# Tagged Questions

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**1**answer

65 views

### question about uniform continuity under Skorokhod Metric

Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see:
http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g
...

**-1**

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**0**answers

151 views

### A question on limit of weak-* convergence of probability measures [migrated]

Let $(X,\mu)$ be a measure space. Assume $X$ is compact. It is well-known that the space $\mathcal{P}(X)$ of probability measures on $X$ is compact in weak-* topology. Let's consider a sequence of ...

**-1**

votes

**2**answers

99 views

### conditional expectation under convex combinaison of probability measures(II)

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...

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**3**answers

105 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 ...

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votes

**1**answer

121 views

### conditional expectation under convex combinaison of probability measures

Let $(\Omega,\mathcal{F})$ denote some measurable space. Let $P_1$ and $P_2$ denote respectively two probability measures. Now let $\mathcal{G}$ be some sub sigma-algebra of $\mathcal{F}$. Given a ...

**1**

vote

**1**answer

59 views

### Measures of disjoint unions and complements of a collection of sets

Let $\mu$ be a probability measure. Let $\mathcal A$ be a collection of measurable sets and $D(\mathcal A)$ be the minimal $\lambda$-system (Dynkin system) containing $\mathcal A$.
Is $\mu(D)$ for ...

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**0**answers

63 views

### Existence of a conditional distribution

Let $X$ and $Y$ be standard Borel spaces and let $J$ be an analytic subset of $X\times \mathcal P(Y)$ where $\mathcal P(\Omega)$ is a set of probability measures on a Borel space $\Omega$ endowed ...

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**0**answers

129 views

### Conditional expectation with respect to random closed sets

Short question
If $X$ is a random closed set, and $Y$ is an integrable random variable, I would like a definition of the "conditional expectation" $$\mathbf{E}[Y \mid X\ni x].$$ Has this been worked ...

**4**

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**1**answer

80 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 ...

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**0**answers

241 views

### Skorohod theorem (weak convergence) on a discrete setting

I have a question about the application of Skorohod representation theorem. The questions arises in this paper about robust hedging in mathematical finance. It is about the very last equation on page ...

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**1**answer

110 views

### Cameron-Martin theorem for non-Gaussian measures

Let $X$ be a locally convex topological linear space, and $\mathbb P$ be a probability measure on $X$. Denote the mean vector $m \in X$ and covariance operator $k : X^* \to X$. Let $\tau_u : X \to X$ ...

**3**

votes

**1**answer

187 views

### Density of linear functionals in $L^2$

Let $X$ be a locally convex topological linear space, and let $\mathbb P$ be a probability measure on $X$. Suppose that $\operatorname{var}(\varphi) < \infty$ for all continuous linear functionals ...

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100 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}:~ ...

**2**

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**1**answer

238 views

### Integral wrt probability measure

Let $\Theta\subseteq\mathbb{R}^d$ is open set and $(\cal X, \cal A)$ be a measurable space . For every $\theta\in\Theta$, suppose that $P_\theta$ is a probability measure on $(\cal X, \cal A)$. ...

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66 views

### equivalence of topologies defined on $M_1$(a subspace of bounded measures on $\mathbb{R}$)

Let $\mathcal{C}:=\mathcal{C}(\mathbb{R})$ be the space of continuous functions on $\mathbb{R}$ and $\mathcal{C}_b$ its subspace consisting of bounded elements. Define for $\phi(x):=1+|x|$,
$$
...

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**1**answer

66 views

### Existence of a map connecting two marginals of a product measure

Let $X$ and $\bar X$ be two standard Borel spaces, and let $A\subseteq X\times\bar X$ be an analytic subset of the product space. Let $P$ be any probability measure such that $P(A) = 1$, and denote by ...

**2**

votes

**1**answer

133 views

### A question about stochastic kernels and invariant measures

Suppose that $E$ is a metric space, let $\mathcal{B}_E$ denote the set of its Borel subsets and suppose that $\mu$ is a probability measure on $(E,\mathcal{B}_E)$. In addition, suppose that $p:E\times ...

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vote

**1**answer

212 views

### From Lebesgue Integral to Stieltjes Integral, and integration by parts

Let $X$ be a real random variable with c.d.f function $F$.
Let $g$ be an increasing measurable real function and assume that $\mathbb{E}\left[g(X)\right]$ exists (and is finite).
What additional ...

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**2**answers

207 views

### Is there a measure / probability theory in a topos of “generalized measure spaces”?

Consider the category with the standard Lebesgue measure space $\Omega$ as its only object and measure type preserving nonincreasing (equivalence classes of) maps as morphisms.
Question: is there an ...

