**4**

votes

**0**answers

61 views

### Concentration of measure for uniform distribution on Stiefel manifolds

This is my first post on MO, so I hope the question is suitable. I am looking at the uniform distribution on the Stiefel manifold, but more specifically, at the uniform distribution on the ...

**4**

votes

**1**answer

183 views

### Average probability that a random cosine polynomial with bernoulli coefficients is small

Let $P_{n}(t)=\sum_{k=0}^{n}\varepsilon_{k}\cos(kt)$ where $\varepsilon_{i}$ are independent random variables taking values in $\left\{-1,1\right\}$ with equal probability. Is is true that for any ...

**4**

votes

**2**answers

166 views

### Probable direction of deviations from the expected value in binomial and hypergeometric cases

Suppose I have an urn with N marbles, with frequencies p and q for red and black marbles, and with p > 0,5. I take a sample of r marbles.
It sounds intuitive to say that deviations from the mean ...

**4**

votes

**0**answers

59 views

### Is there a generalization of Polya urns to continuous outcome event?

Take for example the simplest model where there are n blue balls and m white balls in an urn. Then, in a first step realization, a white one has been drawn and then c + 1 of this colour had been put ...

**0**

votes

**0**answers

74 views

### absolutely continuous of two probability measures

Suppose $X_t$ satisfies
$$X_t=\int_0^t b(X_s)ds+ L_t,\quad t\in[0,1]$$ where $L_t, t\in[0,1]$ is a $\alpha-$stable process. Let $P_L$ be the law of $L$, $P_X$ be the law of $X$. ($P_L, P_X$ are ...

**1**

vote

**1**answer

84 views

### A differential inequality and a special value

Let $G \colon [0,1] \to [0,1]$ be a monotonically decreasing function with $G(0) = 1$ and $G(1) = 0$. Suppose that $G$ is differentiable infinitely many times, and that: $$G(x)G''(X) \leq ...

**5**

votes

**1**answer

115 views

### Sufficient conditions for establishing a total order on a family of probability distributions?

Let $\mathcal{X}$ be some set of independent random variables. Define the ordering on $\mathcal{X}$ by $X_i \prec X_j$ if and only if $\mathcal{P}\left\{X_i \le X_j\right\} \ge \frac{1}{2}$. Are there ...

**1**

vote

**1**answer

183 views

### Computing probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s

This question came up in my research: What is the probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s?
So far I only figured out that I can do Monte ...

**1**

vote

**2**answers

97 views

### Expectation of Gaussian random vector & arbitrary function thereof?

I saw in a paper (https://www.princeton.edu/~wbialek/rome/refs/bialek+ruyter_05.pdf Eq.37) the following identity:
where the <.> operator refers to a population average.
No source or ...

**3**

votes

**1**answer

101 views

### Proof for additivity of cumulants

If one does not define cumulants via the cumulant generating function (cgf), e.g. because the cgf does not exist, then an alternative way is to use the recusion
\begin{align*}
...

**1**

vote

**0**answers

54 views

### Subclass of semimartingales for which all characteristics can be estimated?

I'm going to ask the question for Ito semimartingales rather than semimartingales in general, but more general answers would be great.
An Ito semimartingale is a martingale for which the ...

**2**

votes

**1**answer

138 views

### How to choose a random proper coloring

I am studying proper colorings of complete bipartite graphs and I'd like to be able to pick a random proper coloring and the compute some things about it.
Recall that a proper coloring of a complete ...

**5**

votes

**0**answers

75 views

### Real Zeros - tail estimate

Given a random polynomial with Gaussian coefficients, the Kac-Rice formula tells us what the expected number of real zeros is (for more on this, see the excellent paper of Edelman and Kostlan in the ...

**11**

votes

**2**answers

397 views

### Maximum occupancy balls in bins with limited independence

Throw $n$ balls into $n$ bins and let $X_n$ be the maximum occupancy. That is the maximum number of balls found in any bin.
If you throw the balls uniformly and independently it is known that ...

