# Questions tagged [probability-distributions]

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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### Maximum of bounded expectations at a certain Borel set?

Assume ${\bf x} \in \mathbb{R}^n$ denotes a real-valued bounded random variable with a distribution measured on the Borel space $(\mathbb{R}^n,\mathcal{B}^n)$. Let $f:\mathbb{R}^n\to\mathbb{R}$ denote ...

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30 views

### Ensemble averaging in a random graph (or network) in the large $N$ limit

I have a random graph/network described by the adjacency matrix $(a_{ij})_{N\times N}$ where $a_{ij}=1$ with probability $p$. Each node in the graph is associated with a continuous quantity $\eta_i=\...

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60 views

### Explicit constant for Carbery–Wright inequality

The Carbery-Wright is a seminal result about the anti-concentration of polynomials of Gaussian random variables.
See e.g. https://arxiv.org/pdf/1507.00829.pdf, Theorem 1.4, for the precise statement.
...

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9 views

### How to calculate Chi-Square density value only known P-value? [migrated]

Everywhere online there is how to calculate the Chi-Square density value given a confidence level: $\alpha$/p value; but I can not find how one calculates the inverse? How to calculate the $\alpha$/p-...

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26 views

### Probability that a Voronoi cell contains exactly k random points

Gilbert's argument [1962] for a given point to be contained in a Voronoi cell of area $s$ is that, known the p.d.f. of cell areas -- be it $f(s)$ --, then the probability of $f(s|X=1)=sE[s]^{-1}f(s)$ ...

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**1**answer

26 views

### Are p-boxes for discrete sample spaces meaningful?

The Wikipedia article about p-boxes only talks about cumulative probability density functions, which are meaningful for continuous sample spaces. https://en.wikipedia.org/wiki/Probability_box
Just ...

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27 views

### Average number of edges of an induced graph by using the edge-based node selection technique on a graph with arbitrary degree distribution

Let $G(U,V,E)$ be a simple, undirected, bipartite graph and $U=\{u_1,u_2,{\cdots},u_n\}$ and $V=\{ v_{1},v_{2},\cdots,v_{n}\}$. Let $d_k^l$ be the number of vertex with degree $k$ in $l$, where $l \in ...

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89 views

### Conditional expectation values defined by expectation values

I asked this question a couple of days ago on Math.SE but without any echo (no upvotes, although I offered a bounty). But because I did it for oversight from a reputable/professional source I now ...

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37 views

### Harmonic mean or generating function, pick one?

Is there an obvious or a profound reason for the dearth of statistical distributions for which analytical harmonic mean and moment generating functions co-exist? Are there good examples (with finite ...

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### Finding a connection between two types of convergence

Please, help me find connections between two types of convergence:
Let $\{X_n\}_{n\ge1}: (\Omega,F,P) \rightarrow (\mathbb{R},Bor)$ be a sequence of r.v., there are two convergences:
1) $X_n \...

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114 views

### Is this probability inequality true?

This question may be simple, though I'm not managing to find an answer. Let $X$ and $Y$ be two dependent random vectors in in $\mathbb{R}^d$, with joint probability density $\mu(x,y)$ (with respect to ...

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77 views

### Reshaping a Gamma random variable?

Suppose that $X \sim \Gamma(\alpha_1,1)$, a random variable with gamma distribution with shape $\alpha$ and unit rate/scale.
Q: Can we found a reshaping function $f_{\alpha_1\rightarrow\alpha_2}$ ...

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27 views

### A medicine heals 60% of the patients [closed]

A medicine heals 60% of the patients. 10 sick people get this medicine.
a) What is the probability that all 10 people are cured?
b) What is the probability that at least 1 of the people is cured?
...

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81 views

### How to avoid using a probability distribution that doesn't exist?

I have this problem, of which I know the solution, but I'm looking for the mathematically proper way of writing it.
Say I have a (infinite) population of people, where each individual is labeled by ...

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70 views

### Weak convergence and Lipschitz function

I want to construct such r.v. ${ξ_n}$, $n≥1$$: (Ω,F,P)→(R^1,Bor)$, ${ξ_n}$ weakly converges to ${ξ}$ and such $f$ - Lipschitz function , so that $E(|f(ξ_n)−f(ξ)|) \not\to0$.
I tried to apply ...

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100 views

### Expected value of a truncated binomial

Let $X\sim B(n,p)$ be a binomial random variable and fix $0<k<n$. Are there any well-known bounds for $\mathbb{E} (X-k)^+$, where $(X-k)^+ =\max\{0,X-k\}$? I am particularly interested in ...

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44 views

### Stein's lemma for Gaussian variables proof

I am reading a paper (https://arxiv.org/abs/1001.3448) and they mentioned Stein's lemma (below) as a useful fact without proof, I also read the reference in the paper but I got nothing. Please help me ...

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50 views

### A uniform mixture of order statistics

Let $0<k<n$ be integers, and let $X$ be a random variable obtained as follows: sample $n$ points independently and uniformly at random in the unit interval, and select (uniformly) one of the $k$...

