# 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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### Distribution of Maximum of a uniform multinomial distribution

Hello, I'm working with a data structure which uses a uniform distribution to bucket the inputs into $k$ buckets. The efficiency of the structure is bounded by the $\frac{k_{max}}n$, where $n$ is the ...

**4**

votes

**3**answers

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### Integration of the product of pdf & cdf of normal distribution [closed]

Denote the pdf of normal distribution as $\phi(x)$ and cdf as $\Phi(x)$. Does anyone know how to calculate $\int \phi(x) \Phi(\frac{x -b}{a}) dx$? Notice that when $a = 1$ and $b = 0$ the answer is $1/...

**29**

votes

**1**answer

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### When should we expect Tracy-Widom?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...

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votes

**1**answer

4k views

### Square root of normal distribution

Let $X$ and $Y$ be independent random variates with the same probability distribution, $P(x)$. Assuming that the product $Z=XY$ is a random variate with normal distribution, say $$f_Z(x) = \frac{1}{\...

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votes

**1**answer

910 views

### Normal approximation of tail probability in binomial distribution

My problem: From the Berry--Esseen theorem I know, that $$\sup_{x\in\mathbb R}|P(B_n \le x)-\Phi(x)|=O\left(\frac 1{\sqrt n}\right),$$ where $B_n$ has the standardized binomial distribution and $\Phi$ ...

**5**

votes

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### Distribution of dot product of two unit random vectors

Consider $\mathbf{u}, \mathbf{v}\in \mathcal{C}^M$ to be two independent unit norm random vectors on the $M-1$ dimensional complex sphere $\mathcal{S}^{M-1}$. In addition, $\mathbf{u}$ follows an ...

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votes

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622 views

### Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian

This is a question related to the statistical model behind independent component analysis (ICA).
We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...

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votes

**1**answer

130 views

### CTRW: solve a renewal equation

Let X(t) be a continuous time random walk, with exponentially distributed waiting times of pdf $f_T(t)= k e^{-k t}\; t\geq 0$ and a jump sizes pdf $f_J(x)$. Suppose the initial distribution $\rho_{X(0)...

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votes

**1**answer

211 views

### Maximal component of a multivariate Gaussian distribution

Suppose you have a general random Gaussian vector $\mathbf{X}\sim\mathcal{N}\left(\boldsymbol{\mu},\boldsymbol{\Sigma}\right)$. I'm looking for the simple way to calculate the distribution of the ...

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vote

**0**answers

139 views

### References for the theory of Hadamard functions and compositions of random vectors

Recently, I fell in love with the pointwise/elementwise/componentwise/Hadamard/Schur functions and compositions of random vectors such as Hadamard squares and products of random vectors. Here is one ...

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votes

**1**answer

152 views

### Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$

Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\text{exp}\{...

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votes

**1**answer

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### Are the primes normally distributed? Or is this the Riemann hypothesis?

Forgive my very naive question. I know next to nothing about number theory, but I'm curious about the state of the art on the distribution of primes.
Let $\mathrm{Li}(x)$ be the offset logarithmic ...

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votes

**3**answers

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### Distance metric between two sample distributions (histograms)

Context: I want to compare the sample probability distributions (PDFs) of two datasets (generated from a dynamical system). These datasets depend on a set of parameters, and I want a concise way to ...

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### Resultant probability distribution when taking the cosine of gaussian distributed variable

I am trying to do a measurement uncertainty calculation. I have a gaussian distributed phase angle (theta) with a mean of 0 and standard deviation of 16.6666 micro radians. The variance is the ...

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**1**answer

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### Mean of i.i.d Random Variables With No Expected Value

Let $X$ be an integer-valued random variable and let $X_n$ be the sum of $n$ independent realizations of $X$. I would like to understand the behavior of $X_n/n$ for large $n$ in some cases where $X$ ...

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### Concentration bounds for sums of random variables of permutations

I'm trying to find theorems regarding random variables derived from sampling permutations, specifically concentration bounds.
As an example, let $X_i$ be the $\{0,1\}$-random variable that represents ...

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votes

**2**answers

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### What is the most extreme set 4 or 5 nontransitive n-sided dice?

A set of nontransitive dice is a set of dice whose face numbers are such that the relation "is more likely to roll a higher number than" is not transitive. (See wikipedia)
For some sets, the ...

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votes

**1**answer

485 views

### Birthday Inequality for non uniform distribution with specific collision entropy

Let $D$ be a distribution with collision-entropy $k$, i.e., $H_2(D) = k$.
Let $n$ samples are chosen independently according to the distribution $D$. Let $E_n$ be the event that there is no ...

