The maximum tag has no wiki summary.
0
votes
0answers
20 views
Determining maximum of a noisy waveform with known frequency over multiple periods
I have a base signal which is a wave with (fairly) consistent shape and known frequency. On top of that signal is some uniformly distributed additive noise (wave goes from -1 to 1, noise is uniformly ...
2
votes
2answers
105 views
Probability of a random variable to be the largest among others
Let us have $N$ random variables generated by uniform distribution. That is, $$u_i \sim \mathcal{U}(0,1),\quad i=1,\ldots,N$$.
What is the probability of $u_N$ being the largest? I.e., how can I ...
3
votes
1answer
173 views
Who invented profile maximum likelihood estimation?
Could anyone give me some information on who invented profile maximum likelihood estimation or who first use profile maximum likelihood estimation and the short history of profile maximum likelihood ...
0
votes
1answer
238 views
Finding the correlation of every row and column between 2 matrices in R, then taking the max and min values
I'm using R, and I need to find the correlation between every row and column of matrix A and B (ex: the correlation between the 1st row of matrix A and 1st column of matrix B, 2nd row of matrix A and ...
8
votes
1answer
773 views
Finding local extrema of a density function using splines
I am trying to find the local maxima for a probability density function (found using R's density method). I cannot do a simple "look around neighbors" method (where ...
5
votes
0answers
176 views
How can we bound the probability that a random variable is maximal?
Suppose we have $N$ independent random variables $X_1$, $\ldots$, $X_n$ with finite means $\mu_1 \leq \ldots \leq \mu_N$ and variances $\sigma_1^2$, $\ldots$, $\sigma_N^2$. I am looking for ...
-2
votes
1answer
122 views
How can I test the hypothesis that the maximum of a distribution does not exceed a pre-specified number?
I have 100 variables , each variable has a set of values between {0,100} .
My null hypotheses is : For all variables, the maximum value of the values set is not greater than 10
How to test this null ...
1
vote
0answers
110 views
How to calculate the boundary value for a random variable which is sum of variables with gamma and uniform distributions?
The variable is a sum of two random variable which obey gamma and uniform distributions, respectively. The parameters of the uniform distribution variable are determined, and the other's must be ...
9
votes
4answers
4k views
How do you calculate the probability density function of the maximum of a sample of IID uniform random variables?
Given the random variable
$$Y = \max(X_1, X_2, \ldots, X_n)$$
where $X_i$ are IID uniform variables, how do I calculate the PDF of $Y$?
8
votes
2answers
558 views
How to find when a graph reaches a peak and plateaus?
This may sound very basic, but I have this problem:
I've got a queue of data with a window size of 300. New data is added at one end, old values are removed from the other end.
I expect the queue ...
5
votes
2answers
653 views
What is the variance of the maximum of a sample?
I'm looking for bounds on the variance of the maximum of a set of random variables. In other words, I'm looking for closed-form formulas for $B$, such that
$$
\mbox{Var}(\max_i X_i) \leq B \enspace,
...
3
votes
2answers
182 views
Is there an analytical expression for the distribution of the max of a normal k sample?
For example:
k <- 100
R <- 10000
max.g <- numeric(R)
for(i in 1:R) max.g [i] <- max(rnorm(k))
hist(max.g) # We can see it's right tailed...
I ...
5
votes
1answer
813 views
Tangency portfolio in R
I am trying to solve for an efficient portfolio in R. How do I translate my constraints for a tangency point for 2 risky asset portfolio, and a given risk free rate to R solve.QP function? So ...
7
votes
4answers
556 views
Why is the average of the highest value from 100 draws from a normal distribution different from the 98th percentile of the normal distribution?
Why is the average of the highest value from 100 draws from a normal distribution different from the 98% percentile of the normal distribution? It seems that by definition that they should be the ...
