The tag has no wiki summary.

learn more… | top users | synonyms

3
votes
0answers
187 views

Maximization of a total variation distance subject to another total variation distance in Markov chain

Suppose two dependent random variables $X$ and $V$ from finite alphabets $\mathcal{V}$ and $\mathcal{X}$ with known joint and marginal distributions are given. Let $P_{XV}$ and $P_X$ and $P_V$ are the ...
10
votes
1answer
686 views

Different uses of the word “ergodic”

There appear to be two definitions of the word ergodic. The dynamical systems definition says that a measure space $(X,\mathit B, \mu)$ and measure preserving transformation $T: X \mapsto X$ is ...
14
votes
4answers
716 views

Eigenvectors of a particular transition matrix

I am considering a Markov chain with $n$ states with a particularly nice structure. The transition matrix is as follows: \begin{equation}\mathbf{P}=\begin{pmatrix} 0 & 0& \dots&0 & 0 ...
5
votes
2answers
218 views

Anticoncentration of the convolution of two characteristic functions

Edit: This is a question related to my other post, stated in a much more concrete way I think. I am interested in anything (ideas, references) related to the following problem: Suppose that $A ...
1
vote
1answer
118 views

Gibbs sampler with linear constraints

My problem concerns the estimation of truncated multivariate normal distributions under constraints. Let $X_1$ and $X_2$ two random variables following normal distributions ...
1
vote
1answer
187 views

Double Markovity

Suppose we have a double Markov relation for three random variables $X$, $Y$ and $W$ as follows $$X\to W\to Y,$$ and $$X\to Y\to W.$$ How to prove that there exist functions $f$ and $g$ such that ...
4
votes
1answer
211 views

Approximating a hitting time for some state using the stationary distribution?

Provided a random walk on a bounded interval, with step probabilities, $p$ and $q$ and a stationary distribution $\pi$, how "bad" of an approximation is to assume that the hitting time for a position ...
1
vote
1answer
573 views

Hitting time probability in a Random Walk with possibility to die.

A Random Walker can move of one unit to the right with probability $p$, to the left with probability $q$ and it can jump again to the starting point with probability $r$ and die. Naturally $p+q+r=1$. ...