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votes

**2**answers

187 views

### Distribution of $0$-$1$ matrices

Consider $n\times n$ matrices with entries in $\{0,1\}$. The determinants of these ranges from $0$ to the Hadamard bound $\frac{(n+1)^{\frac{n+1}2}}{2^n}$. Assume $n$ is large enough.
What does the ...

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votes

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### Are there known expressions for total variation distance between $N(0,\sigma_1^2)$ and $N(0,\sigma^2)$

Are known expressions for total variation distance between $N(0,\sigma^2)$ and $N(0,\sigma^2+\epsilon)$ for small $\epsilon$? The only thing I seem to find is things are expression about the mean but ...

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votes

**1**answer

269 views

### Asymptotics of a 1D integral, or the orthant probability of an equicorrelated random Gaussian vector

Problem: Let $\phi(x)$ be the normal probability density function (pdf), and $\Phi(x)$ the normal cumulative distribution (cdf). I'm interested in the asymptotic behavior of the following integral
$I(...

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votes

**1**answer

741 views

### Density of prime pairs whose gap is less than the average gap

By the prime number theorem we know that the "average gap" between the first $n$ primes is $\ln p_n$. I would like to know the density of consecutive prime pairs whose gap is less than the average gap ...

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votes

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### Convergence of moments implies convergence to normal distribution

I have a sequence $\{X_n\}$ of random variables supported on the real line, as well as a normally distributed random variable $X$ (whose mean and variance are known but irrelevant). I know that the ...

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votes

**4**answers

493 views

### Number of intervals needed to cross, Brownian motion

Let $B_t$ be a standard Brownian motion. Let $E_{j, n}$ denote the event$$\left\{B_t = 0 \text{ for some }{{j-1}\over{2^n}} \le t \le {j\over{2^n}}\right\},$$and let$$K_n = \sum_{j = 2^n + 1}^{2^{2n}} ...

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votes

**1**answer

265 views

### Normal approximation to the pointwise/Hadamard/Schur product of two multivariate Gaussian/normal random variables

Let $X \sim \mathcal{N}\left( {{\mu _x},\sigma _x^2} \right)$ and $Y \sim \mathcal{N}\left( {{\mu _y},\sigma _y^2} \right)$ be two univariate and independent Gaussian/normal random variables and let $...

**1**

vote

**1**answer

228 views

### Double Markovity

Suppose we have a double Markov relation for three random variables $X$, $Y$ and $W$ as follows
$$X\to W\to Y,$$ and $$X\to Y\to W.$$
How to prove that there exist functions $f$ and $g$ such that
$$...

**8**

votes

**2**answers

319 views

### Does the optimal strategy converge in poker if the SPR tends to infinity?

This a a theoretical question about poker type games.
I'm sure I don't have to explain the rules - you can consider No Limit Texas Hold'em or some simple theoretical model, where each player holds a ...

**6**

votes

**1**answer

532 views

### KL divergence and mixture of Gaussians

Do we have an exact formula to compute the KL divergence between 2 mixtures of Gaussians (i.e convex combinations of a finite number of Gaussian distributions)?
If not exactly known, are there good ...

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votes

**2**answers

306 views

### Gaussian and the convex hull of moment curves

Let $c_1,\dots, c_d$ be the first $d$ moments of the standard normal distribution. Does the point $(c_1,\dots, c_d)$ lie in the convex hull of the set $\{(t,t^2,\dots,t^d)\colon t\in[-b,b]\}$, for a ...

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votes

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296 views

### Liverani's CLT (a question)

Let $(\Omega,\mathcal{F},P)$ be a probability space where $\Omega$ is a complete separable metric space, let $T:\Omega\to \Omega$ ` be an ergodic transformation, let $\hat{T}:L^{2}_{_P}(\Omega)\to L^{...

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votes

**1**answer

383 views

### Characterizations of the GOE/GUE family of distributions

This question is somewhat related to this one. Loosely speaking, when should I expect a GOE/GUE distribution? The angle of my approach to this is not through statements such as "there is a natural ...

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votes

**1**answer

2k views

### Order statistics of independent NOT identically distributed random variables

I want to find the p.d.f of the n-th order statistics from a set of independent, but NOT identically distributed random variables $X_1, \dots, X_n$ (the p.d.f. of the $X_i$'s is at hand)

**2**

votes

**1**answer

295 views

### Distribution of ratio between complex Gaussian and Chi-square R.V.s

What would be the distribution (p.d.f.) of the following ratio?
$$z = \frac{x_{1}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
where $x_{i} \sim \mathcal{CN}(0,a), \forall i$ and $a > 1$. As can ...

