**6**

votes

**1**answer

117 views

### Does a Gaussian process shrink under a contraction map

Let $T \subset \mathbb R^n$, and assume it's a finite set if that helps. Consider the symmetric Gaussian process $(X_t)_{t\in T}$ defined by $X_t = \langle G, t\rangle$, where $G$ is a standard ...

**3**

votes

**1**answer

131 views

### Regarding left-to-right minima

Let $\rho$ be a permutation on $[1,n]$ and $l_i$ be the number of left-to-right minima in $\rho_{i\ldots n}$, I know that for a random permutation $E[l_1] = H_n$ (the $n$-th Harmonic number) but is ...

**1**

vote

**1**answer

84 views

### Balls from bin with replacement, distinct elements, concentration inequality

Draw $n$ numbers, denoted by $a_1, a_2, \ldots, a_n$, from set $[n]$, that is, for each $i$, $a_i$ is a uniformly random number from $[n]$.
Let $A = \{a_1, a_2, \ldots, a_n\}$. Then
$$
...

**3**

votes

**1**answer

102 views

### Create matrix containing values in [0,1] where sum of all diagonals and anti-diagonals is fixed

The problem I am facing sounds at first glance pretty simple. However, as very often, it seems more complicated than I first assumed:
I want to calculate a matrix $P = (p_{j,k}) \in \mathbb{R}^{n ...

**0**

votes

**1**answer

134 views

### Is the following “section-wise” defined function measurable in the product space?

I asked this question in mathstackexchange a couple of days ago. Almost right after posing it a partial (affirmative) answer came to my mind in the following form
Proposition: Assume that ...

**4**

votes

**2**answers

220 views

### First collision time of $n$ random walkers on a cycle

My question is somehow related to the one here First Collision Time for k Random Walkers on a Torus but, unfortunately, the answer does not cover my concern.
My problem is: consider $n$ walkers on ...

**11**

votes

**2**answers

300 views

### A measure on the space of probability measures

This question was originaly posted in the stackexchange https://math.stackexchange.com/questions/1226701/a-measure-on-the-space-of-probability-measures but since it only got a comment I decided to ...

**1**

vote

**0**answers

33 views

### Equivalence of Graphical model selection algorithms

Suppose, a jointly Gaussian random vector is denoted by $X \in \mathbb{R}^{p}$ and $X$ has a distribution given by $\mathcal{N}(\mu,\Sigma)$. It is known that estimating the graphical model that ...

**3**

votes

**1**answer

113 views

### General ballot theorem

I am looking for a version of the Ballot Theorem for general step distributions. Specifically, let $X_1,X_2,\ldots$ be i.i.d. real random variables with some distribution. Let $S_n = S_1 + \cdots + ...

**4**

votes

**2**answers

298 views

### Expectation of Mahalanobis norm

Let $(g_i)_{i=1,...,d}$ sampled i.i.d. from a standard Gaussian, and $(\lambda_i)_{i=1,...,d}$ non-random s.t. $\max_i(\lambda_i)=1$ and $\lambda_i>0, \forall i$.
I am looking for the expectation ...

**7**

votes

**2**answers

226 views

### A moment problem

Suppose $X, Y$ are two positive random variables such that $\mathbb{E}[X^\alpha] = \mathbb{E}[Y^\alpha]$ for all $\alpha \in (0, 1/2)$.
It is also known that the first moment exists for each of them, ...

**6**

votes

**2**answers

222 views

### A variant of random walk

Standard random walk assumes a sequence of iid RVs $\{X_i\}_{i\geq 0}$ and studied the distribution of $S_n=\sum_{i=0}^n X_i$.
Here, I am wondering whether there is some work on
$T_n=\sum_{i=0}^n ...

**10**

votes

**0**answers

158 views

### Self-avoiding random walks that always turn

I am wondering if the statistics of self-avoiding random lattice-walks
on $\mathbb{Z}^2$
that turn left or right at each step (i.e., they cannot continue the
direction of the preceding step) have been ...

**1**

vote

**0**answers

71 views

### Bounding correlation between blocks of Gaussian stationary process

Let $X_n$ be a stationary Gaussian process with covariance function $\gamma(n)=\mathrm{Cov}[X(n),X(0)]$. Let $\mathbf{X}_p^q=(X_p,\ldots,X_q)$, $s_n^2=\mathrm{Var}(X_1+\ldots+X_n)$, and ...

**2**

votes

**2**answers

352 views

### Primes as uncorrelated random variables [closed]

The heuristic justification section of the Wikipedia article about Goldbach's conjecture says that the argument that suggests that
the number of twin primes below $x$ should be roughly ...

**5**

votes

**0**answers

186 views

### Quadratic variation and predictable quadratic variation for martingales

Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$.
Fix $N$ and consider now a discrete version ...

