# Tagged Questions

41 views

### Distribution of norm of random matrix

I am curious to know whether central-limit theorem like considerations hold true for special functions like the norm of a matrix. Specifically, I'm interested in the Spectral norm of a matrix ...
51 views

### Bayesian random walk: updating on samples from posterior

Suppose that, at first, I am trying to estimate the mean and standard deviation of some data that I assume to be normally distributed. My prior is gaussian with mean $\mu_0$ and variance $\sigma^2_0$. ...
29 views

### Confusion related to Gaussian Markov Random field

I was reading this paper related to Gaussian Markov Random field. I didn't get how they derived this equation from the standard multivariate gaussian distribution equation The multivariate gaussian ...
515 views

### Expected value and variance of log(a)

I have a random variable $X(a) = \log(a)$ where a is normal distributed $\mathcal N(\mu,\sigma^2)$. What can I say about $E(X)$ and $Var(X)$? An approximation would be helpful too.
26 views

### Probability that a given Normal Distribution is Maximum among others [duplicate]

You are given the mean and standard deviations of N normal distributions x1,x2...xn What is the probability that x1 is maximum? ie. Find P(x1>x2,x3..xn) How do I go about solving this? x1,x2,x3 etc ...
204 views

### The sample size applied to a non-normal distribution

I have a single variable that represents my population values (sample of data): ...
511 views

### How to use Box-Muller transform to generate n-dimensional normal random variables

I'm trying to generate random variables. I read about Box-Muller transform which is a way to generate a pair of normal variables, 2-d normal distrubution. But how do I expand that transform to ...
621 views

### pdf of the product of two independent random variables, normal and chi-square

what is the pdf of the product of two independent random variables X and Y, if X and Y are independent? X is normal distributed and Y is chi-square distributed. Z = XY if $X$ has normal distribution ...
325 views

### What is $P(X_1>X_2 , X_1>X_3,… , X_1>X_n)$?

All $X$ are mutually independent and from normal distributions, each with its own mean and variance. If it's easier, $P(X_1 \geq X_i \forall i \in \{1, ..., n\})$ is fine although I suspect it's the ...
143 views

### Product of Independent Gaussian Variables

Let $X$ and $Y$ be two independent normal distributions according to $X\sim\mathcal{N}(0,P)$ and $Y\sim\mathcal{N}(0,Q)$. Is it true to say the following ? ...
176 views

### Linear combination of Gaussian random fields

I am modelling three spatial variables, $v_1, v_2$ and $v_3$ (for example, porosity, water saturation and vshale) that are correlated with each other: $\rho_{12}, \rho_{13}$ and $\rho_{23}$. Let's ...
271 views

### Estimation of white noise parameters in Gaussian random walk model

I want to estimate the parameters (mean , variance ) $e(t)$ for the random walk model $X (t) = X (t-1) + e(t)$. (where $e(t)$ is the white noise with a Normal distribution). By using the fact that ...
566 views

### Few random variables cannot influence $n$ independent others too much?
I have $n$ standard normal and independent random variables $X_i$ (In reality I have a large known number of them, but let's just say I have $n$). In my experiment I want to on average get exactly 3 ...