All Questions
Tagged with pr.probability st.statistics
1,134 questions
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Lower bound on difference between polynomials at moderate distance
Fix $r > 0$ and $k, n \in \mathbb{N}$. Also consider a function $f: \mathbb{R}^{d} \rightarrow \mathbb{R}$. Let $x_{1},\ldots, x_{n+1}$ be points chosen uniformly from $[-r,r]^{d}$. For $1 \leq i \...
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2
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136
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What are some examples of isotrophic sets?
What are some examples of isotrophic sets? and is there a "good" way to describe them?
Isotrophic meaning that a random vector X uniformly distributed in the set has the isotrophic property for all $...
- 24.8k
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4
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952
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What does it mean when we say we have computed a number to a certain accuracy using a probabilistic algorithm?
My intention is to ask a general question about probabilistic (Monte Carlo) algorithms. But to keep things simple, I will focus on a few specific examples.
Let me start the discussion with ...
CommunityBot
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limit distribution of multinomial distribution with increasing categories
If $\bf{X} \sim \text{multi}(n,p)$ with $k$ categories, we know
$$ \sqrt{n}\left( \frac{\bf{X}}{n} - \bf{p} \right) \rightarrow^D N(0,\Sigma),$$
where $\bf{X}=(X_1,\ldots,X_k)^T$ and $p=(p_1,\ldots,...
- 24.8k
6
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1
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How to check if a symmetric random variables is the difference of two iid symmetric random variables
I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...
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1
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694
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Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?
Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...
- 6,541
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98
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Finding a general form of the density function when we have a four dimensional random variable
Consider a subject having time of the specific event $T_i$, which is a single sample from a
distribution $F_i$ with density $f_i$ and support
$[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...
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3
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6k
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What is quantum Brownian motion?
It seems that the current state of quantum Brownian motion is ill-defined. The best survey I can find is this one by László Erdös, but the closest the quantum Brownian motion comes to appearing is in ...
- 846
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1
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804
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Proof for power-law tail of Poisson-Dirichlet distribution (Pitman-Yor process & Zipf's law)
I'm trying to understand the motivation of using Pitman-Yor (PY) processes in language modeling, in particular Teh's hierarchical LM based on PY processes. A motivation frequently stated in research ...
CommunityBot
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179
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Is there an efficient algorithm for sampling from the negative hypergeometric distribution? [closed]
I'm writing a small statistics library currently. One of the algorithms I'm implementing has two variants: one that samples the hypergeometric distribution and one that samples the negative ...
- 6,210
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1
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181
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How to extend Dirichlet distribution to Dirichlet process
For a Dirichlet process, there are two parameter $\alpha$ and $H$, and the Dirichlet process $X$ is defined as
$$(X(B_1),\cdots,X(B_n))\sim Dir(\alpha H(B_1),\cdots,\alpha H(B_n))$$
where$\{B_i\}_{i=1}...
- 1,765
3
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1
answer
171
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Unbiased sample from a product
Let $X = (x_1,\ldots,x_n)$ be an i.i.d sample from distribution $F%$ and let $y = \prod_{i=1}^n x_i$
Can we derive a randomized, unbiased. estimator $\hat{y}$ of $y$ that on average considers only a ...
- 1,902
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2
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372
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Random Vornoi Diagrams (particular measures)
This is my second question about Random Voronoi diagrams, in my first question was given some excellent advice but i was not clear in explaining what i was looking for.
I'm interested to know ...
CommunityBot
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2
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1k
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Random Voronoi Diagrams
I'm interested in what research has already been done with regards to the statistics of random voronoi diagrams. I have had a look on google scholar and results are a little inconclusive. I'm ...
- 151k
2
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2
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268
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Distribution of a random walk on a directed line
Is there a closed formula for the distribution of $x_t$ in the following random process, describing a random walk on a directed line?
$x_0 = n$
$x_t$ is a uniformly random integer between 1 and $x_{...
- 1,902
1
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1
answer
181
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Distance between two distribution of image
I am looking for a common distance method to compare two distribution (ex: histogram of image). Please suggest to me some common method to do it. I found some method ex: Bhattacharyya distance , K-L ...
- 3,486
3
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1
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326
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Two matrix Fisher distributions on SO(3)?
After the uniform distribution (normalized Haar measure), the matrix Fisher distribution seems to be the most popular probability distribution on the Lie group SO(3). The density is proportional to ...
