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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

2 votes
Accepted

Bonferroni for outlier detection?

If you do $n$ tests of size $\alpha/n$, then $\alpha$ is the Bonferroni bound on at least one of the tests succeeding. It is conservative because it is the worst possible bound without any further inf …
Brendan McKay's user avatar
1 vote

A way to possibly calculate one Binomial CDF function from another closely related one?

Even though there is no closed form for the CDF of the binomial distribution, there is one for the derivative with respect to the $p$ parameter. Namely, if $$ F = \sum_{i=0}^s \binom ni p^i(1-p)^{n-i …
Brendan McKay's user avatar
1 vote

Do these random variables follow Gaussian distribution?

This type of discretized normal distribution occurs in some practical problems. For example, the median of the vertex degrees of an Erdős-Renyi random graph with fixed edge probability has such a dis …
Brendan McKay's user avatar
2 votes
Accepted

Bounds on tails with moments

You need a weaker conjecture, since the cdf $(1+x)e^{-x}$ for $x\ge 0$ has moments of the desired form yet it isn't like $1-Ae^{-cx}$. More generally, the distribution with cdf $(1+x^k)e^{-x}$ has mom …
Brendan McKay's user avatar
6 votes
2 answers
2k views

Absolute moments of symmetrical distributions

Suppose $F~$ is a probability distribution symmetrical about 0, for which all moments exist. Let $\mu_i~$be the $i$-th moment (of course $\mu_i=0$ if $i~$ is odd). We know there are some conditions …
Brendan McKay's user avatar
6 votes

Distance between distributions and distance of moments

The classical approach to this is called "smoothing" and is described in Chapter 16 of Feller's Introduction to Probability Theory, Vol 2. Basically you use the bounds on the moment differences to bou …
Brendan McKay's user avatar
1 vote

Are all variables in a set of random variables independent if all pairs are independent?

Steven's example is indeed the simplest. See chapter 3 of this book for counterexamples to lots of similar possibilities.
Brendan McKay's user avatar
3 votes

Rapid evaluation of multivariate normal integral

I suggest you try Gauss-Hermite integration. You can guess the precision by increasing the number of abscissae. Tables of abscissae and weights are here.
Brendan McKay's user avatar
4 votes

Another question on provable non-existence of an efficient deterministic numerical method

There is a method, provided the times can be scaled to be integers not too large. Consider that the times are $t_1,\ldots,t_{40}$. The problem can be described like this: for some given $N$, how many …
Brendan McKay's user avatar
4 votes

Approximation to the ratio of a Gaussian CDF to PDF

If $Y(x)=(1-\Phi(x))/\phi(x)$, it is easy to check that $Y'(x)=xY(x)-1$ and from this anything you like follows by standard methods.
Brendan McKay's user avatar
2 votes

Calculating variance-minimal perfect matchings

If the edge weights are scaled by a sufficiently high factor, a minimum weight matching will have the least greatest weight. By also removing the edges with weight less than $w$, a minimum weight matc …
Brendan McKay's user avatar
0 votes

Deriving the joint distribution of multivariate normal transformed into Bernoulli

I think this is a hard unsolved problem, though I'm far from expert on it. It strikes me as a harder cousin of the orthant problem, which is already quite hard. See this paper for references.
Brendan McKay's user avatar
9 votes

Lower bound for sum of binomial coefficients?

In my paper "On Littlewood's estimate for the binomial distribution", Adv. Appl. Prob., 21 (1989) 475-478, copy at http://cs.anu.edu.au/~bdm/papers/littlewood2.pdf , I find sharp exact bounds on this …
Brendan McKay's user avatar
0 votes

When do binomial distributions occur?

The distribution you describe is called a Poisson-binomial distribution. If you do a search with this name you will find a substantial literature on it.
Brendan McKay's user avatar
3 votes

A uniqueness proposition involving Erf, the error function

It has lots of other solutions, at least for some alphas. Try $x = -.225312055012178104725014013952$, $y = 0.813419847597618541690289359893$, $\alpha = 0.775232509215700110280368495370$. In general, …
Brendan McKay's user avatar

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