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**1**answer

152 views

### dual space of the subspace of the space of probability measures [closed]

I have a question which maybe so naive but I want to know the result about it.
Let $\mathcal{M}=\mathcal{M}(\mathbb{R})$ be the space of bounded measures. Then by some materiau such as ...

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votes

**1**answer

149 views

### Proving that Brownian motion has no points of increase

I am reading Burdzy's paper on the points of increase of Brownian motion:
Burdzy's Paper
He is proving that, almost surely, a Brownian motion, has no points of increase. What he actually proves is ...

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**0**answers

96 views

### Uniform Law Of Iterated Logarithm for VC classes

Kenneth Alexander proved a uniform Law Of Iterated logarithm for Vapnik-Chervonenkis classes in the article Probability Inequalities for Empirical Processes and a Law of the Iterated Logarithm (Ann. ...

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**1**answer

184 views

### Probability measures on $L^p$

Let $(X,\mathcal X,\mu)$ be a fixed measure space, and suppose that $\mu$ is stationary and ergodic with respect to the (left) action of a topological group $G$. Stationarity means that $\mu = g_* \mu ...

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votes

**1**answer

125 views

### When is a space of probability measures not perfectly normal?

I am looking for examples of pairs ($(\Omega,\Sigma)$, ($\mathcal P(\Omega)$, $\tau$)), where $(\Omega,\Sigma)$ is a measurable space and ($\mathcal P(\Omega)$, $\tau$) is a space of probability ...

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votes

**1**answer

171 views

### Particular neighborhoods of analytical sets

Let $X$ be a standard Borel space: a topological space isomorphic to a Borel subset of a complete separable metric space. Denote by $\mathcal P(X)$ the set of all Borel probability measures over $X$ ...

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427 views

### measure with given push-forwards

Let $X,Y$ be locally compact spaces (in my specific case, they are locally compact groups). Suppose that we are given a measure $\mu$ on $X$ and a finite number of quotient maps ...

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votes

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345 views

### A non-trivial probability measure on $2^{\mathbb R}$

Consider the measurable space $2^{\mathbb R}$, equipped with the tensor-product $\sigma$-algebra. Famously, this space has a measurable structure which is not generated by a topology (see this ...

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208 views

### Measure theory in nuclear spaces

Much of the literature on measure theory in linear spaces focuses on the case of normed linear spaces (e.g., the outstanding book by Vakhania, or its sequel). However, nuclear linear spaces "as far ...

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**1**answer

113 views

### Forms of multivariate CLT [closed]

I am looking for a good reference for differnt kinds of multivariate central limit theorems. I was wondering how far the i.i.d. condition of the standard multivariate clt can be relaxed, as in can the ...

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**4**answers

456 views

### Continuity on a measure one set versus measure one set of points of continuity

In short: If $f$ is continuous on a measure one set, is there a function $g=f$ a.e. such that a.e. point is a point of continuity of $g$?
Now more carefully, with some notation: Suppose $(X, d_X)$ ...

**2**

votes

**1**answer

269 views

### Is this a closed set?

Let $\Theta$ and $X$ be two (Hausdorff) topological spaces. Let $\mathbb P : \Theta \to \Delta(X)$ be a "statistical model", i.e., a continuous function from parameter space $\Theta$ to the space of ...

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votes

**2**answers

590 views

### Uniformly distributed sequence in $\mathbb{R}$

We say that a sequence $(x_n)_{n=1}^\infty \subseteq \mathbb{R}$ is "uniformly distributed in $[a,b]$", with $a < b$, if $(x_n)_{n=1}^\infty \cap [a,b] \neq \varnothing$ and
$$\lim_{N \to \infty} ...

**0**

votes

**1**answer

255 views

### What are some characterizations of the strong and total variation convergence topologies on measures?

I asked this question on StackExchange a few days ago but didn't get any response, so I thought I would try here.
The Wikipedia article on convergence of measures defines three kinds of convergence: ...

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votes

**1**answer

174 views

### Determining the asymptotic behavior of random matrices with vanishing ratio dimensions

Consider an $N\times K$ random matrix $X$ (defined on a probability space $(Î©,F,Î¼)$) with i.i.d. entries having zero mean and variance $1/K$.
There are a lot of results regarding the asymptotic ...

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134 views

### Qualitative weakenings of probabilistic independence

In probability theory, independence of random variables is characterised by
$$(1)~~X~\text{independent}~Y \; \iff \; P_{(X,Y)} = P_X \otimes P_Y \enspace ,$$
where $P_{(X,Y)}$ is the joint probability ...

