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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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} = ...
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2answers
29 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 $var(\epsilon_t)$ ...
6
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1answer
283 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 ...
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0answers
38 views

probability - a chess problem [on hold]

Question has been moved to http://math.stackexchange.com/questions/1162943/probability-a-chess-problem The question is from: edx -> 6.0.41 -> unit2 -> solved problem -> A chess tournament problem, as ...
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0answers
3 views

Expected value in probability? [migrated]

Isn't the definition of expected value little non mathematical. I mean average is defined when experiment is done, so how can we before hand tell the expected value. Let say for toss, if I get ₹1 for ...
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1answer
64 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 $\sqrt{x^2+y^2+2xy\cos(\phi)}$, ...
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2answers
101 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 ...
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1answer
41 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: ...
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2answers
165 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 ...
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0answers
41 views

Probability Counting Question [migrated]

I am still new to probability and am trying some counting problems The question I am trying to solve is A carton contains 10 balls. 3 of these are coloured black the rest blue. Balls are drawn without ...
2
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0answers
52 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 ...
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0answers
55 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
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1answer
64 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 ...
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0answers
39 views

Tricky Probability Question not sure where to start [migrated]

A bag contains x (inedible) regular rabbits and one chocolate rabbit. Two players in turn draw a rabbit at random without replacement from the bag, until the chocolate rabbit is drawn. The player ...
0
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1answer
67 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 ...
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1answer
53 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}\\ ...
4
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2answers
296 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} = ...
0
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1answer
155 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 ...
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2answers
54 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 ...
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1answer
83 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 ...
0
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0answers
22 views

How to “reduce” a probability distribution satisfying certain conditions [migrated]

I will try and explain the question I have in term of an example. I am given some probability distribution $f$, in this case of 2 variables x and p, $f(x,p)$. For example, I can pick the ...
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3answers
162 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
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2answers
165 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 ...
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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 ...
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3answers
364 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. ...
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0answers
60 views
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0answers
42 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 ...
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1answer
35 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 ...
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0answers
35 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 ...
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1answer
72 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
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1answer
55 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
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1answer
44 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 ...
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0answers
10 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 ...
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1answer
49 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 ...
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1answer
50 views

probability going outside 1 (due to optimization violation of constraint)

I am working on an optimization, which involves the following density: ...
2
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1answer
103 views

How to get a more compact form of this probability calculation?

Inspired by the probability calculation here, I am trying to solve a little general one: $$\mathbb{P} (\sum_{i=1}^{m-1} A_i + \sum_{i=1}^{m} S_i < L < \sum_{i=1}^{m} A_i + \sum_{i=1}^{m+1} ...
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2answers
191 views

what is The Formula behind the Kolmogorov-Smirnov test statistics?

I calculate the Kolmogrov-samirnov test statistic for the following data: ...
5
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1answer
289 views

How to solve this probability symbolically or numerically?

I am trying to calculate the following probability $$\mathbb{P} \big(\sum_{i=1}^{m} (A_i + S_i) \le L < \sum_{i=1}^{m+1} (A_i + S_i) \big)$$ where, $$A_i \sim \exp(\lambda), \quad S_i \sim ...
2
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1answer
48 views

TransformedDistribution using n iid random variables

How do I create a TransformedDistribution that uses $n$ independent identically distributed (i.i.d.) random variables? For example, I can derive a chi-squared ...
0
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1answer
42 views

Combining two SmoothHistogram plots without normalization of each

I'm trying to plot a density of states out of a list of energy values, and on it I want to include another over-layed plot with it that shows some fraction of that density of states at different ...
2
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1answer
134 views

on Kolmogorov-Smirnov test

I found a problem to calculate Kolmogorov-Smirnov test statistic or p-value the data is ...
2
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0answers
58 views

Belief Network, Bayesian network

There is already a question about simulating Bayesian networks with Mathematica (Mathematica Package for Bayesian Networks). However, are there any packages or approaches which help in computing the ...
3
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2answers
125 views

RandomFunction and Histograms

RandomFunction[QueueingProcess[3, 5], {0, 15}] Histogram[data, Automatic, "PDF"] gives a very nice way to see the histogram based on the specified process. ...
2
votes
1answer
61 views

Statistical Analyzis of Observed Data (Queuing Process)

Basically I have a process that belongs to a certain state at any point of time. However, the time intervals are not fixed (in fact they are exponentially distributed). Essentially, the data points ...
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0answers
70 views

Simulating Dynamic Priority Queues

I have found several examples of static priority queue implementations: there are two classes of items, with the exponential interarrival times. The service times are also exponential. The first-class ...
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1answer
40 views

Understanding `TransformedDistribution` behavior on two similar lines of code

The two following lines of code does not give the same output. Mathematica manages to calculate the first one but fails to calculate the second one. ...
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2answers
126 views

Calculate expected value of piece-wise pdf

I have the following PDF of a random variable: $f(x)=\begin{cases} 1 & \text{if}\ \ \ 0<x<\frac{1}{2} \vee 1 < x < \frac{3}{2}\\ 0 & \text{otherwise}. \end{cases}$ How can i ...