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22 votes
2 answers
2k views

How do I analytically calculate variance of a recursive random variable?

Suppose I have a chest. When you open the chest, there is a 60% chance of getting a prize and a 40% chance of getting 2 more chests. Let $X$ be the number of prizes you get. What is its variance? ...
Brian's user avatar
  • 331
11 votes
1 answer
2k views

Likelihood of my friend being able to guess skittle taste

I'm preparing for a data science interview, and here's a question I encountered during my preparation: Your friend claims he can tell the five colors of skittles apart by taste alone. The probability ...
user avatar
8 votes
2 answers
13k views

Expected value of maximum likelihood coin parameter estimate

Suppose I have a coin toss experiment in which I want to calculate the maximum likelihood estimate of the coin parameter $p$ when tossing the coin $n$ times. After calculating the derivative of the ...
Manu's user avatar
  • 83
8 votes
1 answer
12k views

Variance and expectation of dot product

I am wondering what is the $E[\textbf{a}\cdot \textbf{b}]$ and $var[\textbf{a}\cdot \textbf{b}]$ where $\textbf{a}, \textbf{b}$ are independent random vectors. That is as a vector whose elements are ...
Niki's user avatar
  • 103
6 votes
2 answers
3k views

Higher-dimensional version of variance

If $X$ is a real-valued random variable, $$\mathbb{E}[X^2] - (\mathbb{E}[X])^2$$ is the variance of $X$. Suppose now that $X$ is a random variable that takes values on $\mathbb{R}^n$. Consider the ...
D.W.'s user avatar
  • 6,738
5 votes
4 answers
6k views

Practical meaning of expected value (mean value), variance and standard deviation?

I have a question about concepts: Expected value (mean value) - $μ$ Variance - $σ^2$ Standard deviation - $σ$ What is the practical meaning of these common concepts of the probability theory and ...
Erba Aitbayev's user avatar
5 votes
1 answer
541 views

Expected value and variance of moving a token on a cartesian plane based dice rolls

A fair four-sided die has its sides labeled U, D, L, and R, respectively. A token is placed at (0, 0) on the Cartesian plane and the die is then rolled repeatedly. After each roll, the token is moved ...
Magd Aref's user avatar
4 votes
2 answers
72 views

How $Var[e^{\frac{-1}{X+a}}]$ varies with $n$ where $X \sim Bin(n,p)$?

I have a binomial random variable $X \sim Bin(n,p)$. I am interested in the variance of a function $f(X)$ given by : $f(X)=e^{\frac{-1}{X+a}}$. Here $a>0$. Specifically, I would like to know how $...
wanderer's user avatar
  • 224
4 votes
1 answer
1k views

expected value of the dot product of normalized random vector and its mean

Suppose $U$ is a random vector satisfying $\mathbb E[U] = \mu$ and $\mathrm{var}(\|U\|_2) \le V$. Let $\bar{U} = U / \|U\|_2$ and $\bar\mu = \mu / \|\mu\|$. What is a lower bound on $\mathbb E[\bar U^\...
Jeff's user avatar
  • 523
3 votes
3 answers
3k views

Expectation of a square root of a sample mean

Let $X_i$ be iid exponential random variables. I want to calculate $Var\left(\sqrt{\bar{X}/6}\right).$ The idea I had to simplify this is expressing it as $$Var\left(\sqrt{\frac{\bar{X}}{6}}\right) =...
kingledion's user avatar
3 votes
2 answers
95 views

$X$ has distribution function $F(x) = e^{-e^{-x}}$. Justify that such a probability measure on $\mathbb{R}$ exists

How can I prove a probability measure exists? If $F(x) \rightarrow 1$ as $n \rightarrow +\infty$, does that mean $F(x)$ does exist? And how should I calculate $\mathbb{E}(F(X))$ and $Var(F(X))$?
xc219's user avatar
  • 31
3 votes
2 answers
3k views

Finding the maximum and minimum variance of the sum of two Bernoulli events?

You are guessing the contents of two envelopes. Let $U_i$ be the event that you guess correctly. Your probability of guessing correctly for each envelope is $P(U_1) = P(U_2) = 3/4$. $U_1$ and $U_2$ ...
self_guided_arch's user avatar
2 votes
3 answers
396 views

Expected value and variance of median

Suppose $Y|\Lambda\sim U(0,\lambda)$ with $\Lambda \sim U(0,1)$. If there is sample with size $n$ of $Y$ (To simplify, assume $n$ is odd, so $n=2m-1$). How do I calculate the expected value of median (...
skewr's user avatar
  • 23
2 votes
1 answer
553 views

Widgets and boxes problem: expectation and variance. Why is this wrong?

I'm taking the MITx: 6.041x Introduction to Probability - The Science of Uncertainty class to sharpen my probability skills. In one of the problems, the solution I came up with diverged from the ...
caring-goat-913's user avatar
2 votes
1 answer
86 views

$E[XY]-E[X^2]-E[Y^2]$, is there any special property?

Given probability distributions of random variable $X,Y$, without any additional assumptions, is there any nice representation or properties of the combination $E[XY]-E[X^2]-E[Y^2]$? If not, is there ...
user387393's user avatar
2 votes
1 answer
86 views

When would the variance for a probability distribution give the same result as the standard equation?