**4**

votes

**2**answers

109 views

### Anti-concentration for sums of geometric random variables

Consider the random variable $Y = Y_1 + \dots + Y_k$, where each $Y_i$ is iid distributed as a geometric random variable with sucess probability $p$; here we should think of $p$ as being close to ...

**1**

vote

**2**answers

189 views

### Variance of truncated normal distribution

Let $ X \sim \mathcal{N} ( \mu, \sigma^2 ) $, $ - \infty \leqslant a < b \leqslant +\infty $ ($ a, b \ne \infty $ simultaneously) and $ Y $ has a truncated normal distribution on $ (a, b )$, i.e. ...

**1**

vote

**2**answers

213 views

### Existence of strong solution to SDEs with non-Lipschitzian drift

Consider the SDE:
$$dX_t=b(X_t)dt+dW_t\quad X_0=x$$
If $b$ is bounded Borel function, using Zvonkin's Transform, one can prove there exists a unique strong solution.
I want to know if we assume $b$ ...

**3**

votes

**1**answer

128 views

### Determining the Fourier transform

Let $d>2$. Let $M$ be a 2-dimensional submanifold of $\mathbb{R}^d$. For instance (and this is the type of example I primarily care about) we could have $M$ being the set of scalar multiples of a ...

**2**

votes

**0**answers

39 views

### Bounds on moving average process

Let $X_1,X_2,\dotsc$ be a sequence of i.i.d. random variables and define the average process $\{Y_t\}$ as
$$
Y_t = \sum_{i=1}^p a_k X_{t-i}
$$
with some constants $a_1,\cdots,a_p \in \mathbb{R}$. This ...

**3**

votes

**1**answer

61 views

### Relatively compact sets in Ky Fan metric space

Let $(\Omega,P,\mathcal{F})$ be a probability space. $X$, $Y$ are two random variables. The Ky Fan metric defined as: $d_F(X,Y)=\inf\{\epsilon: P(|X-Y|> \epsilon)<\epsilon\}$ (or $d'_F(X,Y)=E ...

**0**

votes

**0**answers

86 views

### Estimating the number of colors in a bucket

This question was previously posted to Math Stack Exchange here.
Suppose we have a bucket containing a large (but known) number of balls. Each of the balls has a color. We don't know how many ...

**4**

votes

**0**answers

72 views

### Is Wiener's Tauberian theorem true in Wiener space?

Let $\gamma$ be the standard product Gaussian measure in $\mathbb{R}^\infty$, and let $\mu$ be a finite variation measure, not necessarily positive, such that $\mu \ll \gamma$.
Is the following true?
...

**1**

vote

**0**answers

95 views

### Topological properties of space of Radon measures

Let $M$ denote the space of signed unbounded Radon measures on $\mathbb{R}$ as is defined by Bourbaki, i.e. $M$ is the dual of $C_c$ where $C_c$ is the space of continuous functions on $\mathbb{R}$ ...

**2**

votes

**2**answers

141 views

### Is this a sufficient condition for joint normal distribution?

Suppose I have a random vector $\boldsymbol{Z}$, if I can prove that for $\forall \boldsymbol{\lambda} \neq \boldsymbol{0}$ where $\boldsymbol{\lambda}$ is a fixed vector, not a random vector,
...

**12**

votes

**1**answer

315 views

### Smallest $k$ so that $k$-wise independence guarantees a constant expected minimum

Imagine you sample $n$ numbers with replacement uniformly from the integers $1,\dots, n$ (we can assume $n$ is large). Let $X$ be the minimum of these samples. I am interested in $\mathbb{E}(X)$ but ...

**1**

vote

**0**answers

27 views

### Bound on the total variation distance for multiple samples $d_{tv}(P^n,Q^n)$

Given two discrete distributions $P$ and $Q$, with computable total variation distance $d_{TV}(P,Q)=||P - Q||_1$, is there a precise bound for $d_{TV}(P^n,Q^n)=||P^n - Q^n||_1$, as need to estimate ...