**1**

vote

**1**answer

64 views

### Correlation between r.v.'s following a distribution that is the ration between complex Gaussian and Chi-square r.v.'s

Given the following two R.V.s
$$z_{1} = \frac{x_{1}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
and
$$z_{2} = \frac{x_{2}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
where $x_{i} \sim \mathcal{CN}(...

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vote

**1**answer

1k views

### The Probability distribution of Random variable of Random variable

In my understanding, random variable is a measurable function from a probability space to a measurable space. Suppose $X$ is a random variable from $(A, \sigma_{A},P_A)$ to $(B,\sigma_{B})$. And $Y$ ...

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vote

**1**answer

144 views

### Asymptotic distribution of $\mathbb E_{\hat{P}_n}[Z]^T\operatorname{Cov}_{\hat{P}_n}[Z]^{-1}\mathbb E_{\hat{P}_n}[Z]$

Under very general conditions on the random $p$-dimensional vector $Z$, what can be said about the asymptotic distribution of the (random) scalar quantity $R_n := \mathbb E_{\hat{P}_n}[Z]^T\...

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votes

**1**answer

157 views

### Reference request: results on the asymptotic distribution of singular values related to a random orthogonal matrix

Let $Q$ be a random variable taking as its values the set of $n \times k$ real matrices with orthogonal columns, and whose distribution is the Haar measure on the Stiefel manifold $O(n)/O(n-k)$. This ...

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votes

**1**answer

135 views

### General distributions with the “transportation-cost inequality” property to piece log-concave distributions

It is now known [Otto et Villani 2000; Cordero et al 2006; etc.] that on an $n$-dimensional smooth Riemannian manifold $X$ and a probability measure $\mu$ on $X$ with density $d\mu \propto e^{-V}dvol$ ...

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votes

**0**answers

105 views

### Any chance to get the moments of this exotic distribution?

Let us define the following cumulative distribution:
\begin{align}
\Pr (Y(t)\geq a)=\sum_{n=0}^\infty \frac{e^{-kt}(kt)^n }{n!}\int_a^\infty[\circledast_{f}\circ H_a ]^n\delta (x) dx
\end{align}
where ...

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votes

**1**answer

90 views

### integral involving hypergeometric function of matrix argument

This conjecture comes from an observation on simulations of the matrix variate noncentral Beta distribution (similar to this observation, but I open a new question because yet I'm not sure it is ...

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votes

**1**answer

203 views

### Question abouth Skorokhod representation of random variables

It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...

**3**

votes

**1**answer

257 views

### distribution discretization

Let $\mu$ be a distribution on $\mathbb{R}^n$. We partition $\mathbb{R}^n$ into small cubes congruent with $[0,\delta)^n$, parallel to the axes. In each cube, pick a point $x$ (for instance, the ...

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votes

**1**answer

163 views

### Log-convexity of conditional variances

Let $K$ be a positive integer and $C$ be any $K \times K$ non-singular matrix. For positive real numbers $q_1, \dots, q_K$, define
$$\Sigma(q_1, \dots, q_K) = CC' + diag(\frac{1}{q_1}, \dots, \frac{1}...

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votes

**1**answer

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### Independence of r.v.'s following a distribution that is the ratio between complex Gaussian and Chi-square r.v.'s

Given the following two R.V.s
$$z_1 = \frac{x_1}{|x_1|^2 + |x_2|^2 + \cdots + |x_M|^2}$$
and
$$z_2 = \frac{x_2}{|x_1|^2 + |x_2|^2 + \cdots + |x_M|^2}$$
where $x_i \sim \mathcal{CN}(0,a), \forall i$...

**2**

votes

**1**answer

138 views

### Is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane almost surely?

Let $d = 2$. With probability $1$, is the set of multiple points of the Brownian path $W[0, \infty)$ dense in the plane?

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vote

**1**answer

141 views

### Question abouth Skorokhod representation of random variables (II)

This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ \...

**1**

vote

**1**answer

448 views

### Set of distributions that minimize KL divergence,

Assuming that $p,q$ are probability distributions defined on the same support $\{x_i\}_{0 \leq i \leq n}$, $\epsilon$ a small real number, and $D_{KL}$ the Kullback-Leibler divergence,
is there a ...

**1**

vote

**1**answer

179 views

### Poisson kernel, expectation, an absolute value comes in

See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\...

**1**

vote

**1**answer

45 views

### Noncentral matrix beta distributions of type I and II

In Gupta & Nagar's book Matrix variate distributions, the noncentral Beta type I(B) distribution with parameters $a$, $b$ and noncentrality parameter $\Theta$ is defined by $U={(S_1+S_2)}^{-\...

**1**

vote

**1**answer

62 views

### MGF 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\...