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Accept-or-fallback mixture identity (P(X=x)=px​ax​+∑y​py​(1−ay​)K(y,x))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability space Probability measure Law of total probability
2026-10-25  0 By others on same topic  0 Discussions Create my own version
Let a discrete random variable Y have probability mass function py​. Given Y=y, return y with probability ay​∈[0,1]; otherwise draw from a conditional distribution with probability mass function K(y,x). The law of total probability gives the displayed identity. Its total mass is ∑y​py​[ay​+(1−ay​)∑x​K(y,x)]=1. If the fallback is a discrete uniform distribution on 0,…,y, then K(y,x)=1{0≤x≤y}​/(y+1), so the fallback sum includes y=x.

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  • Past exam of the simulation and statistical programming course of the University of Oxford / 2021 / 2 / b / ii / Solution

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