related question at MSE) I came about the following problem. (More background and motivation can be given on demand.)
Let $f:\...
- 9,720
3
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1
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292
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Derivative of an integral of a Gaussian
I'd like to compute the derivative of an expected value w.r.t one of the parameters that define the mean of a Gaussian:
$ Z=\int \mathcal{N}(x;\mu,\Sigma)f(x) \, dx $, then $ \frac{dZ}{dK}=\text{??}$ ...
- 43
0
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1
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390
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expectation of log(1-x^a) if x is a beta random variable
How can I compute $\mathbb{E}_{q}\Big[\log (1-x^a)\Big]$ when the distribution of $q$ is given as $q(x)\sim\mathrm{Beta}(\alpha,\beta)$?
- 37
1
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1
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521
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Stochastic Integral + conditional expectation
Let $\overline{\widehat{Z}_i} = \frac{E_i\left[ \int_{t_i}^{t_{i+1}}\widehat{Z}_sds\right] }{\Delta t_i}$ with $\widehat{Z}$ a square integrable process, $\Delta t_i := t_{i+1} - t_i$, and $E_i$ ...
- 43
8
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3
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628
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Expected distance between two uniform points in distinct rectangles
Are there any good approximations (especially upper bounds) for the quantity $E(\|X_1-X_2\|$), where each $X_i$ is uniformly distributed in a rectangle $[a_i,b_i]\times[c_i,d_i]$? It does not appear ...
- 4,049
1
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2
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139
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Inaccurate results for the analytical expression of $\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]$
I'm trying to plot a graph for the following expectation
$$\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]=a 2^{-\frac{\kappa }{2}-1} b^{-\frac{\kappa }{2}} \theta ^{-\kappa } \...
0
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2
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246
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Finding the expectation of $a \mathcal{Q} \left( \sqrt{b } \gamma \right) $, where $\gamma$ is a Gamma r.v
I'm trying to analytically find the following expectation
$$\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right],$$
where $a$ and $b$ are constant values, $\mathcal{Q}$ is the ...
0
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1
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135
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Bounds on expectation of $X/(X^2 + c)$ with $X$ ~ Gaussian and $c > 0$
I'm trying to compute expectation of $X / (X^2 + c)$ when $X$ is normally distributed with mean $\mu$ and variance $\sigma^2$, and $c$ is some positive constant. I think this cannot be solved ...
- 11
1
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2
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73
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Expectation of $\left| \frac{(\textbf{x}+\textbf{y})^{H} \textbf{x} }{\| \textbf{x} + \textbf{y} \|^2} \right|^2$, with complex Gaussians?
Given that following two random variables $\textbf{x} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{x}^{2}\textbf{I}_{M})$ and $\textbf{y} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{y}^{2}\textbf{I}_{M})$ ...
1
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1
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126
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The expectation of binary logistics regression with respect to Gaussian distribution
I am trying to compute the expectation of $g(s,x)=s \ln \sigma(x)+(1-s)\ln(1-\sigma(x))$ with respect to the normal distribution $\mathcal{N}(x;m,v)$, where we have $\sigma(x)=\frac{1}{1+e^{-x}}$. If ...
- 37
0
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1
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121
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CDF of a RV that is the ratio between a complex Gaussian and a Chi-squared RVs
Given the following p.d.f., which is the p.d.f. of the real and imaginary parts of a random variable that is the ratio between a complex Gaussian and a Chi-squared RVs:
\begin{equation*}
f_U(u)=\exp\...
2
votes
2
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148
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Expectation of $\left| \frac{\textbf{x}^{H} \textbf{y} }{\| \textbf{x} \|^2} \right|^2$, where $\textbf{x}$ and $\textbf{y}$ are complex Gaussians?
Given that following two random variables $\textbf{x} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{x}^{2}\textbf{I}_{M})$ and $\textbf{y} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{y}^{2}\textbf{I}_{M})$ ...
2
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1
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100
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p.d.f. of $\left| \frac{\textbf{x}^{H} \textbf{y} }{\| \textbf{x} \|^2} \right|^2$, where $\textbf{x}$ and $\textbf{y}$ are complex Gaussians?
Given that the random variables $\textbf{x} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{x}^{2}\textbf{I}_{M})$ and $\textbf{y} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{y}^{2}\textbf{I}_{M})$ are ...
1
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2
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274
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Closed expression for $\mathbb{E} \left\lbrace \Re \frac{(\textbf{x} + \textbf{y})^{H}\textbf{x}}{\| \textbf{x} + \textbf{y}\|^{2}} \right\rbrace$?
Given the random variables $\textbf{x} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{x}^{2}\textbf{I}_{M})$ and $\textbf{y} \sim \mathcal{CN}(\textbf{0}_{M},\sigma_{y}^{2}\textbf{I}_{M})$ are independent, ...