**10**

votes

**4**answers

709 views

### Rate of convergence in the Law of Large Numbers

I'm working on a problem where I need information on the size of $E_n=|S_n-n\mu|$, where $S_n=X_1+\ldots+X_n$ is a sum of i.i.d. random variables and $\mu=\mathbb EX_1$. For this to make sense, the ...

**48**

votes

**4**answers

2k views

### When has the Borel-Cantelli heuristic been wrong?

The Borel-Cantelli lemma is very frequently used to give a heuristic for whether or not certain statements in number theory are true.
For example, it gives some evidence that there are finitely many ...

**2**

votes

**1**answer

184 views

### Push-forward of sum of two maps

Let $X=R^n$ and $Y=R^m$ are two Euclidean spaces with $m<n$. Let $\varphi$ and $\phi$ are two (smooth) maps from $X$ to $Y$ and $\mu$ is a probability measure on $X$. Is there any relationship ...

**4**

votes

**1**answer

145 views

### Area enclosed by Brownian motion (without winding number)

The question Average Value of Area Closed by Brownian Motion turned out to be about the Lévy area process, which measures "signed area with multiplicity" enclosed by Brownian motion (e.g. each ...

**7**

votes

**1**answer

125 views

### Is there a Degenerate Dependency Local Lemma?

The Lovasz Local Lemma has several generalizations, with names usually starting with L, such as Lopsided or Lefthanded.
Here I ask whether another possible generalization (for which I could not yet ...

**3**

votes

**1**answer

160 views

### A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator

Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as
...

**8**

votes

**1**answer

304 views

### Samuel Karlin's problem: Probability of positive solution to system of random linear equations

I came to know this problem from Dr. W. Bryc's slides (at University of Cincinnati), and I have been continually working on this problem for almost 5 days using different techniques. But I am only ...

**2**

votes

**0**answers

53 views

### Bounds on number of distinct substrings

I have a table with $r$ rows of length $\ell$, with each cell containing a letter from an alphabet $A$ of length $a$. I'm trying to determine the expected number of distinct strings of length $k$ ...

**4**

votes

**3**answers

479 views

### Is there an analytic solution for this partial differential equation?

The Fokker-Planck equation for a probability distribution $P(\theta,t)$:
\begin{align}
\frac{\partial P(\theta,t)}{\partial ...

**2**

votes

**4**answers

330 views

### Higher Moments, what are they good for? [closed]

Absolutely nothing?
And now seriously - When I studied the basics of probability theory, and even in more advanced topics (random walks, stochastic processes, etc.), I always felt that the mean and ...

**2**

votes

**1**answer

171 views

### Hitting probabilities for conditioned oriented random walk monotonic?

Consider an oriented random walk on $\mathbb Z^2$ (i.e. only steps $\rightarrow$ and $\uparrow$ with equal probability.) Say we let the walk go $2m$ steps then start guessing sites at distance $2m$ ...

**2**

votes

**1**answer

128 views

### Criterion for weak convergence of probability measures on S' or D'

Let $X_n$ in $S'$ and $\mu_n$, $\mu$ in $M(S')$. $S'$ is the space of tempered distributions. I'm looking for a reference that says if $< f, X_n >$ converges in distribution to $< f,X>$ ...

**2**

votes

**0**answers

83 views

### Implication of MGF inequality

Let X and Y be two random variables. Denote by $F_X(x)$ and $F_Y(y)$ their CDFs and by $M_X(t)$ and $M_Y(t)$ their MGFs.
It is known that X and Y have the same CDF iff they have the same MGF.
My ...

**2**

votes

**2**answers

109 views

### Do all positive distributions on $N$ variables factor pairwise?

The Hammersley-Clifford theorem says that any positive probability distribution satisfies one of the Markov properties with respect to an undirected graph G if and only if its density can be ...

**9**

votes

**1**answer

243 views

### a question on 0-1 valued stochastic process

Here's a question on probability theory from a layman (I'm a game theorist). It is very likely that the question will be a straightforward matter for someone who is a probability theorist. I guess I'm ...

**5**

votes

**0**answers

122 views

### Elementary function relative to erf

The modified Bessel function of the 1st kind $I_0$ is defined by
$$
I_0(z)=\frac1\pi\int_0^{2\pi}e^{z\cos\theta}\,d\theta
$$
and arises, among other places, in the probability density function of a ...

**11**

votes

**0**answers

384 views

### Transitivity of balanced mass transport in Z

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...

**2**

votes

**1**answer

104 views

### Variant of Skorokhod's theorem

Consider the following situation:
$S, T$ are standard Borel spaces (say $S = [0,1]^k$, $T = [0,1]$ if it is helpful).
There is a a random variable $\zeta: \Omega \to S$.
$f_n(\zeta) \to^d \eta$, ...