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2
answers
1k
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Gaussian expectation of an exponentiated outer product
Given a normal random column vector $\mathbf{x} \sim N(\mu, \Sigma)$, I need the expectation,
$$ E\left[ \exp(\mathbf{xx}^\top)\right]$$
where $\exp(\cdot)$ is element-wise exponential function (not ...
- 290
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1
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1k
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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 ...
CommunityBot
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1
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1
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207
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An efficient method to find the MLE of the combination of two point processes
I have a point process defined in two parts as follows. Consider first the main process which we call $A$ which is homogeneous Poisson process with conditional intensity
$$\lambda(t) = \mu$$
For ...
CommunityBot
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6
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1
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526
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Is there a mistake in Vapnik's "Basic Lemma"?
I have a concern about the "Basic Lemma" which Valdimir Vapnik states and proves in his 1998 book Statistical Learning Theory (ch. 14.3, pp. 574–76): It seems like a certain coefficient should have ...
- 24.8k
3
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1
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372
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Estimating total variation distance from a given distribution
Given a known distribution supported on a finite set of $n$ elements with probabilities $p_1, \dots, p_n$ and an access to an unknown distribution $q$ is it known what is the number of samples from $q$...
CommunityBot
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2
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1
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169
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higher-level independence of three or more correlated RVs
I'm hoping for some help in nailing down a vague idea about independence. It starts with finding the expectation of a product of three RVs (or more, but I'll stick to three for now). These are not ...
- 3,069
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1
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227
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two correlated processes
I apologize if this question is not placed in the right place. But I am having a hard time to figure it out. It would be greatly appreciated if some one could help me out.
Assume that there are two ...
CommunityBot
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3
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2
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177
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Sampling from maximally skewed stable distribution
I am reading a paper which refers to a maximally skewed stable distribution $F(x;1,-1,\pi/2,0)$ . Is there an efficient way to sample from this distribution?
If $X$ has distribution $F(x;\alpha,\...
- 3,377
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3
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1k
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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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251
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Inflated independent samples for Monte Carlo estimation
In my particular problem, running an MCMC is too expensive, so I'm looking for a simple MC estimator, which would partially inherit the correlated samples of MCMC, yet would not require computing ...
- 101
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260
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Distribution of the Gram Matrices
Let $\mathbf{X}$ be an $m\times m$ random matrix full rank matrix, having the density function $f_{\mathbf{X}}(X)$. Also, let $\mathbf{W}$ be a deterministic $k\times m$ matrix of rank $k$ and $k<m$...
- 141
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1
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204
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Expected number of samples above certain value of a normally distributed variable with a given sample mean
Suppose $n$ values, $X_1,...,X_n,$ are generated by a random number generator with normal distribution $N(0,1).$ Suppose that the (sample) mean of $X_1,...,X_n$ is $\mu.$ What is known about the order ...
- 54.2k
2
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1
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378
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Distribution of the Gram matrix
Let $\mathbf{X}$ be an $m\times k$ random matrix ($m>k$) of rank $k$, having the density function $f_\mathbf{X}(X)$. What is the distribution of $\mathbf{Y}=\mathbf{XX}^T$? Basically my question is ...
- 188k
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1
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152
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References for Poisson and Lexis trials
I have been trying to find more information on Poisson and Lexis trials (generalizations of Bernoulli trials), but I have failed to find anything outside of MathWorld (I went through a number of ...
- 16.5k
2
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1
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263
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Probability distribution of uAv…
Consider the complex domain ℂ. If U and V are 2 unitary random matrices and A is a deterministic matrix.
What is the distribution of $u^HAv$ ( or $||u^HAv||^2$)
where : u is a column vector of U. v ...
- 188k
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3
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413
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Constructing a Bernoulli random variable for ratio of Bernoulli weights
$X$ and $Y$ are Bernoulli random variables with weights $0 < \alpha < 1$ and $0 < \beta < 1$. Is it possible to construct a sampler for the Bernoulli random variable with weight $\min(\...
- 3,979
4
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2
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4k
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Inversion of Moment-generating functions (aka Laplace transform of prob dist)
I want to embark on a project about inverting a Moment-generating function of a probabilitiy distribution. That is given by
\begin{equation}
M_X(t) = \text{E} \exp(tX)
\end{equation}
Since I have ...
- 111
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0
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327
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Inverse moment of the number of inversions of a permutation
Let $\pi$ be a permutation of $\{1,2,...,n\}$. A pair of elements ($\pi_i$,$\pi_j$) is called an inversion if $i$ $>$ $j$ and $\pi_i$ $<$ $\pi_j$. The total number of inversions in $\pi$ is ...
