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If $20 $ random numbers are selected independently from the interval $(0,1) $ what is the probability that the sum of these numbers is at least $8$?

I tried to take this question https://math.stackexchange.com/questions/285362/choosing-two-random-numbers-in-0-1-what-is-the-probability-that-sum-of-them as reference but the step where there is a double integral, I got stuck, do I have to make 20 integrals?

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    $\begingroup$ en.wikipedia.org/wiki/Irwin%E2%80%93Hall_distribution $\endgroup$ Commented Jul 28, 2021 at 11:17
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    $\begingroup$ Use the methods applied to a closely related problem at stats.stackexchange.com/questions/194352. A direct method is to compute the entire distribution of the sum of those $20$ random values; many ways to perform that calculation are presented at stats.stackexchange.com/questions/41467. $\endgroup$
    – whuber
    Commented Jul 28, 2021 at 11:55
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    $\begingroup$ While it's perfectly possible to do the calculation, if you're doing an exercise, I expect the intent is probably that you'd use a normal approximation; you're not far into the tail, it should do quite well. Of course, more revealing still would be to do both. $\endgroup$
    – Glen_b
    Commented Jul 28, 2021 at 12:05
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    $\begingroup$ Please suggest edits or policy violation if any , before requesting to close the question $\endgroup$
    – simran
    Commented Jul 28, 2021 at 13:09
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    $\begingroup$ Please add the self-study tag & read its wiki. Then tell us what you understand thus far, what you've tried & where you're stuck. We'll provide hints to help you get unstuck. Please make these changes as just posting your homework & hoping someone will do it for you is grounds for closing. $\endgroup$ Commented Jul 29, 2021 at 0:59

3 Answers 3

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It can be helpful to have a "gross reality check" (or grc) ((some people call it a sanity check)) that comes at the problem side-ways and can tell you if you are doing something wrong.

Here is R-code to simulate the problem, and give an estimate:

set.seed(1)
  temp <- numeric(length=20000)
  for(i in 1:20000){
    # y <- sample(c(0,1),20,T)   # (wrong! Thanks @whuber) discrete
    y <- runif(n=20)  # continuous outputs
    
    # is it 8 or more
    temp[i] <- ifelse(sum(y) >= 8, 1, 0)
  }
  mean(temp)

This is what it gives:

> mean(temp)
[1] 0.94265

After 20k trials I would expect the estimate to be within 1% or 0.1% of theoretical result.

Here is a plot of 20 runs, showing convergence and spread of the estimate

enter image description here

Here is the list of the tail value for the runs, and the residual from the ensemble mean:

          mean      err
    1  0.94265  0.00324
    2  0.94160  0.00219
    3  0.93955  0.00014
    4  0.94190  0.00249
    5  0.93775 -0.00166
    6  0.93580 -0.00361
    7  0.93840 -0.00101
    8  0.93500 -0.00441
    9  0.93735 -0.00206
    10 0.94030  0.00089
    11 0.94160  0.00219
    12 0.93965  0.00024
    13 0.94005  0.00064
    14 0.93810 -0.00131
    15 0.93990  0.00049
    16 0.93995  0.00054
    17 0.93735 -0.00206
    18 0.94125  0.00184
    19 0.94070  0.00129
    20 0.93935 -0.00006

They don't move around much. The standard deviation in those means is ~0.00204, while the ensemble mean is 93.941%

The estimates 93.94% (analytic) and 93.941% (simulated) are ~0.0048 standard deviations apart, which indicates to me that the analytic approach is on the right track.

