Questions about performing probabilistic calculations, especially those concerned with the Mathematica commands Probability, Expectation and the various functions related to distributions such as NormalDistribution, CDF, PDF etc.

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1answer
117 views

Simulation Beta Distribution

Suppose a function such as: $\phi^{\alpha} (x,y) = \left\{ \begin{array}{l l} \alpha x & \quad \text{if $x < y$}\\ x & \quad \text{if $x = y$}\\ \alpha x + (1 -\alpha) & ...
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1answer
104 views

Parameter Estimation of a mixture of sums of Lognormals

Let $X$ be a random variable that is of a mixture distribution of two lognormals (with the same sigma), so $X \approx p\cdot \mathcal L (\mu_1, \sigma) + (1-p)\cdot \mathcal L (\mu_2,\sigma)$. Now ...
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1answer
44 views

Using ImplicitRegion to define an ellipse around Multinormal distribution for integration

I have both a 2D 'MultinormalDistribution', and also a single xy point, and I would like to be able to calculate the probability of this point (given the multinormal distribution) and also plot an ...
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1answer
96 views

Manual maximum likelihood estimation of a mixture with no closed form

Let $X$ be a random variable that is from a mixture of two Lognormals (Lognormals(mu1,sigma) and Lognormals(mu2,sigma)) and set $Y=X_1+X_2+...+X_{10}$ a sum of 10 random variables from this mixture. ...
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1answer
69 views

Probability of xy point on bivariate normal distribution [closed]

I have a bivariate normal distribution and I am trying to calculate the probability of finding a point at a certain distance from the mean, so far with limited success. My approach has been to build ...
2
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1answer
127 views

FindDistributionParameters of a sum of a mixture distribution

I have this Mixture Distribution of two Normal Distributions: ...
0
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1answer
89 views

Inclusion-Exclusion Principle Implementation

I would like to know how I can write a Mathematica code for the Inclusion–exclusion principle. The formulas governing it are: $ P(\bigcup_{i=1}^n A_i)=\sum_{k=1}^n (-1)^{k-1} ...
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4answers
260 views

Conditional Expectation — How can Mathematica find a more general closed form?

Mathematica can't find a solution to this Expectation. ...
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1answer
81 views
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0answers
83 views

How to be faster at making a frequency list of increasing steps

I want to find propabilities of having a sequence in a list, by using frequencies. The case is that you will bet on an increase when the last event had an increased and bet on derease when the last ...
2
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2answers
209 views

Finding Expectation of function of a Log-normal distribution

Say $Y=g(X)$ and $p_X = \frac{e^{-\frac{(\mu -\log (x))^2}{2 \sigma ^2}}}{\sqrt{2 \pi } x \sigma }$ is Log-normal density function: [Wiki] Find E[Y]? Since $E[Y] = \int_0^\infty y f_Y \ dy = ...
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0answers
165 views

Calculating probabilities symbolically

Is there a way to solve for statistical quantities analytically/symbolically in Mathematica? example 1: Lets say that I want to do a calculation that requires Bayes theorem. I know p(a), p(b) and ...
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2answers
232 views

Function given exact arguments returns hugely different value than it returns when given equivalent inexact arguments

I was trying to compute the probability that a coin is from a particular underlying distribution given that a particular set of tosses was observed. (I know this can be done in a different way, but I ...
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1answer
128 views

Generating a list of standard normal random variables

Im trying to generate a list of random (standard) independent normal variables. For this, I first generate a random list of, say, 100 real numbers in the range [0, 1000], and then make them standard ...
6
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1answer
99 views

Why am I getting wildly incorrect results from FirstPassageTimeDistribution with inexact transition matrix?

Working on some large systems using DiscreteMarkovProcess, I changed the transition matrix to machine precision vs using exact values, which sped things up handily. ...
5
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1answer
522 views

Is there a free version of the Springer book “Mathematical Statistics with Mathematica”?

Is there a free version of the Springer book: $$\text{Mathematical Statistics with Mathematica}$$ by Rose and Smith ... available on the internet?
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0answers
54 views

Expectation taking unusually long to evaluate

I am trying to evaluate an expectation, but it is taking an extremely long time although the expression itself should not be too complicated. My code is ...
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0answers
47 views

Symbolic manipulation of the moments of an unknown distribution

I'm curious as to whether it's possible to get Mathematica to simplify/manipulate/expand basic expectations, conditional expectations, sums of random variables, etc. A simple example might be: ...
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0answers
42 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
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1answer
109 views

Integration of linked PDFs over probability simplex

I'm trying to integrate the following expression: f[a1,p1+p2+p3+p4]*f[a2,p2+p3+p4]*f[a3,p3+p4]*f[a4,p4] Where ...
3
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2answers
125 views

Calculating the conditional probability of discrete samples

I have two lists: a = {0, 1, 1, 1, 0, 1} b = {1, 0, 1, 1, 0, 0} I'd like to calculate the conditional probability of a given b; for example, $p(a=1 | b=0)$. Is ...
20
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3answers
355 views

Negative probability?

Bug introduced in 9.0.1 and fixed in 10.0.2 I am trying to get the sum of the squares of seven random variables, all uniformly distributed. This is what I tried. ...
2
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1answer
276 views

Reversing Autocorrect, aka how to find the word that was supposed to be there

When I receive messages from people using their smartphones I usually see typos and, worst, typos corrected by Autocorrect. Now, I receive messages in English, which is not my first language. I can ...
1
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1answer
86 views

Working with means and variances

My goal is to work out on the following equation: $$Mean(P)(1-Mean (P))\left (h + (1 - 2 h) (1 - \frac {Var (P)} {Mean (P) (1 - Mean (P))}) (1 - Mean (P)) + \frac {Var (P)} {Mean (P) (1 - Mean ...
1
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1answer
174 views

Bilateral Laplace Transform in Mathematica (to be used with Moment Generating Functions)?