- 3,968
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104
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Efficient evaluation of multidimensional kernel density estimate
Edit I have copied this discussion to the stats community site here, since I feel it is more relevant. Please feel free to close this in due course.
I've seen a reasonable amount of literature about ...
CommunityBot
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3
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2
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231
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Bounds for the fat tail after trimming the mean?
I am interested in the quantity $$f(X,t) = \int_t^\infty\negthinspace x\ p(x)\ dx,$$ where $p$ is a probability distribution for a positive variable $X$.
1) Does this quantity $f(X,t)$ have a name? ...
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69
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Whether r.v. with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)]$ is overdispersion?
When discrete r.v. $X$ is not Poisson distributed and ${\rm{Var}}X,EX < \infty $, I want to know whether r.v. $X$ with p.g.f. $\exp [\sum\limits_{i = 1}^\infty {{q_i}({z^i}} - 1)],({q_i} \in {\rm{...
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213
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Optimization problem involving Multivariate Normal
I use $\phi(t)$ to describe the standard normal distribution density and $\Phi(t)$ as the normal distribution CDF and would like to prove that for all
$n\geq3$, the function:
$$h(\mu_{1},\ldots,\...
CommunityBot
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3
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1k
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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$. ...
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-1
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1
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75
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Finiteness of "novel variance" from a kernel on a compact space [closed]
Let $c(i,i')$ be a kernel function on a reasonable index space $I$. Choose a dense sequence of points $\{i_1, i_2, \cdots \} \subseteq I$, and define the one-point kernel functions $k_n := c(\cdot, ...
- 4,010
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1
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472
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Measures which exhibit the "uncorrelated implies independent" property
Let $X$ be a topological linear space, and let $X^*$ be its dual space. Suppose that $X$ is complete and Hausdorff, and $X^*$ separates points. Let $Y$ be another such space, and let $f : X \to Y$ be ...
- 1,107
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4
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4k
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Are gaussians with different moments far in total variation distance?
If two Gaussians disagree on one moment, it seems like this should imply that they have a large variation distance--equivalently, if two Gaussians are close in variation distance it's hard for their ...
- 1,411
2
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1
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645
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Estimating the variance of error in empirical approximation to a distribution
Let $X_1,X_2,\ldots,X_n$ be i.i.d. random variables in $\mathbb{R}$ with common cumulative distribution function (CDF) $F(x)$. The empirical approximation to $F(x)$ is defined as follows:
$$\hat{F}...
CommunityBot
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3
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1
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484
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What is known about the distribution of the errors in empirical approximation of a CDF?
Let $X_1,X_2,\ldots,X_n$ be i.i.d. random variables in $\mathbb{R}$ with common cumulative distribution function (CDF) $F(x)$. The empirical approximation to $F(x)$ is defined as follows:
$$\hat{F}...
- 8,501
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2
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646
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How to sample uniformly from singular matrices
I would like to uniformly sample from all singular $n$ by $n$ Bernoulli matrices (that is each entry is $1$ or $0$ with probability $1/2$). I could of course just sample from all $n$ by $n$ Bernoulli ...
CommunityBot
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1
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2
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220
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Determine joint distribution from projections
Let $X=(X_1,\dots,X_d)$ be a random vector, and a.s. $X \in [0,1]^d$. Suppose that for every $a \in \mathbb{R}^d$, we know the probability distribution of the random variable $Y_a = <a,X>$. My ...
- 16.4k
2
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0
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191
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MLRP of random variables and order statistics
Suppose we have $N$ independent random variables $X_1, \cdots, X_N$ drawn from $f_1 > \cdots > f_N$ where $f_i > f_j$ indicates that $f_i$ and $f_j$ satisfy the monotone likelihood ratio ...
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3
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3k
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Deconvolution of sum of two random variables
Let $Z = X + c \cdot Y$ where $X$ and $Y$ are independent random variables drawn form the same distribution given by the pdf $g()$ and $0 < c < 1$
I have observations of $Z_i$'s and thus can ...
- 139
11
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2
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608
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Covariance of INID order statistics [closed]
In the IID case, it is known that all order statistics are positively correlated.* Thus, we know that $$\text{Cov}(X_{(i)},X_{(j)}) \geq 0.$$ Is this known in the INID (independent, non-identically ...
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