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20
votes
2answers
776 views

Efficient Generation of Random Variates from a Copula Distribution

I have a 7-asset portfolio for which I want to simulate daily log-deltas using a Student T copula. The marginal distributions are all either Stable or TsallisQGaussian. Using NMaximize, I have ...
13
votes
1answer
276 views

Randomness test suites that can be invoked from Mathematica

There are several test suites referenced at csrc.nist.gov designed to test a (pseudo-)random byte sequence for randomness, and discover possible skews, correlations, patterns, or other hidden ...
12
votes
1answer
344 views

Just what kind of transformations can TransformedDistribution handle?

Why does the following command return an empty plot? ...
12
votes
1answer
1k views

Persistence length of a polymer chain

I'm trying to calculate the persistence length (Lp) of a polymer chain using Mathematica. The first and simplest method is to compare the EuclideanDistance between ...
8
votes
3answers
942 views

Ηow to create an interpolated CDF from its samples?

I want to use a distribution I have only aggregate statistics on, namely its CDF sampled at certain points. I would like to keep it "nonparametric" (remain noncommittal on the parametric form), but I ...
7
votes
3answers
671 views

How do I create a histogram with unequal bin widths?

I would like to create a histogram for human population by age, but the $2010$ census data I have available is for five uneven cohorts: ages $0$-$17$, $18$-$24$, $25$-$44$, $45$-$64$, and $65+$. My ...
7
votes
1answer
130 views

Rapid density estimation and rendering of decision regions

I would like to create an interactive demonstration using Manipulate[] that illustrates a fundamental concept in pattern classification and machine learning. This ...
5
votes
1answer
320 views

How do I get the critical value in statistical hypothesis testing?

What I am trying to do is to get the value of $\chi^2$ for given probability (let us say $\alpha$=0.01) and degrees of freedom (for example df=3). How do I get that? Inverse...Distribution functions ...
5
votes
3answers
610 views

Fast code to generate large random graph with fixed degree sequence

I'm trying to create a function so to generate large random graph with a fixed degree sequence $\{v_1,v_2,\dots,v_N\}$, where $N$ is the number of vertices in the graph. The Mathematica function that ...
5
votes
1answer
84 views

How to use DegreeGraphDistribution with directed graphs?

DegreeGraphDistribution supports directed graphs because it has a DirectedEdges option. How can I specify the in-degree ...
4
votes
1answer
2k views

How do I display a histogram with normalized counts?

I have some data corresponding to real number distances: {200.04053, 200.232123, 156.3242,...}, and I would like to bin these values and display them as a histogram ...
4
votes
1answer
81 views

How to use Tandem Queueing Network Process?

Mathematica provides QueueingNetworkProcess and QueueingProcess. However, I can't seem to figure out how to create a tandem ...
3
votes
1answer
410 views

Categorical Distribution

Suppose I want to do calculations with a random variable $X$ that has a simple categorical distribution (a.k.a generalised Bernoulli distribution or discrete distribution). I was expecting to be able ...
3
votes
1answer
152 views

Determining the dimension of a probability distribution

Functions like Mean and RandomVariate clearly infer the dimension of the distribution passed to them. One can also usually ...
3
votes
1answer
70 views

How to use a custom CDF in a Kolmogorov-Smirnov test

How do I use a custom CDF that I defined for a Kolmogorov-Smirnov test. I have one input vector of data whose CDF I claim to have derived but want to check whether it agrees with my closed form ...
3
votes
2answers
467 views

Total Variation Distance of probability matrix

How can I calculate the Total Variation Distance of a transition Matrix? is there any built in function? I've searched all documentation and haven;t found anything. ** More information: Let me try ...
3
votes
1answer
57 views

TransformedDistribution with respect to new variable

Given a custom pdf $f_x(x)$, I'm trying to find it's transformation $f_y(y)$ where $$y=x^2$$ and $$f_x(x)=30*x^2 (1 - x)^2, 0<x<1$$ I tried to using the following commands: ...
3
votes
0answers
277 views

Is it possible to marginalize one or several parameters obtained from fitting procedure?

Statistical model analysis package has a few fitting functions. Their arguments are data points, fitting model and parameters in the fit. The result is a set of best values for parameters, which ...
2
votes
2answers
132 views
2
votes
2answers
141 views

Conditioned Probability Task

I have this task with two questions I would like to compute in Mathematica. Suppose a pair of random variables $(X, Y)$ has a equal distribution on the following 7 points: $\begin{matrix} ...
2
votes
1answer
2k views

Filtering Lists in Mathematica [duplicate]

Possible Duplicate: Select/Delete with Sublist elements? I need help in filtering long lists of x,y coordinates.Lets use the following list as an ...
2
votes
1answer
230 views

Compute Correlation between two binary variables

$X_1$ and $X_2$ are two binary stochastic variables with simultaneous probabilitydistribution: $$ \begin{matrix} &X_2=0&X_2=1\\ X_1=0&0.30&0.17\\ X_1=1&0.08&0.45 ...
2
votes
1answer
126 views

on Kolmogorov-Smirnov test

I found a problem to calculate Kolmogorov-Smirnov test statistic or p-value the data is ...
2
votes
2answers
183 views

Time differences between code using user-defined probability distribution and code using built-in distribution

Why is the reponse time of of kernel significantly different when I use the first code rather than the second? Shouldn it not be the same? Is there any way that the response time can be made smaller ...
2
votes
1answer
82 views

Determining sample size with no replacement for a given confidence and reliability when there are x failures observed during sampling?

