dimanche 9 octobre 2016

Calculations with random variables

I often need to do calculations such as the following:

  • A, B, C, D are independent random variables distributed uniformly in [0,1].
  • X := A+B and Y:=B+C+D.
  • What is the probability that X < Y?
  • What is the expected value of Y, given that Y < 2?
  • etc...

I thought that it might be possible with Python scipy, since it has a random-variable class. But, I did not find e.g. how to create a random-variable that is the sum of two given random-variables, or the conditional distribution of another variable.

Is there another library tool that can do such calculations easily?

Note: I asked a similar question in math.SE, with no replies so far.




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