Questions tagged [random-vector]
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25
questions
0
votes
1answer
38 views
Proving that a random vector is not bivariate normal
Suppose X,Y are random variables and their joint pdf is given by:
f(x,y)=2g(x)g(y) where x*y>0, and zero otherwise.
g(x) and g(y) are pdfs of standard normal distribution.
I was first able to prove ...
0
votes
1answer
51 views
$E[X^T (Y-Z)] = E[X^T] E[Y-Z]$ but what about $E[(X^T (Y-Z))^2]$?
Let $X, Y$, and $Z$ be random vectors with $X$ independent of $Y$ and $Z$. Due to the independence we have
$$
E[X^T (Y-Z)] = E[X^T] E[Y-Z].
$$
But what what $E[(X^T (Y-Z))^2]$? Is it possible to ...
7
votes
1answer
96 views
Evaluating (Uniform) Expectations over Non-simple Region
Background. Let $V = (X,Y)$ be a random vector in 2-dimensions uniformly distributed over two disjoint regions $R_X \cup R_Y$ defined as follows:
$$
\begin{align}
R_X &= ([0,1] \times [0,1]) \...
1
vote
0answers
28 views
What is the entropy of multivariate data multiplied by a vector?
It is a general rule that for multivariate data $\boldsymbol{X}$ and a matrix $\boldsymbol{A}$, their entropy is
$$h(\boldsymbol{A} \boldsymbol{X}) = h(\boldsymbol{X}) + \ln |\det \boldsymbol{A}|$$
(...
0
votes
1answer
26 views
Correlation between two vectors sharing some elements
Suppose $\mathbf{x,y}$ are column vectors of length $n$, where $x_i,y_i \sim \mathcal{D}, \forall i \in \{1,2,\ldots ,n\}$. $\mathbf{z}$ shares $m$ elements with $\mathbf{x}$ and $n-m$ elements with $\...
0
votes
2answers
43 views
Are two random vectors independent if their corresponding components are all independent?
Let $\mathbf{X} = (X_1,\ldots,X_n)$ and $\mathbf{Y} = (Y_1,\ldots,Y_n)$ be random vectors, and let $f_{\mathbf{X}}(x_1,\ldots,x_n)$ and $f_{\mathbf{Y}}(y_1,\ldots,y_n)$ be their respective pdfs or ...
0
votes
0answers
21 views
Published source for D-dimensional behaviour of Dot-Product
I am currently studying the behaviour of the dot product between two random vectors in $R^d$. Specifically I wanted to start with the case of uniform random vectors on $\mathcal{S}^{d-1}$. I found ...
6
votes
2answers
305 views
Variance and asymptotic normality of $\frac{1}{n-1}\sum_{i=1}^{n-1}(x_{i+1}-x_i)^2$, where $X \sim \mathcal{N}(0,1)$
Consider a length $n$ vector $\mathbf{x}$ containing $n$ i.i.d. observations $\{x_i\}_{i=1}^n$ of a standard normal random variable $X$. Let $\mathbf{z}$ be a length $n-1$ vector whose entries are $...
4
votes
1answer
80 views
Assume $X,Y$ are two independent random variables. Let $Z=f(X,Y)$. If $Z$ is independent of $X$, $f(X,Y)$ is constant in $X$. Is this true?
Let $X\in \mathbb{R}^n$ and $Y\in \mathbb{R}^m$ be two independent random vectors. Then, say that we have a third real valued random variable $Z=f(X,Y)$, with $f$ being measurable.
Say that we know ...
0
votes
1answer
41 views
Hypothesis Test on the Difference between two random vectors
Each of my vectors consists of beta estimates for two separate models of the same data and the same number of explanatory variables. The question is asking whether the difference between these two ...
0
votes
0answers
98 views
How would you decorrelate a collection of vectors so that two vectors are uncorrelated?
Suppose $X_1, \ldots, X_K$ are all $\mathbb{R}^d$-dimensional random variables each with correlation matrix $\text{Var}(X_k) = \Sigma_{k} \in \mathbb{R}^{d \times d}$. Suppose we observe samples $X_{...