Variance equation for a probability distribution: $$ \sigma^2 = \sum_{i=1}^{N}(x_i-\mu)^2P(X=x_i) $$ Standard variance equation: $$ \sigma^2 = \frac{1}{N}\sum_{i=1}^{N}(x_i-\mu)^2 $$ I understand that ...
JJT's user avatar
  • 123
2 votes
1 answer
5k views

Variance of product of two random variables

I’m trying to calculate the variance of a function of two discrete independent functions. The first function is $f(x)$ which has the property that: $$\Bbb{P}(f(x)) =\begin{cases} 0.243 & \text{...
tharpin's user avatar
  • 23
2 votes
2 answers
246 views

Expression of $E[(X-a)^3]$ as a function of $\operatorname{Var}(X)$ and/or $\sigma_x$

Just a question: I would be able to express $\mathrm{E}\left[(X-a)^{3}\right]$ as a function of $\sigma_x$ and/or $\sigma_x^2$, with $a$ a constant (surely $\mathrm{E}\left[X\right]$ terms should ...
user avatar
2 votes
1 answer
1k views

Mean and Variance of dot product of 2 random vectors?

x and y are two vectors of dimension k. Assume that the components of x and y are independent random variables with mean 0 and variance 1. What would be the mean and variance of their dot product, x · ...
Maggie's user avatar
  • 21
2 votes
2 answers
911 views

MLE of variance is biased in a Gaussian distribution

Referring to: How to understand that MLE of variance is biased in a Gaussian distribution at some point during calculation the formula of the sum of the expected value becomes a single expected value:...
Cristian's user avatar
2 votes
1 answer
56 views

A Doubt involving Variance Equation and Expectations

Consider the following, $$ \begin{alignedat}{1} \operatorname{Var}(X)&=E((X-E(X))^2)\\&=E(X^2)-(E(X))^2. \end{alignedat} $$ Since the expectation of a random variable is no longer random, let ...
Grant's user avatar
  • 143
2 votes
1 answer
191 views

what is the linear minimum mean squared estimator for y given x of the shaded region?

A 2D random point (x,y) is uniformly distributed on the shaded region of the figure. What is the linear MMSE estimator for y, given x? This is what I have so far: Since it's a linear estimator, I ...
MoneyBall's user avatar
  • 917
1 vote
1 answer
728 views

How to represent skewness(X) in terms of the expected value?

Let $X$ be the random variable. $E(X)$ is the expected value of $X$ Then $Var(X)$ = $E(X^2)$ − $[E(X)]^2$ where $Var(X)$ is the variance of $X$ Then how to represent skewness(X) in terms of the ...
Tom's user avatar
  • 113
1 vote
1 answer
77 views

Finding variance?

$\newcommand{\Var}{\mathrm{Var}}$ Consider $Z_i$ as a binary random variable with $\mathrm{Pr}[Z_i = 1] = \pi$. Also, consider $Y_i$ as: $Y_i|Z_i = 0 \sim \mathrm{Poisson} (\lambda_0) $ $Y_i|Z_i = 1 ...
user48405's user avatar
  • 159
1 vote
1 answer
564 views

Variance of expected value, is the formula right?

In this video and this video, I am seeing the variances of expected values calculated as this: and this: From which, I derived the formula: $$\displaystyle\textrm{var}\big(\mathbf E[X\mid Y] \big) =...
muxo's user avatar
  • 233
1 vote
1 answer
126 views

Probability - expected value and variance

"A man is playing versus a machine in the following way: The machine chooses 2 numbers randomly from the set of numbers 1,2,3,4,5, where a number can be chosen twice (with replacement). If the ...
user64983's user avatar
1 vote
1 answer
64 views

Name of the following minimization $E[(X - c)^2] = Var(X) + (E[X] - c)^2$ with $c = E[X]$

My professor proposed the below relationship as a property of the variance (he called $E[(X - c)^2]$ mean squared error): $$ E[(X - c)^2] = Var(X) + (E[X] - c)^2 $$ and he said that, when $c = E[X]$, ...
Gennaro Arguzzi's user avatar
1 vote
1 answer
63 views

Understanding covariance

I came across following problem: A discrete random variable $P$ takes values $-3,-2,0,2,3$ with probability $0.2$. Let $Q=P^2$ be another random variable. What is covariance of $P$ and $Q$? I solved ...
Rnj's user avatar
  • 225
1 vote
1 answer
2k views

Why is $E(u^2)=Var(y)$? (Binary Response Model)

I'm trying to show some results in binary response models, and a couple of the proofs use the "fact" that $E(u^2)=Var(y)$, but I can't see why this is. The setup is that $y$ takes on the value $0$ or ...
EthanAlvaree's user avatar
1 vote
1 answer
57 views

Variance of $X + \alpha^\top Y$ where $X$ is a scalar random variable and $Y$ is a random vector [duplicate]

Consider a scalar random variable $X\in\mathbb{R}$, a vector random variable $Y\in\mathbb{R}^n$ and a constant (non-random) vector $\alpha\in\mathbb{R}^n$. I want to compute $$ \mathbb{V}[X + \alpha^\...
Physics_Student's user avatar
1 vote
1 answer
41 views

Question relating to joint PDFs

Here are my questions: Let $X$ ~ Unif$(0, 1)$, and $0<a<b<1$. Also, let \begin{cases} Y = 1 & \text{if $0<X<b$} \\ ...
Bo Jack's user avatar
  • 25
1 vote
1 answer
335 views

Computing $\mathbb{E}(S_n)$ and $\mathbb{V}(S_n)$ for Bernoulli data with a uniform probability parameter?

