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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2
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2answers
339 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 = ...
9
votes
0answers
224 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 ...
4
votes
2answers
248 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 ...
0
votes
1answer
300 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 ...
7
votes
1answer
104 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
votes
1answer
779 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?
0
votes
0answers
58 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 ...
0
votes
1answer
219 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
votes
2answers
159 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
votes
3answers
375 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
votes
1answer
586 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
vote
1answer
138 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 ...
4
votes
2answers
398 views

Bilateral Laplace Transform

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 ...
3
votes
3answers
1k 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
votes
1answer
124 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: ...
1
vote
1answer
171 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
votes
1answer
164 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 ...
0
votes
1answer
78 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 ...
3
votes
0answers
117 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
votes
1answer
198 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 ...
1
vote
1answer
99 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 ...
4
votes
0answers
89 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 ...
2
votes
0answers
345 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 ...
4
votes
1answer
87 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
votes
1answer
523 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
vote
1answer
101 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
votes
1answer
94 views

Define shifted pdf

I defined a PDF called dist, for example like this one: ...
0
votes
1answer
132 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
votes
1answer
183 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: ...
5
votes
1answer
126 views

Define customised distribution with discontinuous CDF

I have the following CDF: ...
0
votes
0answers
107 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
45 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
314 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 ...
1
vote
1answer
213 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 ...
1
vote
0answers
410 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 ...
1
vote
1answer
255 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 ...
4
votes
4answers
683 views

Generate random points in a region with higher probability in a sub-region

I am trying to generate random samples of points in the unit square in such a way that points inside a given circle are twice as likely to be selected as points outside of that circle. I tried to ...
1
vote
2answers
191 views

Analyzing Betting (Keno) in Mathematica [closed]

Keno is a popular lottery game that is available with all of the larger casino softwares. The player is given a ticket with 70 numbers on it. He picks 1 to 11 numbers on the ticket. 20 winning numbers ...
7
votes
1answer
220 views

How to create a spliced survival statistical distribution?

I am trying to use Mathematica for more of my reliability engineering work and am having trouble using SplicedDistribution. I have a Weibull distribution (dist1) associated with a low stress ...
2
votes
1answer
273 views

Making a histogram of a user defined random variable

Suppose I want to generate a histogram of $n$ trials a slightly complicated random variable in Mathematica. Is there an easy way to do this? For instance, to make a histogram of a normal variable one ...
1
vote
1answer
79 views

Find the point that holds a given property

I have a normal distribution with mean 106, and a standard deviation of 8. I'm being asked to find the point that has the property that 25% of these values have this value or lower. What I've ...
0
votes
1answer
233 views

Solve Probability of Distribution

Why does this work: Solve[Probability[x <= t, x \[Distributed] NormalDistribution[]] == 0.95 ,t] But this doesn't: ...
4
votes
2answers
772 views

Why does this integral have a complex component?

I wanted to find the probability of my normally-distributed random variable being at least 15, so I set up this integral: ...
4
votes
2answers
166 views

Finding the characteristic function of a TransformedDistribution[]

I am trying to find the characteristic function of a sum of "named" distributions, though I am interested in how to use Mathematica to find the characteristic function of $$f(X_1,\ldots, X_n),$$ where ...
1
vote
1answer
115 views

How to use ProbabilityDistribution for a posterior expression [duplicate]

I am performing a Bayesian updating on a Lognormal prior. After combining the prior and likelihood and dividing by the normalization constant I get the following expression as the posterior: ...
1
vote
2answers
236 views

How to use Mathematica in my Problem as I would use it in Matlab

I would like to calculate the convolution of a function with itself for $n$ times. Let $n$ be $10$. For $n=1$, I wont make any calculation and $f0$ is my function, when $n=2$, I will convolve $f0$ ...
4
votes
3answers
436 views

Plotting the convolution of the same probability density function with itself

I would like to compute the integral $$q_n(x)=\int_{B}^A q_{n-1} (\omega)f(x-\omega)\mathrm{d} \omega,\quad q_1=f,\quad n\geq 1.$$ for a given density function $f$. Basically it is the convolution ...
0
votes
0answers
160 views

Discrete distribution binomial set up

I hope one of you guys can help me out. I am trying to visualize a discrete distribution based on a binomial distribution and a mixed binomial distribution. In the first step I started to determine ...
3
votes
4answers
109 views

Check whether a function of two variables is a probabilty distribution function

I have a function like this $f(x,y)=c\,y\,(y-x),\ \text{for}\ 0<x<2,\;-x<y<x$ and I need to find the value of $c$ such that $f(x,y)$ is a PDF. How can I do that? I know that the ...
7
votes
1answer
188 views

RandomVariate does not fill range of PDF of distribution

I've declared my own probability distribution as follows dist[a_, b_] := ProbabilityDistribution[Cos[(b x)/2]^2 Sinc[a x]^2, {x, -400, 400}]; When I try to ...