问一个面试里碰到的关于probability的问题 - 未名空间MITBBS历史存档

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问一个面试里碰到的关于probability的问题

问一个面试里碰到的关于probability的问题# JobHunting - 待字闺中

d*n2016-01-08 08:01

1 楼

题目感觉不难，但是突然被问到，结果从variance和covariance上绕了半天也没搞好，
感觉面试官对最后的答案也不满意。
题目： Drawing a pair of (x, y) from a joint Gaussian distribution with 0
covariance. Knowing the standard deviations of x and y and knowing z = x + y
, what is your best guess for x?
求牛人给个解释

E*e2016-01-08 08:01

2 楼

is it typo, you need guess z or x?

d*y2016-01-08 08:01

3 楼

Check linear minimum mean square error estimator (MMSE for Gaussian).
Basically you need to estimate E[x|z], it has a closed form solution when
everything is Gaussian.

d*n2016-01-08 08:01

4 楼

Guess X

【在 E**********e 的大作中提到】

: is it typo, you need guess z or x?

d*n2016-01-08 08:01

5 楼

I think it is in the form E[x|z] as well.

【在 d***y 的大作中提到】

: Check linear minimum mean square error estimator (MMSE for Gaussian).
: Basically you need to estimate E[x|z], it has a closed form solution when
: everything is Gaussian.