# Tagged Questions

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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### 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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### RandomVariate from 2-dimensional probability distribution

A probability distribution can be created in Mathematica (I am using 8.0.1) with e.g. ...
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### 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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### What is the average of rolling two dice and only taking the value of the higher dice roll?

I am referencing to this question on mathunderflow: What is the average of rolling two dice and only taking the value of the higher dice roll? Now I tried: ...
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### How to compute the inverse CDF properly?

Note: this has been fixed in version 9. I want to compute the CDF and inverse CDF of the hyperbolic distribution: ...
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### Obtaining joint distributions and conditional distributions using Mathematica

I have two multivariate Gaussian distributions $p(x)$ and $p(z)$ with mean vectors $m_x$ and $m_z$, and covariance matrices $\Sigma_x$ and $\Sigma_z$. my model is a simple linear model $x = W z+n$ ...
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### RandomVariate returns values outside the support of a PDF

Let $X$ be a random variable with pdf: dist = ProbabilityDistribution[1/(Abs[x]*Log[Abs[x]]^2), {x, -E^-2, E^-2}] Here are some pseudo-random drawings from it: ...
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### 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 ...
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### Simulate a simple spinner

I'm teaching some simple ideas in probability to students in grade 7. The "spinner" below works, but I'm wondering how I could make it just a bit more realistic by having it actually "spin" around a ...
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### NExpectation behaves oddly with EmpiricalDistribution

Note: this is fixed in version 9. My question concerns the usage of NExpectation and Expectation and why I see the behavior I ...
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### 2D Gaussian distribution of squares coordinates

I would like to imitate the structure of this great painting from Ellsworth Kelly in Mathematica. Yet with all the colored squares in Black and the beige one in white. Below is what I have wrote to ...
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### How to calculate the mode of a probability distribution

I was wondering if there is any command to get the mode of the probability distributions. Calculating manually, the mode is (alpha-1)/(alpha+beta-2) While the mean, median or variance of the beta ...
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### How to generate a RandomVariate of a custom distribution?

I'm trying to generate a pseudorandom variate out of a custom distribution. Suppose I want define a custom distribution, and for the sake of simplicity I define a Poisson distribution (the ...
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### How do I solve this probability problem with Probability？

Consider a stick of length 1. Pick two points uniformly at random on the stick, and break the stick at those points. What is the probability that the three segments obtained in this way form a ...
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### Extracting equations from Piecewise expressions

Say I have a PDF: PDF[LogNormalDistribution[1.75, 0.65], x] Calculating it, Mathematica gives me an expression that looks like this: I want to extract the ...
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### Mathematica Package for Bayesian Networks

Are there any packages that allow the simulation of Bayesian Networks with Mathematica? I found what seemed to be a promising package (Dynamics) on a Brown University URL, ...
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### Mathematica code for hidden Markov models (HMM)

I am looking for some simple Mathematica code to model an HMM with just a few states and an equal number of observable signals (emissions). I am hoping to generate sample paths and keep track of the ...
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### 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 ...
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### Expected Value: Strange/unexpected result

Assume $X$ is an exponential random variable with unit mean ($f_X(x)=e^{-x}$, $x>0$). I want to calculate the expected value of $\frac{1}{X}$. Since $X>0$, I am expecting that ...
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### Random variables with transformed discrete distributions cannot be applied to Probability[] function?

I have two discrete uniform distributions over same support: Dx = DiscreteUniformDistribution[{-8, 8}]; Dy = DiscreteUniformDistribution[{-8, 8}]; I use ...
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### Recommended book on random processes to understand new functionality in Mathematica 9?

I am interested in exploring the new functionality on random processes available in Mathematica 9, but I am not familiar with all of the underlying mathematics. Could you recommend a book that ...
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### Probability and distribution from actual data

Let's say I have some data from a real world system: ...
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### Why is mathematica giving wrong and incomparable results for the integral?

1) Integration of Gaussian Distribution with $(x,y,z)$ ranging from $-\infty$ to $\infty$ gives 1 as expected using this command in mathematica. (Total Probability = 1) $\sigma = 200000$ and ...
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### 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 ...
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### 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 ...
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### How do I calculate the probability of reaching mean residual life

I need to understand the Survival Analysis concept of "mean residual life (MRL)" and calculating probabilities for reaching it. From another discussion: The MRL at time t is the mean additional ...
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### 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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### Function to compute the probability of exactly one event occurring out of N independent events

Is there a built in function (or a function in one of the standard packages) that allows you to compute the probability of exactly one event occurring out of some known set of probabilities for N ...
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### Different results for MaximumLikelihood depending on method?

When I used this command: ...
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### Speedup of KL Divergence by Monte Carlo Simulation

I started with Mathematica about just a week, so I don't know how to take all of this environment. What I want to know is if there is a way to speedup my code to compute the KL-Divergence of Gaussian ...
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### Simulation Sample Paths for Stochastic Approximation Algorithm

Let $X_t$ be IID random variables in $[0,1]$ and CDF $F(\cdot)$. Suppose there exists a variable $Y_t$ given by: $Y_1 = X_1$ and $Y_t = \phi(X_t, \overline{Y}_{t-1}), \forall t >1$, where ...
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### 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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### How to find the variance under the assumption that x follows some probability distribution

I am aware that we can find the expectation under the assumption that x follows some probability distribution, something like this: ...
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### 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 ...
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### Graphical Plots of PDF and CDF

I have a joint density and distribution function that I want to plot in a meaningful way, (i.e., want to be able to see how the functions behaves as changes in x and y happen simultaneously. If ...
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### Reproducing a graphic on Jensen's inequality for the probabilistic case

I am trying to reproduce the following graph on Jensen's inequality for the probabilistic case (source: wikipedia) but with the exponential function as Y, the normal distribution on the X-axis and ...
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### 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 ...
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### what is The Formula behind the Kolmogorov-Smirnov test statistics?

I calculate the Kolmogrov-samirnov test statistic for the following data: ...
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### Combinations which do not have elements in common

I can choose 2 letters from the four letters $\{A,B,C,D\}$ in 6 combinations using the combination formula $$\frac{n!}{ r! (n-r)!}$$ ...