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    $\begingroup$ This answer is incorrect, because it samples from the set $\{0,1\}$ rather than the entire interval $(0,1).$ Contrast it with n <- 1e6; mean(colSums(matrix(runif(20*n), 20)) >= 8). $\endgroup$
    – whuber
    Commented Jul 29, 2021 at 16:39
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    $\begingroup$ What is a "gross reality check"? Is that distinct from a sanity check? $\endgroup$
    – Galen
    Commented Jul 29, 2021 at 17:05
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    $\begingroup$ @whuber - I always learn from you! My answer has been updated. Thank you for your help. $\endgroup$ Commented Jul 29, 2021 at 17:35
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    $\begingroup$ @Galen - One of the people who taught me the most (Walt Flom) referred to them as gross reality checks. That term sticks with me. Sanity check is a suitable synonym. $\endgroup$ Commented Jul 29, 2021 at 18:38
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Let $ \ X_i $ be the $ \ i^{th}$ number selected where $\ i= 1,2,3,4...20 $

$To $ $ calculate $

$ \ P( \sum_{i=1}^{20} X_i \ge 8 ) $

$ E(\ X_i) = \frac{(0+1)}{2} $ $ [uniform $ $ distribution ] $

$ E(\ X_i) = \frac{1}{2} $

$ E(\sum_{i=1}^{20} X_i) = 20/2 = 10 $

$ Var(\ X_i) = \frac{\ (1-0)^2}{12} $ $ [uniform $ $ distribution ] $

$ Var(\ X_i) = \frac{\ 1}{12} $

$ Var(\sum_{i=1}^{20} X_i) = 20/12 = 5/3 $

$ \ P(\frac{ \sum_{i=1}^{20} X_i - E(\sum_{i=1}^{20} X_i) }{\sqrt Var(\sum_{i=1}^{20} X_i)} \ge \frac {8 -E(\sum_{i=1}^{20} X_i)}{\sqrt Var(\sum_{i=1}^{20} X_i} ) $

$ \ P(\frac{ \sum_{i=1}^{20} X_i - 10) }{\sqrt {5/3}} \ge \frac {8 -10}{\sqrt 5/3} ) $

$ 1- P(Z \le -1.55)$

= $ 0.9394 $ $ approx $

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    $\begingroup$ The inequality sign in the second-to-last line should be flipped, I think. $\endgroup$ Commented Jul 29, 2021 at 7:32
  • $\begingroup$ @coolserdash why , I calculated the right hand side its -1.55 so why would the inequality sign change ?? $\endgroup$
    – simran
    Commented Jul 29, 2021 at 14:03
  • $\begingroup$ The standard normal CDF $\Phi(x)$ gives $P(X\leq x)$. So $1-\Phi(x)$ gives $P(X>x)$ which is what you want and calculated. Accordingly, the notation should read $1 - P(Z\leq -1.55)$ which is $P(Z>-1.55)$ (the equality doesn't matter here because it's a continuous variable). $\endgroup$ Commented Jul 29, 2021 at 14:58
  • $\begingroup$ @coolserdash oh yes thanks $\endgroup$
    – simran
    Commented Jul 29, 2021 at 15:26
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Here is a histogram of 100,000 simulations each taking the sum of 20 uniform random deviates. Based on this simulation the sum of uniform deviates is well approximated by a normal distribution with an estimated mean of 10.004 and an estimated variance of 1.680. Using the normal approximation the probability that $\sum_{i=1}^n X_i \ge 8$ is $0.94$.

enter image description here

Code follows:

data uniform;
  do sim=1 to 100000;
    do i=1 to 20;
        y=rand('uniform');
        output;
    end;
end;
run;

proc means data=uniform noprint;
by sim;
var y;
output out=out sum(y)=sum;
run;


ods graphics / height=3in width=6in border=no;

proc sgplot data=out;
histogram sum;
density sum / type=normal;
run;

proc means data=out mean var;
var sum;
output out=estimates mean(sum)=mean var(sum)=var;
run;

data estimates;
set estimates;
prob=1-cdf('normal',8,mean,sqrt(var));
run;

proc print data=estimates noobs;
var prob;
run;
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  • $\begingroup$ Thanks @EngrStudent! Does simply adding the phrase "Code follows:" produce the code formatting? $\endgroup$ Commented Jul 29, 2021 at 18:43
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    $\begingroup$ No it doesn't. Have a look at stackoverflow.com/editing-help for details. $\endgroup$
    – mhdadk
    Commented Jul 29, 2021 at 18:49

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