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102 views

### Disintegration, conditional probabilities, and conditional expectation

On the Wikipedia page there is a note that conditional probability measures can be described by disintegration. However, I can seem to find a clear exposée of how this construction is related to ...

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### Can the joint law $P \circ (X,Y)^{-1}$ of two random variables $X$ and $Y$ be written as $P \circ (X,\phi(X,U))^{-1}$ for $U$ uniform in $[0,1]$?

I want to know whether there is some general assumpitons we can make on two measurable spaces $E$ and $F$ (e.g. polish, complete, separable,...) such that we can ensure that the following "Theorem" ...

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42 views

### Concentration (or two sided tail bounds around expectations) of maximum and minimum of $n$ iid, subgaussian random variables

I asked this on MSE, but got no answer, hence asking here now. Help appreciated!
My question is motivated by this question and this question, where the first was aimed for giving a one sided tail ...

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62 views

### The weak convergence of finite dimensional distribution of Gaussian process does not imply the weak convergence in $C[0,1]$

In the study of weak convergence in $C[0,1]$, a common example is always being considered: $$X_{n}(t)=nt1_{[0,1/n]}(t)+(2-nt)1_{(1/n,2/n]}(t).$$ This example serves a counter-example to show that the ...

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58 views

### Find a conditional expectation of a difference of two independent Poisson process

Consider two independent Poisson processes $N,M$ with rate $\lambda$, and define $$X(t):=x+\dfrac{1}{\sqrt{n}}[N(t)-M(t)].$$ From this formula we know that $X(0)=x$. Now, I want to compute the ...

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121 views

### Average number of elements of a subset S of a matrix A after inducing the rows and columns of m randomly selected elements from subset S

Let $A_{N{\times}N}$ be an $N{\times}N$ matrix and $\mathcal{S_{k}}$ be a subset of elements in $A$ such that exactly $k$ elements from every row and column in $A$ are in $\mathcal{S_{k}}$. Thus, $\...

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26 views

### Lyapunov condition for CLT for asymptotically independent sequence

Suppose I have some triangular array $\{X_{n,j}\}$ of random variables, which need not be independent or identically distributed. Suppose I further know that
$$Var\left(\sum_{j=1}^n X_{n,j}\right)\to \...

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43 views

### Berry-Esseen unit ball

How can I show that sampling a random vector from a uniform distribution over a $d$-dimensional unit ball is similar to sampling a random vector from a uniform distribution over $d$-dimensional ...

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258 views

### Analyzing my definition of Average which uses a variation of the Lebesgue Integral and Measure [closed]

Consider $f:A\to[a,b]$ where $A\subseteq[a,b]$ and $S\subseteq A$. As noted in previous questions, I want to define an average using a new measure and integral since I found certain aspects of the ...

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55 views

### Manifold structure of Gaussian mixtures

Fix $l$ a positive integer. Let $\mathcal{M}$ denote the set of Gaussian mixtures of the form
$$
\sum_{i=1}^l k_i \mu_i,
$$
where $\mu_i $ is a non-degenerate Gaussian measure on $\mathbb{R}^k$ and ...

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32 views

### Metrics on the space of distributions in terms of p.d.fs

If two probability distributions (on the same measure space) are s.t they have p.d.fs and the $L^1$ distance between the p.d.f.s is large, then is there a choice of a ``nice" metric $d_{\rm smooth}$ ...

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36 views

### Can we write down the density of this distribution?

Simple version: I am looking for the density of the random vector $(X+Z,Y+Z)$, where $X,Y,Z$ are independent gamma random variables (with non-restricted parameters).
Next step: Actualy, i'm looking ...

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49 views

### Concentration of norm of linearly transformed normal random vector as dimension go to infinity

Earlier asked on MSE, but didn't get an answer, so posting here:
Let $X=(X_1 \dots X_n) \in \mathbb{R}^n, X_i\sim N(0,1), iid.$ Let $B: \mathbb{R}^n \to \mathbb{R}^n $ be the diagonal linear map: $...

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105 views

### Comparing $X+Y$ and $X-Y$ for independent random variables with values in an abelian locally compact group

Let $G$ be an abelian locally (separable?) compact group with Haar measure $\mu$. Inspired by the interesting proof of A sum of two binomial random variables :
Let $X$ and $Y$ be $G$-valued ...

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### What is the distribution of the norm of the multivariate $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d?$

Let $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d$ follow a multivariate normal distribution. Then what's the distribution (PDF, CDF etc.) of $X?$ When $\mu = 0, \Sigma = I_d,$ we know that $||X||...

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61 views

### Dependence rank: what is the size of the largest subcollection of random variables which is statistically independent?

Let $X_1,\ldots,X_p$ be random variables on the same space. Define their dependence rank, denoted $rank(X_1,\ldots,X_p)$ as the largest nonnegative integer $k$ such that there is a subcollection of $k$...