**2**

votes

**1**answer

141 views

### Empirical estimator fot the total variation distance on a finite space

I have two probability measures $p$ and $p'$ on a finite set $X$ which I do not know precisely, but which I can sample from. I would like to estimate their total variation (omitting multiplier $2$):
...

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vote

**1**answer

207 views

### A set of positive-measure not being a countable union of cylinder sets and zero-measure sets?

Let $(A^\mathbb{N}, \mathcal{B}(A^\mathbb{N}), \mu)$ be a measure space, where $A^\mathbb{N}$ is a set of one-sided sequences over a finite alphabet $A \subset \mathbb{N}$, $\mathcal{B}(A^\mathbb{N})$ ...

**16**

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**2**answers

547 views

### A moment problem on $[0,1]$ in which infinitely many moments are equal

Suppose $\mu$ and $\nu$ are two probability measures on $[0,1]$. Let their $n$-th moments be denoted by $\mu_n$ and $\nu_n$, respectively, for $n \in \mathbb{N}$.
If we know that $\mu_n=\nu_n$ for ...

**0**

votes

**0**answers

99 views

### proof of “supermodular function induces measure”

A function $f:\mathbb{R}^n\longrightarrow\mathbb{R}$ induces a measure by its finite differences, that is
\begin{align}
\mu((\mathbf{a},\mathbf{b}]) := \Delta_{a_1,b_1}\cdots\Delta_{a_n,b_n} f
...

**4**

votes

**1**answer

171 views

### Coupling of non-probability/sub-probability measures

A coupling of two probability measures $P,\tilde P$ on a Borel space $X$ is any probability measure on $X^2$ whose one-dimensional marginals are $P$ and $\tilde P$. In particular, for any such ...

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**1**answer

408 views

### Is there a probability theory developed in intuitionistic logic?

Since Boole it is known that probability theory is closely related to logic.
According to the axioms of Kolmogorov, probability theory is formulated with a (normed)
probability measure ...

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**0**answers

298 views

### Does this metric have an official name? Lévy metric? Ky Fan metric?

Let $X$ and $Y$ be random variables taking values in a separable metric space $(S,d)$. The metric I have in mind is
$$\rho(X,Y) = \mathbb{E}[\min\{d(X,Y),1\}]$$
if $X$ and $Y$ take values in the a ...

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vote

**0**answers

142 views

### When does a proper Zariski closed set have measure zero with respect to a conditional measure?

Assume we have a probability measure $\mu$ over $\mathbb{R}^d$ that is absolutely continuous with respect to Lebesgue measure.
Given $m$ polynomials $p_1,\ldots,p_{m}\in \mathbb{R}[x_1,\ldots,x_d]$ ...

**3**

votes

**1**answer

170 views

### Extending Tarski's Theorem on invariant measures

Tarski's Theorem says that if $G$ acts on $X$ and $E$ is a non-$G$-paradoxical subset of $X$, then there is a finitely additive $G$-invariant measure $\mu:2^X\to[0,\infty]$ with $\mu(E)=1$.
I am ...

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**2**answers

618 views

### Why do we want maps to be measurable (in countably-additive setting)

When I have to explain things that I am doing to people who did not do (or even did not learn) measure-theoretical probability, I think of getting a question in the title, and I am not sure I have ...

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**0**answers

169 views

### Existence of an universally measurable pullback

Edited: previous version of the question was less general but also less readable.
Let $X,Y$ and $Z$ be standard Borel spaces, that is topological spaces homeomorphic to Borel subsets of complete ...

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votes

**2**answers

232 views

### Borel kernel over an analytic set implies existence of a Borel map

Let $X$ and $Y$ be standard Borel spaces, and let $A\subseteq X\times Y$ be an analytic set with a full projection on $X$: that is $\pi_X(A) = X$. Suppose that there exists a Borel-measurable kernel ...

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votes

**1**answer

123 views

### Maps that are a.e. equal have almost the same graphs

Let $X$ and $Y$ be two measurable spaces, and let $p$ be a probability measure on $X\times Y$. Denote by $p_X$ the marginal of $p$ on $X$, that is an image of $p$ under projection on $X$. Consider two ...

**2**

votes

**1**answer

132 views

### Universally measurable map coincides a.e. with a Borel map

Let $X$ be a standard Borel space: that is, a topological space equivalent to a Borel subset of $\Bbb R$. It is known that for any probability measure $p$ on $X$ and any universally measurable set ...

**5**

votes

**1**answer

440 views

### Do Measurable Cardinals Exist? (assuming ZFC)

In Appendix B of his Uniform Central Limit Theorems (1999), Dudley writes:
It is consistent with the usual axioms of set theory (including the axiom f choice) that there are no measurable ...