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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.

2 votes
0 answers
144 views

Monotone coupling between "two-sided Gumbel" distributions

I am interested in finding a monotone coupling between two random variables. Let $\alpha_1>\alpha_2$, $b<a$. Define the following two (non-normalized) densities on the whole real line: \begin{align*} …
Leonid Petrov's user avatar
10 votes
1 answer
260 views

q-versions of the geometric distribution and their names

I'm trying to set straight various $q$-deformations of the standard geometric distribution. The geometric distribution on $\left\{ 0,1,\ldots \right\}$ is well-known, it has $$ \mu_1(X=j)=(1-p)p^j,\q …
Leonid Petrov's user avatar
3 votes
0 answers
291 views

Exchangeable or iid random variables and linear conditioning

Let $X_1,\ldots ,X_N$ be independent identically distributed random variables (or, more generally, exchangeable random variables, but let's assume independence for simplicity). Then $$ E(X_i\mid X_1+ …
Leonid Petrov's user avatar