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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6
votes
1answer
316 views

Speeding up the non-negativity algorithm for multilinear function with interval probabilities?

The algorithm is a branch-and-bound algorithm that calculates the non-negativity of a multilinear function with interval probabilities. The lines 9-11 has an optimization that is explained on the ...
5
votes
5answers
353 views

Probability: proportion of 1000 random lists for x that contain the same nrs

I want to estimate, for groups of x persons, the probability that at least two of them have the same birthday. I want to repeat this process 1000 times. So I'm looking for the number of 1000 random ...
0
votes
0answers
39 views

Better chances on a gambling game [closed]

I'm working on a program that I hope it will help me to get better chances on a gambling game. I have a very large database of numbers how occur in this game and my program pass through those numbers ...
-1
votes
0answers
40 views

Half Normal Distribution [migrated]

I have a question about Half Normal Distribution. Suppose that $x$ is Normally Distributed with zero mean $(\mu=0)$ and variance $(0<\sigma^2 <1)$. I want to find the probability distribution ...
0
votes
1answer
108 views

Conditional probability

I am new to Mathematica. I am asking how to define a conditinal probability in Mathematica. Here is an example of what I want to do: Assume that $P(x_b\,|\,x_i)=\left\{ \begin{array}{} ...
4
votes
2answers
372 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 ...
2
votes
1answer
90 views

Calculate exact Probability of product of normal random variables

Find the value of $P[\Pi_{i=1}^{10}X_i > C]$ for $C=5$, where $X_{10\times 1}$ is a random vector with $10$ dimensional Normal Distribution having location parameter $\mu_{10\times 1} = ...
1
vote
1answer
64 views

Mean of inverse probability distribution does not agree with explicit integral

I tried to work with the inverse exponential distribution and encountered the following, which I think is an inconsistency in Mathematica (version 10.0.2): ...
0
votes
1answer
188 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 ...
4
votes
1answer
105 views

Find fit of an experimental PDF

After quite some struggle, I managed to put up a code that is syntaxically correct. The goal is to find the parameters for a gamma distribution that best match experimental data. The data is a set of ...
1
vote
1answer
75 views

how to calculate the covariance of sample central moments

$\bar{x}= \sum_{i=1} ^{n} \frac{1}{n}x_{i}$ $m_1=\sum _{i=1} ^{n} \frac{1}{n} (x_{i}-\bar{x})$ $m_2=\sum _{i=1} ^{n} \frac{1}{n} (x_{i}-\bar{x})^2 $ $m_3=\sum _{i=1} ^{n} ...
5
votes
2answers
413 views

Probability: Calculating a multiple integral

Find the value of $P[\Pi_{i=1}^{10}X_i > C]$ for $C=2,5$, where $X_{10\times 1}$ is a random vector with $10$ dimensional Cauchy Distribution having location parameter $\mu_{10\times 1} = ...
2
votes
0answers
48 views

Optimization of custom probability distibutions?

Consider the two tests: Timing[Do[RandomVariate[NormalDistribution[0.5, 0.3]], {200}]] {0.001188, Null} ...
3
votes
2answers
140 views

Plot contours for 3d histograms

I have a data set which is a list of pairs. From this I can easily make a 3d histogram with Histogram3D[data] or a smoothed ...
1
vote
1answer
64 views

calculate variance of conditional sum of Normals

Let $\quad W \sim N(\mu_0, \sigma_0^2), \quad X_1 \sim N(\mu_1, \sigma_1^2), \quad X_2 \sim N(\mu_2, \sigma_2^2)$ denote independent random variables, and let $c$ denote a constant. I want to find ...
4
votes
2answers
143 views

Deriving a Rayleigh distribution

When I tried to find this Rayleigh distribution Mathematica couldn't come with an answer: ...
9
votes
2answers
118 views

Why are Binormal and Multinormal giving me different results when I use NExpectation?

fixed in 10.1 (windows) Binormal and Multinormal can both be used to represent normal random variables: ...
0
votes
0answers
46 views

How to Fit a Generalized Pareto Distribution to data in Mathematica

I'd like to know how to fit a Generalized Pareto distribution in Mathematica to implement the Peak Over Threshold method for tail estimation of operational risk losses. Does anybody have a toy example ...
2
votes
1answer
71 views

Find confidence interval for negative binomial using Mathematica

I would like to find the exact 95% confidence intervals on the mean of a negative binomial random variable using Mathematica. It is possible to approximate the distribution using a gamma/normal, but ...
4
votes
1answer
58 views

How to get probabilities for multinomial & hypergeometric distribution ranges more quickly?

I often need to calculate the probability of a result from a multinomial distribution falling within some range, e.g., the maximum of the categories having an upper bound, or a lower bound for the ...
1
vote
0answers
84 views

Extrapolation of area for a 2D integration

I have a set of points distributed almost uniformly in a certain area of a 2D plane as follow: An example of data points (orange) data = {{0.919443, 1.68921*10^-22}, {0.262277, ...
11
votes
5answers
630 views

Probability problem — Rube Goldberg solution?