1
vote
1answer
33 views
If $cov(x_i,T_i)>0$ can I show $\mathbb{E}[\frac{T'x}{T'T}] > 0$?
x,T are vectors with $cov(x_i,T_i)>0$. Without specifying f(x,T), is it possible to determine the sign of $\mathbb{E}[\frac{T'x}{T'T}]$?
1
vote
0answers
41 views
Expected value of product of 2 correlated random vectors
Let x and y be complex Gaussian random vectors with length L, and $\mathbb{E}[x]=a$ and $\mathbb{E}[y]=b$, and they are correlated such that $c = \mathbb{E}\left[\left|\mathbf{\mathit{\mathbf{x}}}^{T}...
0
votes
0answers
270 views
(Co)Variance of a random matrix
The expected value $\mathbb{E}[\mathbf{x}]$ of a random vector $\mathbf{x} \in \mathbb{R}^{n \times 1}$ is the vector of the expected values of each individual random variable $\mathbf{x}$ contains.
...
0
votes
0answers
22 views
probability density of a random vector greater than some value? [duplicate]
In single dimension, the probability that a random variable $X$ is greater than some value $x$ is easily related to the cumulative distribution(c.d.f.) as $Pr(X > x) = 1 - F(x)$ if only $Pr[X \leq ...
1
vote
0answers
59 views
The joint distribution of Y=AX and Z=BX given a projection matrix A and residual maker matrix B, and a random vector X with known pdf?
This question follows on from a previous question I asked which was answered. It turns out my question lacked some important details, which was revealed by the answer posted on that thread. This is ...
3
votes
1answer
2k views
Distribution of the $L^{2}$ norm of a vector of components drawn from Gaussian distributions
I recently asked this question involving uniform distributions. I am wondering what would be the equivalent for Gaussian distributions. The problem states as follows.
We consider a random vector $\...
2
votes
1answer
447 views
$L_2$ norm of product of two vectors
Let's assume we have two matrices $A^{d\times 1}$ and $B^{1 \times e}$, and we define their product as $C^{d\times e}$. Assuming $A,B$ are real valued with all entries in $[-1,1]$.
I can intuitively ...
0
votes
1answer
34 views
Test for equality of means for vector-valued random process with different variances
I am studying linearity range of an RF amplifier (henceforth DUT). For that I am stimulating the DUT with a periodic deterministic probe signal (which is known only roughly) and measuring the DUT's ...
11
votes
3answers
2k views
Does mean centering reduce covariance?
Assuming I have two non-independent random variables and I want to reduce covariance between them as much as possible without loosing too much "signal", does mean centering help? I read somewhere that ...
5
votes
0answers
581 views
Distribution of the $L^2$ norm of a vector of components drawn from uniform distributions
We consider a random vector $\vec{v} = \left(x_{1}, x_{2}, \dots, x_{n}\right)$ built from $n$ real random variables drawn from a real continuous uniform distribution $\mathcal{U\left(a, b\right)}$, $...
0
votes
1answer
138 views
Covariance of sums of pairs of correlated variables
Take two vectors of normally-distributed random variables
$\mathbf{x} = (x_1, x_2, \ldots x_n)$
$\mathbf{y} = (y_1, y_2, \ldots y_n)$
where the covariance of each pair $(x_i, y_i)$ is known,
$\...
4
votes
2answers
275 views
Suppose $\mathbf{X, Y}$ are independent random vectors. Are their components independent? [duplicate]
Let $\mathbf{X} = (X_1, \dots, X_p)^\top$ and $\mathbf{Y} = (Y_1, \dots, Y_p)^\top$ be independent. Does it then follow that $X_i$ is independent with $Y_j$ i.e. cov$(X_i, Y_j) = 0$?
1
vote
1answer
176 views
Conditional expectation of a vector
Suppose we have two random vectors $X=(X_1,X_2)^T$ and $Y=(Y_1,\dots,Y_n)^T$. I wish to find a simple definition or formula for
$$
E_{X|Y=y}[X]
$$
Intuitively, I think the following is correct:
$$
...
1
vote
0answers
44 views
Comparison of random vectors
I feel a little stupid asking this, but anyway: say I've got a random vector $a$ of size $p$ with covariance matrix ${\Sigma_a}$ of size $p\times p$, and another vector $b$ with its cov $\Sigma_b$.
...
