# Invariants of Probability Distributions

Invariants to check with property tests.

*This document right now is normative and aspirational, not a description of the testing that's currently done*.

## Algebraic combinations

The academic keyword to search for in relation to this document is "algebra of random variables (opens in a new tab)". Squiggle doesn't yet support getting the standard deviation, denoted by $\sigma$, but such support could yet be added.

### Means and standard deviations

#### Sums

$mean(f+g) = mean(f) + mean(g)$ $\sigma(f+g) = \sqrt{\sigma(f)^2 + \sigma(g)^2}$In the case of normal distributions,

$mean(normal(a,b) + normal(c,d)) = mean(normal(a+c, \sqrt{b^2 + d^2}))$#### Subtractions

$mean(f-g) = mean(f) - mean(g)$ $\sigma(f-g) = \sqrt{\sigma(f)^2 + \sigma(g)^2}$#### Multiplications

$mean(f \cdot g) = mean(f) \cdot mean(g)$ $\sigma(f \cdot g) = \sqrt{ (\sigma(f)^2 + mean(f)) \cdot (\sigma(g)^2 + mean(g)) - (mean(f) \cdot mean(g))^2}$#### Divisions

Divisions are tricky, and in general we don't have good expressions to characterize properties of ratios. In particular, the ratio of two normals is a Cauchy distribution, which doesn't have to have a mean.

### Probability density functions (pdfs)

Specifying the pdf of the sum/multiplication/... of distributions as a function of the pdfs of the individual arguments can still be done. But it requires integration. My sense is that this is still doable, and I (Nuño) provide some *pseudocode* to do this.

#### Sums

Let $f, g$ be two independently distributed functions. Then, the pdf of their sum, evaluated at a point $z$, expressed as $(f + g)(z)$, is given by:

$(f + g)(z)= \int_{-\infty}^{\infty} f(x)\cdot g(z-x) \,dx$See a proof sketch here (opens in a new tab)

Here is some pseudocode to approximate this:

```
// pdf1 and pdf2 are pdfs,
// and cdf1 and cdf2 are their corresponding cdfs
let epsilonForBounds = 2 ** -16;
let getBounds = (cdf) => {
let cdf_min = -1;
let cdf_max = 1;
let n = 0;
while (
(cdf(cdf_min) > epsilonForBounds || 1 - cdf(cdf_max) > epsilonForBounds) &&
n < 10
) {
if (cdf(cdf_min) > epsilonForBounds) {
cdf_min = cdf_min * 2;
}
if (1 - cdf(cdf_max) > epsilonForBounds) {
cdf_max = cdf_max * 2;
}
}
return [cdf_min, cdf_max];
};
let epsilonForIntegrals = 2 ** -16;
let pdfOfSum = (pdf1, pdf2, cdf1, cdf2, z) => {
let bounds1 = getBounds(cdf1);
let bounds2 = getBounds(cdf2);
let bounds = [
Math.min(bounds1[0], bounds2[0]),
Math.max(bounds1[1], bounds2[1]),
];
let result = 0;
for (let x = bounds[0]; (x = x + epsilonForIntegrals); x < bounds[1]) {
let delta = pdf1(x) * pdf2(z - x);
result = result + delta * epsilonForIntegrals;
}
return result;
};
```

`pdf`

, `cdf`

, and `quantile`

With $\forall dist, pdf := x \mapsto \texttt{pdf}(dist, x) \land cdf := x \mapsto \texttt{cdf}(dist, x) \land quantile := p \mapsto \texttt{quantile}(dist, p)$,

`cdf`

and `quantile`

are inverses

$\forall x \in (0,1), cdf(quantile(x)) = x \land \forall x \in \texttt{dom}(cdf), x = quantile(cdf(x))$
### The codomain of `cdf`

equals the open interval `(0,1)`

equals the codomain of `pdf`

$\texttt{cod}(cdf) = (0,1) = \texttt{cod}(pdf)$
## To do:

- Write out invariants for CDFs and Inverse CDFs
- Provide sources or derivations, useful as this document becomes more complicated
- Provide definitions for the probability density function, exponential, inverse, log, etc.
- Provide at least some tests for division
- See if playing around with characteristic functions turns out anything useful