A user posted this question on StackOverflow which was closed as off topic: 3 people are playing a game with a standard 52 card deck. Each player is given 2 cards each, possible cards and their ...
0
votes
2answers
37 views

Simulate from an AR(1) process where the parameters vary over time

I would like to simulate from an AR(1) process, where the $\rho$ parameter in the process of the form: $X_t = \rho X_{t-1} + \epsilon_t$ varies over time. The path of $\rho$ and $var(\epsilon_t)$ ...
1
vote
1answer
67 views

Cannot evaluate TransformedDistribution for vectorial sum

I'm trying to obtain the distribution of the magnitude (length) of the vectorial sum of two vectors under a random (uniformly distributed) angle $\phi$. The sum is $\sqrt{x^2+y^2+2xy\cos(\phi)}$, ...
2
votes
2answers
123 views

How to plot points with error circles on map with latitude/longitude grid

I am currently working on a project to model the location of icebergs in the northwest atlantic. When an iceberg is sighted, an error circle is plotted around it (with a bivariate normal probability ...
2
votes
1answer
56 views

Why is RandomVariate of special probability distribution doesn't working in all cases

I would like to generate a random variates in Mathematica 9 with this distribution: ...
4
votes
2answers
198 views

Calculate PDF and CDF of a product of independent exponentially distributed random variables

Let x[1], x[2], ..., x[n] be independent random variables each of which is distributed exponentially, i.e. with the PDF ...
2
votes
0answers
95 views

Computational Bayesian analysis in Mathematica: Any plans to develop MCMC?

Does anyone know if there are any plans to develop an MCMC capability in Mathematica? My reasoning for asking is that as it stands, I can't seem to find any 'out-of-the-box' functions/capabilities ...
0
votes
0answers
76 views

Von Neumann's method to generate points uniformly distributed on a region of a n-sphere surface

I am trying to generate points uniformly distributed on a region of a single n-sphere surface (all angles in hyperspheric coordinates are between 0 and Pi/2). I decided to use von Neumann's method ...
2
votes
1answer
82 views

Time inhomogeneous Markov Chain in Mathematica

I would like to create a discrete 2-state Markov process, where the switching probabilities in the transition matrix vary with time. I can currently do the following, which creates a process with ...
0
votes
1answer
105 views

how to scale the plot of PDF (t-distribution)

The directions in my book say: "To sketch the t distribution in Figure 3.11, simply multiply the abscissa t value by the scale factor and plot this against the ordinate of t at that point." So ...
0
votes
1answer
71 views

Sketch Probability density function [closed]

My question is : Suppose that the PDF of a random variable X is as follows: \begin{equation*} f(x) = \begin{cases} ce^{-2x} & \text {$x > 0$}\\ 0 & \text {otherwise}\\ ...
1
vote
2answers
66 views

Maximum likelihood estimation based on frequency table

I have a frequency table of grades, I'm trying to estimate the distribution as a truncated normal distribution (a grade below 65 is a failing grade and doesn't count). Since I don't have the actual ...
1
vote
1answer
92 views

Mean Preserving PDF Spreading

I have a histogram representing the PDF (probability density function) of an unknown discrete RV. The histogram is asymmetrical. Is there a known way in Mathematica to increase/decrease the variance ...
1
vote
3answers
186 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? ...
4
votes
2answers
177 views

When analytical and numerical methods do not agree - Case study with Maximum Likelihoods methods

Here is the probability distribution I am interested in: $$P(q)=C e^{4 n s q} q^{4 n \nu - 1} (1 - q)^{4 n \mu - 1}$$ , where $e$ is the constant of Euler and $C$ is constant so that the whole thing ...
30
votes
7answers
3k views

Efficient way to generate random points with a predefined lower bound on their pairwise Euclidean distance

Using Mathematica what is an efficient way to generate a list of $n$ random two dimensional points $\{x_i,y_i\}$ where $i=1,...,n$ so that no two points $p_1$ and $p_2$ in the list has an Euclidean ...
20
votes
3answers
371 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. ...
0
votes
0answers
74 views
1
vote
0answers
46 views

Why is Plot3D applied to TransformedDistribution in 2 random variables so slow?

I am trying to plot 3D, the pdf of a TransformedDistribution made up of random variables. So I can see the pdf in 3D, similar to this answer here Visualizing a 2-dimensional PDF But it seems to take ...
1
vote
1answer
40 views

Specifying that hierarchical probability distribution conditional on independent random parameters

I would like to create a ParameterMixtureDistribution to model the following: $X \sim $ Binomial($N,P$) $N \sim \mathrm{Poisson}(\lambda) \perp P \sim ...
0
votes
0answers
36 views

Mixture / Hierarchical Distribution from Conditional

How does Mathematica handle Hierarchical distributions. For example, if I have X|Y ~ Poisson(Z) Y ~ Exp(lambda) Z ~ Normal(0,1) First, of all, the distribution of X is only given conditionally and ...
0
votes
1answer
77 views

probability calculation with two independent normal RVs

I don't understand why Probability[X < Y, {X \[Distributed] NormalDistribution[0, 1], Y \[Distributed] NormalDistribution[0, 1]}] gives 1/2 while we know ...
1
vote
1answer
68 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. ...
0
votes
1answer
50 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
0answers
12 views

In Mathematica, how to calculate marginal probability of continuous conditional distributions? [duplicate]

I have random variables A and B, given by Beta distributions. This can be easily defined in Mathematica. I have a conditional probability P(C|A,B) which I custom-design as a function. The function ...
1
vote
1answer
56 views

There is an higher probability to win with 3 dices versus 2 or with 4 dices versus 3?

In Dice wars, you gain a territory rolling the dices you have in an adiacent territory (almost like Risk game). If I have more options to choose, there are more chances to win with 3 dices versus 2 ...