4
votes
1answer
136 views

what characterizes a characteristic function of a probability measure in separable Hilbert spaces?

As we all know on real line $\mathbb{R}$, the following is valid A $\mathbb{C}$-valued function $\varphi$ is a characteristic function of a probability measure on $\mathbb{R}$ if and only if ...
2
votes
2answers
183 views

Intuition on Lindeberg condition

I want to know how Lindeberg came up with the condition which is sufficient for CLT to hold ? What is the intuition behind such an expression ?
12
votes
1answer
792 views

Intuition of law of iterated logarithm?

Let $X_i$ be iid random variables with $EX_i = 0$ and $Var X_i=1$ and $S_n=X_1+\cdots+X_n$. Then the law of the iterated logarithm says almost everywhere we have ...
8
votes
2answers
677 views

Intuition behind the spectral density of random matrices

Hi, I have read that the spectral density of an NxN random matrix consisting of iid random variables with zero mean and unit variance converges as N goes to infinity to the uniform distribution on ...
8
votes
0answers
379 views

High-dimensional geometry: Top-down Vs. Bottom-up

There are several ways to leverage one's intuition from low-dimensional geometry to understand high-dimensional phenomena. For example, one can get a clearer picture of the behaviour of ...
1
vote
0answers
293 views

Relationship between R-transform and free convolution of random matrices?

I've been using the R-transform to calculate the free convolution of the eigenvalue spectra of two random matrices and I am trying to understand how it works, and in particular how it relates to ...
13
votes
0answers
296 views

Why, and how badly, does the proof of “no percolation at the critical point in half-spaces” fail for full spaces?

The proof by Barsky et. al. that there is no percolation in half-spaces proceeds by a dynamic renormalization argument. The proof couples critical percolation in the half-space $\mathbb{H}^d$ with a ...
5
votes
1answer
584 views

Intuitive “proof” or explanation of a result in Friedman's urn

Let $g, r, a, b$ be positive integers. In Friedman's urn model we have an urn with $r$ red and $g$ green balls in it. In each step we take one ball out of urn, register its color and return it to the ...
4
votes
1answer
2k views

Skellam distribution: Deep connection between Poisson distributions and Bessel function?

The probability mass function for the Skellam distribution for a count difference $k=n_1-n_2$ from two Poisson-distributed variables with means $\mu_1$ and $\mu_2$ is given by: $$ f(k;\mu_1,\mu_2)= ...
49
votes
9answers
6k views

How is it that you can guess if one of a pair of random numbers is larger with probability > 1/2?

My apologies if this is too elementary, but it's been years since I heard of this paradox and I've never heard a satisfactory explanation. I've already tried it on my fair share of math Ph.D.'s, and ...
76
votes
24answers
21k views

What is convolution intuitively?

If random variable $X$ has a probability distribution of $f(x)$ and random variable $Y$ has a probability distribution $g(x)$ then $(f*g)(x)$, the convolution of $f$ and $g$, is the probability ...