Take $U \sim \text{U}(0,1)$ as an underlying probability and generate $X_1,X_2,...,X_n \sim \text{Bern}(U)$ independent Bernoulli trials with this probability. The number of successes in the sample ...
user277763's user avatar
1 vote
0 answers
86 views

How to find $\mathbb{E} \left[\frac{\bar{\mu}}{\bar{\sigma}^2}\right]$?

I asked the same question on math stacks: MathStacks:, and some user suggest to ask it here for better insight. So this question has found interest in many research problems, but there have been no ...
coolname11's user avatar
1 vote
0 answers
60 views

Show that if $Y$ is another random variable such that $E[X] = E[Y]$ and $V(X) = V(Y)$ then $P(Y \ge a) \le p$

Let $p \in (0,1)$ and $X$ be a random variable such that $P(X=a) = p, P(X=-b) = 1-p$ Show that if $Y$ is another random variable such that $E[X] = E[Y]$ and $V(X) = V(Y)$ then $P(Y \ge a) \le p$ and ...
oliverjones's user avatar
1 vote
0 answers
79 views

CLT and 2 variables

Okay so there are 2 variables $D_i$ and $V_i$. Now $D= D_1 + D_2 + ... + D_N$ and $V = V_1 +.. +V_N$ Now I know the relationship is such that $E[D_i - a*V_i] = 0$ and $Var[D_i - a*V_i] = E[D_i]$ ...
Mauro Augusto's user avatar
0 votes
2 answers
4k views

Theoretical expected value and variance

Let $X$ be a random variable having expected value $\mu$ and variance $\sigma^2$. Find the Expected Value and Variance of $Y = \frac{X−\mu}{\sigma}$. I would like to show some progress I've made so ...
Frank's user avatar
  • 9
0 votes
1 answer
32 views

Standard deviation of discrete variable

A start-up looking to get into the sleeveless shirt market is looking for \$10,000 from investors to get their company started. If you choose to invest this \$10,000, at the end of 5 years the company ...
Sarah's user avatar
  • 1
0 votes
1 answer
116 views

The expected value and variance of E(-1X)? [closed]

This might be a stupid question, but how I can calculate the expected value $\operatorname{E}(-1X)$ and variance $\operatorname{Var}(-1X)$ for example in a case in which $X\sim N(100,0.1^2)$?
Kaem's user avatar
  • 11
0 votes
1 answer
93 views

Probability - expected value

The random variable $X$ takes on values -2, 0 and 2 with probabilities 1/4, 1/2 and 1/4 respectively. Find $\text{E}(X)$ and $\text{Var}(X)$. Till this part, it was easy enough. Then the question ...
user avatar
0 votes
0 answers
29 views

Expected value of a decreasing function of two random variables

My question is exactly equal to the question posted at Expected value of decreasing function of random variable versus expected value of random variable with just one extra assumption: the two random ...
irodr's user avatar
  • 1
0 votes
0 answers
25 views

Question regarding probability and maximum possible variance

I have the following question: Suppose we have a set of 10 numbers (1, 2, ... , 10), each with a certain probability tagged to it. Is it true that the highest possible variance is achieved when 1 and ...
python noob's user avatar
0 votes
0 answers
63 views

Variance of $U= a \log (Z+b)-Z$ where $Z$ is the exponential random variable

Consider a random variable \begin{align} U= a \log (Z+b)-Z \end{align} where $a,b>0$ and $Z$ is an exponential random variable. Question: Can we find the variance of $U$? Things that I tried ...
Boby's user avatar
  • 205
0 votes
0 answers
108 views

Is the inverse of the sample variance uniformly integrable?

Let $X_1,X_2,\dots,X_n$ be a sample of $n$ independent and identically distributed observations of a continuous population random variable $X$. Define $Z_n$ to be the inverse of the sample variance: $$...
ManUtdBloke's user avatar
0 votes
0 answers
77 views

Is the inverse of the sample variance integrable?

Is the inverse of the sample variance integrable? That is, does it hold that $$ E\bigg[\bigg(\frac{1}{n}\sum_{i=1}^n X_i^2 - \overline{X}_n^2\bigg)^{-1}\ \bigg] < \infty. $$
ManUtdBloke's user avatar
0 votes
0 answers
833 views

Joint Density and Covariance between Two Random Variables with the same Mean and Variance

This seems like a deceptively simple question, (and it perhaps is and I am missing something) but I could not find anything on this. Q1) Are there any general results / relationships to get the Joint ...
texmex's user avatar
  • 385