**2**

votes

**1**answer

72 views

### Berry-Esseen bound in 2 dimensions for linear combinations

Let us say have a sequence of $n$ 2-$D$ random variables $X_i=(\varepsilon_i/\sqrt{n},i\varepsilon_{i}\sqrt{6}/n^{3/2})$, where $\varepsilon_{i}$ are independent random variables such that ...

**0**

votes

**0**answers

32 views

### Tail inequality for orthomartingales/martingale difference random fields

It is known that if $(S_i= \sum_{j \leqslant i }X_i, \mathcal F_i)$ is a martingale,
then for each
$
\beta>1$, $\delta\in (0,\beta-1)$ and $\lambda>0$, and each integer $N \geqslant 1$, the ...

**10**

votes

**2**answers

294 views

### Minimal expected absolute value of linear combinations of Gaussian random variables

I am interested in the following question. Consider $n$ independent standard normal random variables $g_i$. Cosider a linear combination $w_1g_1+\cdots+w_ng_n$. Can one give a "decent" upper bound for ...

**0**

votes

**2**answers

215 views

### Generalized expression for balls and bins problem

$n$ number of balls are thrown randomly to $m$ number of bins, standing in a row. The balls are labeled as $1,2,3,....n$ and bins are also labeled as $1,2,3,...,m$. The probability of $i_{th}$ ball ...

**4**

votes

**1**answer

99 views

### Monotonicity of a ratio of conditional expectation operator

Let a pair of random variables $(X, Y)$ over a finite product space $\mathcal{X}\times \mathcal{Y}$ be given. The conditional expectation operator is defined as
$$(T_Yf) (y):=\mathbb{E}[f(X)|Y=y],$$
...

**9**

votes

**2**answers

329 views

### Expected centered entropy of the binomial distribution

In short, the function I am interested in is the following:
$$I_n(p) = \sum_{k=0}^n \binom{n}{k} p^k (1-p)^{n-k} \left[h(p) - h\left(\tfrac{k}{n}\right)\right],$$
where $h(x) \triangleq -x \log x - ...

**4**

votes

**0**answers

95 views

### power laws emerging from the sandpile model

Is there a rigorous proof that the abelian sandpile model generates a power law distribution of avalanche lengths?

**3**

votes

**1**answer

178 views

### Approximating by independent Poisson random variables

Using the Chen-Stein method, one can bound the total variation distance between a sum of possibly dependent Bernoulli random variables $W=\sum_{i=1}^n X_i$ and a Poisson distribution using only the ...

**3**

votes

**1**answer

169 views

### When does the cumulative distribution function solve the Kolmogorov backward equation?

For a diffusion $X$ define the cumulative distribution function for $X_T$ started with $X_t=x$:
$$u(t,x):=E^{t,x}(1_{X_T\ge y})$$ Under what conditions does $u$ solve $X$'s Kolmogorov backward ...

**1**

vote

**0**answers

62 views

### Cauchy Problem and stochastic representation for discontinuous initial data

Where can I read more about the Cauchy problem, i.e. solutions to
$$ \frac{\partial u}{\partial t}+Lu=0 \text{ and } u(0,x)=f(x)$$
for some elliptic differential operator $L$ where $f$ is not ...

**1**

vote

**1**answer

124 views

### Does $E^{x,t}(f(X_T))$ solve a PDE if $f$ is not continuous?

Many books [see below for references] explore the connections between partial differential equations and expectation values.
Assume $X$ is a diffusion with generator $A$, then they conclude, that ...

**0**

votes

**0**answers

79 views

### an elementary proof without using K-convexity constant?

Suppose that $A$ is an $n\times d$ matrix $(n\gg d)$ with orthonormal columns, and $g\sim N(0,I_d)$. I wish to show that
$$
\mathbb{E}\sup_{x:\|Ax\|_1 = 1} \langle g,x\rangle \lesssim \sqrt{\log ...

