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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

-1 votes
1 answer
286 views

Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measures on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as $$D(Q\|P)=\int_X \log(\frac{dQ}{dP})dQ,$$ …
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2 votes
0 answers
98 views

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 subj …
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