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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.

5 votes
1 answer
584 views

Radon-Nikodym derivative and conditional probability

In this paper by Diaconis and Zabell from 1982, Theorem 2.1 and the remark after essentially stated that Given two probability measures $P$ and $Q$ on the same probability space $\Omega$. If $Q\ll P$ …
2 votes
1 answer
222 views

Maximum of sums of iid $X_i$'s where $X_i$ is the difference of two exponential r.v

Given $X_i = A_i - B_i$ where $A_i\sim \text{ Exp}(\alpha)$ and $B_i \sim \text{ Exp}(\lambda)$. Define $S_k = \sum_{i=1}^k X_i$ with $S_0 = 0$, and $$M_n = \max_{1\leq k \leq n} S_k.$$ Is it possibl …