I am trying to follow the procedure of a Sandia Labs report found here to determine the required sample size, for various population sizes, with no replacement for a given confidence and reliability. ...
2
votes
0answers
38 views

Parsing RLink RObject for aovlist and other object types

There are some slightly similar requests out there (e.g. Getting R textual output into Mathematica ) but I'm wondering if anyone has put together a more general purpose solution to parsing ...
2
votes
0answers
85 views

Distance between vectors does not match distance between probability distribution [closed]

I have vectors that describe shapes. I am doing Euclidian distance between vectors to get the similar shapes and I get a good results of all classes. Theoretically, two similar shapes (shapes in a ...
1
vote
1answer
243 views

Detecting a nonlinear edge in a 2D point pattern

Following an earlier post here, I have generated a point pattern on the unit square $[0,1]\otimes[0,1]$, which is described by a piecewise constant intensity function constructed so that (in ...
1
vote
3answers
157 views

Find 2 points in a normal distribution with these given properties

I would like to find a and b. How should I code this in Mathematica? What I did wrong? ...
1
vote
1answer
220 views

Pseudo-code for rules of probability?

I am having a hard time in Stats understanding some basic rules of probability and set-theory, namely $P(A|B)$, $P(A\ \textrm{and}\ B)$ and $P(A\ \textrm{or}\ B)$ where $A$ and $B$ depend on each ...
1
vote
2answers
197 views

Expectation over a list with nested-mapped expressions

I need expected values of a list where the random variable to take expectations over should be an input into expressions defined earlier. I suspect Set[] and SetDelayed[] tripped me. (Or Map and ...
1
vote
1answer
49 views

Find a probability with random variates from the same distribution

I'm trying to find Probability involving 3 random variates from the same distribution, but Mathematica does not seem to solve it. ...
1
vote
1answer
53 views
0
votes
1answer
149 views

Convert probability example to a distribution

Consider a box which contains 30 balls. 10 red, 10 white and 10 blue balls. There will be picked 4 balls randomly, without putting the balls back to the experiment. My question is: How do I create a ...
0
votes
1answer
41 views

Central Limit Theorem - solve for a const, given probability

I hope this is not a very complicated question, but I have problems finding the answer. Quite often, I need to calculate something like this: $P(-a<\bar{x}<a) = p$, where $\bar{x}$ refers to the ...
0
votes
1answer
122 views

How to include constraints in `NMaximize`

I am trying to find maximum likelihood estimates of parameters for a fairly complicated multivariate distribution. The support of the distribution depends on its parameters so I need to include some ...
0
votes
1answer
44 views

Periodic Gaussian Process's Covariance Matrix not Positive Definite

I'm trying to implement a periodic Gaussian Process: GP = Table[Exp[-.1 Sin[\[Pi] (x - y)]^2], {x, 0., 3, .1}, {y, 0., 3, .1}]; PositiveDefiniteMatrixQ[GP] ...
0
votes
0answers
41 views

Help with Multivariate ProbabilityDistribution

I wish to obtain numbers from ...
0
votes
0answers
85 views

Latin Hypercube Sampling

I'm looking into Mathematica and I can't find if there is an instruction or a set of them that can perform the Latin Hypercube Sampling, given variable, their ...
0
votes
0answers
43 views

Chi square: compare two different distribution

I try to compare two file with two different distribution of numbers. So i have random1.dat and random2.dat each one are vectors of more then 1000 rows. I saw from this question Doing a chi-square ...
0
votes
0answers
102 views

Probability Model

I have the following probability model: $(X_k|\text{ PastHistory}_{k-1}, \theta_0, \theta_1, \theta_2) \sim (\pi\cdot N(\theta_1+\theta_0\cdot X_{k-1},1)+(1-\pi)\cdot N(\theta_2+\theta_0\cdot ...
0
votes
0answers
74 views

Compute (Co)Variance of Random Variable(s) Directly

Is there a direct command in Mathematica that computes the covariance between two random variables? Hence, instead of typing ...
-2
votes
0answers
48 views

Statical Analyze a PDF (document file) for

I would like to import a set of PDF files to Mathematica and analyze it. And find out which words used most and find meaningful information about them. Finally, I would like to find out are they use a ...