**2**

votes

**0**answers

59 views

### Smallest Singular Value of a Random Matrix with Dependent Entries

Overview
I am trying to bound from below the smallest singular value $\sigma_{n}$ of a sequence of symmetric $n$ by $n$ random matrices $M_{n}$ with dependant entries. In particular, I would like to ...

**2**

votes

**1**answer

148 views

### Weak convergence of probability measures on weak versus strong dual

The space of temperate distributions $S'(\mathbb{R}^d)$ is often equipped with the weak-$\ast$ or with the strong topology. When defining the notion of a probability measure on $S'(\mathbb{R}^d)$, ...

**5**

votes

**0**answers

243 views

### Squaring random Schwartz distributions

Let $\mu$ denote the centered Gaussian measure on $S'(\mathbb{R}^d)$ with covariance
$$
\mathbb{E}
[\phi(f)\phi(g)]=\int_{\mathbb{R}^d} \frac{\overline{\widehat{f}(\xi)}
...

**6**

votes

**2**answers

156 views

### Tail sigma-algebra of a branching random walk

I am looking for any known results about the tail sigma-algebra of a branching random walk. To be specific, let $T$ be the nodes of an infinite binary tree rooted at $r \in T$. Let $\{X_t\})_{t \in ...

**4**

votes

**1**answer

126 views

### Estimating the distribution of minimal hamming distances within a set of strings?

Is their an efficient mathematical way to estimate the distribution of minimal hamming distances for a set of random strings of length 8 over a 4-letter alphabet? E.g. given a set of 100-10,000 ...

**13**

votes

**2**answers

428 views

### The power of two random choices with pairwise independence

Throw $n$ balls into $n$ bins, and let $X_n$ be the max load. That is the number of balls in the fullest bin. It is known that if the balls are thrown uniformly and independently at random then ...

**0**

votes

**1**answer

116 views

### Probability Content of a random ball in R^n

As a follow up to this question, concerning this paper:
Given random variables $X_1,\ldots,X_N,X_q:\Omega\rightarrow\mathbb{R}^d$, where $X_1,\ldots,X_N$ are independent and identical distributed. ...

**8**

votes

**1**answer

309 views

### Transitive closure of balanced mass transport in Z (move to close)

Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...

**12**

votes

**1**answer

406 views

### Natural probability on integers

This is a follow-up to this classical question asked recently here: we know (e.g. using the second Borel-Cantelli Lemma) that no probability measure on $\mathbb{Z}$ has the property that $n\mathbb{Z}$ ...

**2**

votes

**2**answers

98 views

### Moment problem for discrete distributions

Let $x_1, \dots, x_N \in \mathbb R$ and consider the discrete distribution $\mu := \frac{1}{N} \sum_{i=1}^N \delta_{x_i}$, where $\delta_x$ denotes the Dirac measure, i.e. for any measurable set $B ...

**16**

votes

**3**answers

676 views

### Existence of a “quasi-uniform” probablility distribution on $\mathbb{Z}$

Does there exist a probability distribution on $\mathbb{Z}$ such that
for every integer $n\geq 1$, the probability that a random integer $x$
is divisible by $n$ equals $1/n$?
Henry Cohn has an ...

**-2**

votes

**1**answer

119 views

### If $(X_n+Y_n)$ has bounded variance, is the same true for $(X_n)$ and $(Y_n)$? [closed]

let $(X_n)$ and $(Y_n)$ be two sequences of random variables defined on the same probability space such that the variance of all components $X_n$, $Y_n$ is finite and the sequence of variances of ...

**1**

vote

**0**answers

67 views

### Does the expected spreading of sample paths imply increase in variance?

Consider a sample-continuous stochastic process $\left\{ X_t \right\}_{t \in T}$ s.t. each $X_t$ is real-valued and $$\int_\Omega | X_t(\omega) | ^p \, \mathrm{d} P(\omega)< \infty$$ for all $1 ...

**1**

vote

**1**answer

103 views

### Projective family of probability spaces

This is a crosspost of this question from MSE.
I'm confused about the definition of a projective family of probability spaces $(S_t,\mathscr S _t,\mu_t,f_{ts})_{s,t\in T}$. The conditions
...

**1**

vote

**0**answers

105 views

### Converse for Levy's continuity theorem

Levy's continuity theorem states that, for a sequence of random variables $\{X_n\}$ with characteristic functions $\{\varphi_n(t)\}$ and a random variable $X$ with a characteristic function ...

**5**

votes

**1**answer

144 views

### Rate of convergence of Bayesian posterior

Suppose a data generating process (DGP) is parameterized by some unknown parameter $\theta_0$, say $P_{\theta_0}$, and we want to estimate the value of $\theta_0$ using Bayesian method. Let ...