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Sextus Empiricus
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Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$$\mathbb{P}(A \vert B)$ and $Y$$B$ is itself a random variable, then you can find the probability of $\mathbb{P}(X)$$\mathbb{P}(A)$ as a compound distribution or by using the law of total probability

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) \underbrace{ = \mathbb{P}(X \vert Y) \sum_{\forall Y} \mathbb{P}(Y) = \mathbb{P}(X \vert Y)}_{\text{if $ \mathbb{P}(X \vert Y)$ is independent of $Y$}} $$$$\mathbb{P}(A) = \sum_{\forall B} \mathbb{P}(A \vert B)\mathbb{P}(B) $$

if $ \mathbb{P}(A \vert B) = f(A)$ is a function independent of $B$ then it can be taken out of the sum and you get

$$\mathbb{P}(A) = \sum_{\forall B} \mathbb{P}(A \vert B)\mathbb{P}(B) = f(A)\sum_{\forall B} \mathbb{P}(B) = f(A) $$

Similarly when $\mathbb{P}(X-Y\vert X>Y, Y)$ is independent from $Y$ then you know $\mathbb{P}(X-Y\vert X>Y)$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itself a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution or by using the law of total probability

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) \underbrace{ = \mathbb{P}(X \vert Y) \sum_{\forall Y} \mathbb{P}(Y) = \mathbb{P}(X \vert Y)}_{\text{if $ \mathbb{P}(X \vert Y)$ is independent of $Y$}} $$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(A \vert B)$ and $B$ is itself a random variable, then you can find the probability of $\mathbb{P}(A)$ as a compound distribution or by using the law of total probability

$$\mathbb{P}(A) = \sum_{\forall B} \mathbb{P}(A \vert B)\mathbb{P}(B) $$

if $ \mathbb{P}(A \vert B) = f(A)$ is a function independent of $B$ then it can be taken out of the sum and you get

$$\mathbb{P}(A) = \sum_{\forall B} \mathbb{P}(A \vert B)\mathbb{P}(B) = f(A)\sum_{\forall B} \mathbb{P}(B) = f(A) $$

Similarly when $\mathbb{P}(X-Y\vert X>Y, Y)$ is independent from $Y$ then you know $\mathbb{P}(X-Y\vert X>Y)$

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Sextus Empiricus
  • 86.5k
  • 6
  • 115
  • 302

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itselveitself a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution.

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y)$$

and if $ \mathbb{P}(X \vert Y)$ is independent of or by using the $Y$ you getlaw of total probability

$$\sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) = \mathbb{P}(X \vert Y) \underbrace{\sum_{\forall Y} \mathbb{P}(Y)}_{=1} = \mathbb{P}(X \vert Y) $$$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) \underbrace{ = \mathbb{P}(X \vert Y) \sum_{\forall Y} \mathbb{P}(Y) = \mathbb{P}(X \vert Y)}_{\text{if $ \mathbb{P}(X \vert Y)$ is independent of $Y$}} $$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itselve a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution.

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y)$$

and if $ \mathbb{P}(X \vert Y)$ is independent of $Y$ you get

$$\sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) = \mathbb{P}(X \vert Y) \underbrace{\sum_{\forall Y} \mathbb{P}(Y)}_{=1} = \mathbb{P}(X \vert Y) $$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itself a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution or by using the law of total probability

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) \underbrace{ = \mathbb{P}(X \vert Y) \sum_{\forall Y} \mathbb{P}(Y) = \mathbb{P}(X \vert Y)}_{\text{if $ \mathbb{P}(X \vert Y)$ is independent of $Y$}} $$

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Sextus Empiricus
  • 86.5k
  • 6
  • 115
  • 302

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itselve a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution.

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y)$$

and if $ \mathbb{P}(X \vert Y)$ is independent of $Y$ you get

$$\sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) = \mathbb{P}(X \vert Y) \underbrace{\sum_{\forall Y} \mathbb{P}(Y)}_{=1} = \mathbb{P}(X \vert Y) $$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

Consider the distribution of $X\vert X>Y$ or the memorylessness. Then see if it is easy to change it to $X-Y\vert X>Y$

But here Y is also a random variable. Does it matter?

If you know $\mathbb{P}(X \vert Y)$ and $Y$ is itselve a random variable, then you can find the probability of $\mathbb{P}(X)$ as a compound distribution.

$$\mathbb{P}(X) = \sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y)$$

and if $ \mathbb{P}(X \vert Y)$ is independent of $Y$ you get

$$\sum_{\forall Y} \mathbb{P}(X \vert Y)\mathbb{P}(Y) = \mathbb{P}(X \vert Y) \underbrace{\sum_{\forall Y} \mathbb{P}(Y)}_{=1} = \mathbb{P}(X \vert Y) $$

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Sextus Empiricus
  • 86.5k
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  • 115
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