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39 views

### Comparing Euclidean norm of two normal vectors

Let $X_i$ ($i = 1,2$) be two random vectors in $\mathbb R^n$, with normal distribution with scalar covariance matrix $\sigma_i^2$ and center $\mu_i$ (in my case, $n = 2$). Is there a way to estimate ...

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136 views

### Inequality on the Hellinger distance between Poisson and mixture of Poisson

Let $H$ denote the Hellinger distance; i.e., for two discrete distributions $p,q$ (identified with their pmf) over $\mathbb{N}$,
$$
H(p,q)^2 = \frac{1}{2}\sum_{n=0}^\infty \left(\sqrt{p(n)}-\sqrt{q(n)}...

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75 views

### Integral rising from difference of chi-squared random variables

Let $X,Y$ be independent random variables such that $X\sim\chi_{n-1}^{2}, Y\sim\chi_{1}^{2}$ are chi-squared distributed (where $n\geq2$ is a natural number). I am trying to evaluate $\mathbb{P}[X\leq ...

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50 views

### fractional moments of multivariate normal distributions

is there an analytic formula for fractional moments of multivariate normal distribution?
$E(\prod_{i=1}^k x_i^{\nu_i})=?$ where $X=(x_1,\ldots,x_k) \sim N_k(\mu, \Sigma)$, $\nu_i\in \mathcal{R}$ and $\...

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92 views

### Asymptotically tight concentration of norms of subgaussian random vectors with independent coordinates, as the dimension $n \to \infty?$

Let $X=(X_1 \dots X_n)\in \mathbb{R}^n,$ be a subgaussian random vector so that $X_i$'s are independent, $\mathbb{E}X_i = 0, \mathbb{E}X_i^2=1.$ Before we pose our question, let's state the following:
...

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### What is the conjugate prior of Multivariate Log Normal distribution?

For the univariate log-normal distribution, when mean is known, the conjugate prior is gamma distribution. But how about the multivariate log-normal distribution ? What is the conjugate prior ? ...

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### Concentration of $2$-norms of random variables whose co-ordinates are not independent?

Let us consider the random vector $X=[X_1 \dots X_d] \in \mathbb{R}^d, E[X]= 0, cov[X]= \Sigma.$ Then the random vector $Z:= \Sigma^{-1/2} X=[Z_1 \dots Z_d]$ has $E[Z]=0, cov[Z]=I_d.$ I'm looking for ...

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### Which orthant probabilities are the largest? (For a multivariate normal distribution)

I have a $k$-dimensional multivariate normal distribution $X∼N(0,\Sigma)$ with covariance matrix $\Sigma$. $\Sigma$ has two distinct eigenvalues, say $\lambda_1 > \lambda_2$, with orthogonal ...

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### How to take into account the properties of $M(n)$ numbers and improve the variance of normal distribution?

It is known the normal approximation to $inv(\pi)$:
$$ \left| P\left( \frac{\mathrm{inv}(\pi)-\frac 12{n\choose 2}}{\sqrt{n(n-1)(2n+5)/72}}\leq x\right)-\Phi(x)\right| \leq \frac{C}{\sqrt{n}}, $$
...

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131 views

### Prove or disprove the linearity of expectiles

For expectation (mean), there are many useful properties such as Linearity of Expectation:
$\mathbb{E}[X+Y]=\mathbb{E}[X]+\mathbb{E}[Y]$
$\mathbb{E}[\alpha X]=\alpha\mathbb{E}[X]$
(The 2 equations ...

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45 views

### Variational problem: how to minimise the second moment?

This is a neater version of a question I posted here, on which I'm also stuck.
The problem: Say I have a probability density function $f(x)$, defined for positive $x$, and let's note its $n$th non-...

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**1**answer

86 views

### An elementary question on probability distributions

I have encounter the following problem, but after trying a little I did not arrive to a good conclusion.
Suppose that $X$ is a positive random variable for which we only know that $E[X] = 2$ and $E[1/...

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44 views

### Upper bound on the condition number of the product of a random sparse matrix and a semi-orthogonal matrix

Let $G \in \mathbb{R}^{n \times m}$ (m > n, m = O(n)) whose all entries are i.i.d. distributed as $\mathcal{N}(0, 1) * \text{Ber}(p)$. Let $V \in \mathbb{R}^{m \times n}$ be a fixed semi-orthogonal ...

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97 views

### Find distribution that minimises a function of its moments

Imagine a probability density function $f(x)$, defined for positive $x$, and let's note its $n$th non-centred moment $x_{n}$. The mean $x_{1}$ is fixed (and positive).
How can I find $f(x)$ that ...

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**1**answer

111 views

### Eigenvalues and eigenvectors of Gaussian random matrices

Let us assume we have a square matrix $A$ whose entries are sampled from a standard Gaussian distribution of mean $0$. Do we have any information about the distribution of its eigenvalues?
...

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56 views

### Random variable corresponding to sum of density functions [closed]

The distribution of functions of random variables is well-studied for various different and general cases, but I didn't find much result for the reverse.
Suppose that $X_1, X_2$ are (probably ...