**0**

votes

**1**answer

85 views

### Norm of matrix with randomly deleted entries

Let $A$ be an $n \times n$ matrix with real entries and let $B$ be the random matrix whose $(i,j)$ entry is $$B_{i,j}=v_{i,j}A_{i,j}$$ where the $v_{i,j}$ are i.i.d Bernoulli random variables with ...

**1**

vote

**1**answer

104 views

### Variation of Markov Chain Convergence Theorem

Assume the chain $\{X_n\}_{n\in\mathbb{N}}$ on the statespace $(S,\mathcal{F})$ (we may assume it is countable) is aperiodic, irreducible and positive recurrent. We denote with $\pi$ its (unique) ...

**0**

votes

**0**answers

110 views

### Log-concavity of convolution log-concave and not log concave density functions

Let $Z = X +Y $ be a random variable (r.v.) where $X$ and $Y$ are independent r.vs. If the density function of $X$ and $Y$, $f(x)$ and $g(x)$ are log-concave in the support of $X$ and $Y$, ...

**4**

votes

**1**answer

262 views

### Square root of normal distribution

Let $X$ and $Y$ be independent random variates with the same probability distribution, $P(x)$. Assuming that the product $Z=XY$ is a random variate with normal distribution, say $$f_Z(x) = ...

**1**

vote

**0**answers

58 views

### Approximate determinantal point process

Consider a random process defined on $2^{\mathcal{X}}$, i.e. all subsets of a set $\mathcal{X}$.
It's well known that this process is determinantal if one can find a positive semidefinite matrix K, ...

**3**

votes

**2**answers

93 views

### Existence of an invariant measure on an infinite dimensional space via Lyapunov functional

Set-up.
Assume that we have a complete separable metric space $\mathcal{X}$ that is not locally compact. Let $V: \mathcal{x} \to [0; +\infty]$ be a functional such that $K_r :=\{x \in \mathcal {X} : V ...

**0**

votes

**0**answers

99 views

### How to decide a value of learning rate for Stochastic Gradient Descent?

I'd like to know how to decide a value of learning rate for Stochastic Gradient Descent (SGD), such as $\eta$ on the following parameter update iteration equation,
$w_{i+1} = w_i + -\eta \nabla ...

**14**

votes

**1**answer

669 views

### In how many steps a random walk visits all the elements of a finite group, with a probability 1/2?

This question is a variation of the return to the origin problem.
Let $G$ be the finite group $\mathbb{Z}/n \times \mathbb{Z}/n$ and let the random transformation $T: G \to G$ such that $T(a,b) = ...

**2**

votes

**2**answers

173 views

### Does $X_n \xrightarrow{d} N(0,1)$ and $X_n/Y_n \xrightarrow{d} N(0,1)$ imply that $Y_n \xrightarrow{d} 1$?

I'm thinking about the following question:
If $X_n$ and $X_n/Y_n$ both converge in distribution towards a standard Gaussian random variable and $Y_n \geq 0$ for all $n$, does then $Y_n$ necessarily ...

**12**

votes

**3**answers

495 views

### Expected value of the minimum with limited independence

Imagine you sample $n$ number with replacement uniformly from the integers $1,\dots, n$. Let $X$ be the minimum of these samples. I am interested in $\mathbb{E}(X)$ but with a twist. All I know is ...

**1**

vote

**0**answers

40 views

### Maximum likelihood estimation with several distributions

My question concerns using Maximum likelihood to estimate unknown parameters used by several (poisson) distributions.
The parameters are the pairs $(a_1,b_1),\dots,(a_N,b_N)$, and for each pair ...

**1**

vote

**1**answer

259 views

### The probability that a 2d continuous time random walk avoids the origin

I am trying to find a reference of a proof of a continuous time version of a result of Dvoretzky and Erdos from their paper "Some problems on random walk in space" that says the probability ...