# Tagged Questions

**3**

votes

**0**answers

112 views

### Total variation and Hellinger distance inequality between truncated Gaussians

We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, ...

**0**

votes

**0**answers

36 views

### Inversion of Fourier transform of a multivariate gamma distribution in polar form?

Let $\mathbb{S}^{N-1}$ be the unit sphere in $\mathbb{R}^N$ under the Euclidean norm $||\cdot||$. Let $\mu$ be an infinitely divisible Borel measure. If there exists a finite measure $\alpha$ on ...

**3**

votes

**1**answer

141 views

### Is it possible to construct any random variable on the Euclidean Probability space?

Let $(\Omega,\mathscr A,P)$ be an arbitrary probability space,
and let $X:\Omega\to\mathbb R$ be a random variable.
Then,
one can generate a random variable $Y$ from the probability space ...

**1**

vote

**2**answers

173 views

### Empirical estimator for total variation distance between two product distributions

Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...

**4**

votes

**1**answer

106 views

### General version of Skorokhod representation of random variables

Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...

**1**

vote

**0**answers

104 views

### approximation of probability distribution

I have a question: Let $\mu$ be a probability distribution defined on $(\mathbb{R}, \mathcal{B}(\mathbb{R}))$ satisfying
$$\int_{\mathbb{R}}|x|d\mu<+\infty$$
Set
$$A_n=\Big\{\frac{i}{n}:~ ...

**3**

votes

**2**answers

187 views

### Uniform distribution in (non-compact) locally compact spaces

I'm trying to understand how much of the theory of uniformly distributed sequences in compact spaces can be extended to locally compact spaces.
Following L. Kuipers and H. Niederreiter - Uniform ...

**1**

vote

**1**answer

140 views

### Weak convergence in measure for negligible sets.

Let $X$ be a Polish space and $(P_n)$ a sequence of Borel probabilities which converges weakly in measure to a Borel probability $P$. By this i mean that for any $f\in C_b(X)$ which is continuous and ...

**3**

votes

**3**answers

323 views

### Support of an infinitely divisible measure.

Hello,
if $G$ is a compact Lie group. Let $\mu$ be an infinitely divisible measure on $G$, such that $e$, the neutral element of $G$, is in the support of $\mu$. Is that true that the support of ...

**2**

votes

**1**answer

170 views

### If two probability distributions have the same weak limit and one of them satisfies Large Deviation Principle, what can we say about the other?

If the probability distribution function of two sequences of random variables have the same weak limit and one of the sequences satisfies a Large deviation principle, then does it imply that the other ...

**0**

votes

**1**answer

381 views

### The Probability distribution of Random variable of Random variable

In my understanding, random variable is a measurable function from a probability space to a measurable space. Suppose $X$ is a random variable from $(A, \sigma_{A},P_A)$ to $(B,\sigma_{B})$. And $Y$ ...

**3**

votes

**3**answers

382 views

### What is the name for a non-normalized distribution?

For some analysis work with probability distributions, I remember a common trick being to drop the "integrate to 1" requirement, so the set becomes closed under addition and is more convenient to work ...

**1**

vote

**2**answers

377 views

### measuring distance between probability measures only at the tail

Is there any official (i.e., to be found in probability books) metric for the distance between two probability measures, defined only on a subset of their support?
Take, for example, the total ...

**0**

votes

**1**answer

242 views

### Is it known that every PDF continuous in all $R^n$ has a maximum? [closed]

I'm working with maximum a posteriori estimation and managed to show that every probability density function that is continuous in all $R^n$ always has at least one global maximum. I've search around ...

**-1**

votes

**1**answer

340 views

### Composed function made Lebesgue integrable?

Let $p(x)$ be a probability density function on the unbounded set $X \subseteq \mathbb{R}^n$, so that $\int_X p(x) dx = 1$.
Let $F: X \rightarrow \mathbb{R}_{\geq 0}$ a measurable but non-integrable ...

**2**

votes

**1**answer

472 views

### What conditions on a probability distribution defined by long-time averaging do I need to satisfy a central limit theorem?

For integer $n$, $1 \le n \le N$, consider the random variables
$X_n = \cos[t \omega_n]$
For any fixed $N$, we can take the mean
$Y_N = \frac{1}{N} \sum_{n=1}^N X_n$
and define a (cumulative) ...

**0**

votes

**1**answer

548 views

### Can singular measures be viewed as vanishing distributions? (Answer No!)

Hello,
Here is my original question: let $\mu$ be a singular measure with respect to the Lebesgue's measure on $R$. Is it true that $\int \psi \mu(d x)=0$ for any test function $\psi\in ...

**2**

votes

**0**answers

556 views

### For what sub-$\sigma$-algebra are these two measures equivalent?

In two statistics papers (linked inline below) I have come across two definitions of certain probability measures. I conjecture that for particular choices of the construction that they are ...