I am trying to solve a linear ODE for a Kolmogorov forward equation to get a stationary distribution of a random variable. The easiest approach may be to transform the ODE with a two-sided Laplace ...
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0answers
51 views

Time varying Poisson rate using ParameterMixtureDistribution

I have a system in which there is a Poisson arrival process with rate $\lambda$. I need to split this process into two independent poisson processes $\lambda_i$ and $\lambda_u$. Where ...
2
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3answers
517 views

How do I plot two Gaussians/normal distributions with 2 different means and 2 different standard deviations?

This is probably very easy for someone with more experience, but I am trying to plot only two Normal distributions, but for some reason my Method plots 4, instead of 2. I have: ...
5
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1answer
115 views

MarginalDistribution with Symbolic range in ProbabilityDistribution

Given the following joint density: for 10 < x < 20, x/2 < y < x. To find the marginal density for X we do: ...
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1answer
124 views

Expressing a joint distribution for use in ContourPlot

I have $$X_1=T + W$$ $$X_2=2 T + 3 W$$ where $$W \sim N(3,5) \,\text{;}\,\, T \sim N(1,2)$$ and $$P(X=X_1)=P(X=X_2)=\tfrac{1}{2}$$ which I have awkwardly expressed as ...
3
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1answer
150 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 ...
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1answer
69 views

Pattern matching with PDF, Distributed and multivariate distributions

I have defined a function to compute the Shannon entropy of a probability distribution: ent[p_] := Expectation[-Log[PDF[p, x]], x \[Distributed] p] This works ...
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0answers
77 views

An example of how to compute numerically the KL-divergence in mathematica [closed]

I wanted to compute an exact number for two probabilities that I am comparing. These are two normal distributions as: $$Normal(\mu = 5, \sigma = 4)$$ $$Normal(\mu = 5, \sigma = 5)$$ I decided to ...
3
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0answers
114 views

What can I do to improve the performance of my calculations?

I'm trying to express a simple probability problem in Mathematica, but am having trouble getting my calculations to execute at a reasonable speed. I have an object whose unknown location is modeled ...
3
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1answer
186 views

Put random points into a specific 2D subregion

I want to cover a particular subregion of the x-y plane with a random distribution. As this particular region is not a circle I encounter some problems declaring the permitted zone where to put ...
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0answers
103 views

Constrained maximum likelihood

Trying to solve a MLE with nonlinear constraints that need to be satisfied. However, the given solution do not match the constraints. Am I doing it correctly? ...
1
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1answer
95 views

Difficulty finding Expectation of a special function

I have a special function given as: $${\rm f}\left(r\right) ={1 \over \beta\lambda}\,2^{r/\beta} \exp\left({\left[2^{r/\beta} - 1\right]K \over \lambda}\right)$$ I should find the Expectation of ...
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0answers
83 views

Converting problem into form involving Probability

I want to solve the following problem symbolically, using Probability: What is the probability of the first random variate of a set to be present more than ...
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0answers
219 views

Slow mixture fitting when having ill-conditioned covariance matrices. How to make it faster?

I'm using Mathematica 9.0 to fit multidimensional observations with a gaussian mixture. To do so I first adapted these steps to ensure that the mixture parameters are well defined (see ...
3
votes
1answer
81 views

Where do Mathematica's probability functions draw a line in the sand for predicates?

Thinking about a recent question mis-posted here (belonged on math), I noted the following. A contrived example - probability that a or b are 1: ...
3
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1answer
383 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 ...
1
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1answer
83 views

How to define an n-variate empirical distribution function probability for any n?

I'm using Mathematica 9.0 to calculate the probability according to the empirical distribution function (EDF) of some sample data. Afterwords this is included in a maximization stage so I define this ...
2
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1answer
87 views

Define shifted pdf

I defined a PDF called dist, for example like this one: ...
0
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1answer
99 views

Calculate expected value of custom pdf

I've a custom pdf in the sense that it's the convolution of several other PDFs p[t_] := Convolve[p1[x],p2[x],x,t]; Now I want to calculate the expected value of ...
0
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1answer
134 views

PDF for Gamma Distribution not what I expect

I have plotted the the PDF for a Gamma Distribution with various parameters (e.g. 3 and 5) using Manipulate: ...
4
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1answer
105 views

Define customised distribution with discontinuous CDF

I have the following CDF: ...
0
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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
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0answers
43 views

Using an Interpolating Function as a probability density function [duplicate]

I have seen a couple of similar questions but have not been able to figure out a solution for my particular problem. I have a probability density function of two variables ...
2
votes
2answers
186 views

Summing Normal random variables

I would like to plot the graph of the sum of two random variables.So, I wrote Plot[PDF[NormalDistribution[0, 1]+NormalDistribution[0, 1], x], {x, -10, 10}] Why ...
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1answer
189 views

2D Markov Process

I have a homework project. I need to analyse a gambler's ruin where there are 6 possible outcomes of every wager with corresponding probabilities and payoffs and the gambler may vary the wager (say ...
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0answers
307 views

When are `If`, `Piecewise`, `Switch`, and `Which` interchangeable and when are they not?

Experimenting with joint dependent distributions via the TransformedDistribution function, I used the following to derive a distribution where the second variate is ...