# Tagged Questions

**7**

votes

**3**answers

293 views

### A learning roadmap to the Schramm-Loewner evolution (SLE) for the complex analyst

I would like some good references to learn about the Schramm-Loewner evolution (SLE), for a complex analyst with no background in probability.
A quick google search gave a lot of references on SLE ...

**2**

votes

**0**answers

50 views

### Random matrices whose limit gives exact Wigner surmise

Let $M$ come from an ensemble of $N\times N$ matrices. The Wigner surmise is density function $p^W_0(s)=\frac{\pi}{2}se^{-\pi s^2/4}$. From a random matrix point of view, we can write ...

**3**

votes

**2**answers

263 views

### Expected number of non-empty regions

Consider $d$ dimensional space cut by $n$ hyperplanes in general position, each one of which goes through the origin. The number of distinct regions created is known to be:
$$2\sum_{i=0}^{d-1} {n -1 ...

**223**

votes

**15**answers

31k views

### Why do roots of polynomials tend to have absolute value close to 1?

While playing around with Mathematica I noticed that most polynomials with real coefficients seem to have most complex zeroes very near the unit circle. For instance, if we plot all the roots of a ...

**0**

votes

**1**answer

95 views

### Expected number of packed items in box

Assume we have a box of size $n$, some items $X_i, i \in N$ of unknown distribution, with expected size $\mu>0$ and variance $\sigma^2$. We want to randomly and greedily pack the box with the items ...

**4**

votes

**1**answer

146 views

### Expectation of ratio of functions of i.i.d. Bernoullis: a concentration question

Consider the following $n \times n$ symmetric matrix of i.i.d. Bernoulli random variables, $X_{ij}$. For $i=1,...,n$ and $i<j\le n$. Let $X_{ij} \sim \text{Bernoulli}(p)$ when $i \ne j$ ($p$ ...

**1**

vote

**0**answers

34 views

### Bounds on Product of CDF or Beta function

I have functions of the form
\begin{align}
I_i = \int_0^\infty F_0(x)^aF_1(x)^b(1-F_0(x))^c(1-F_1(x))^ddF_i(x)~~~~i = 0,1
\end{align}
$F_0(x)$ and $F_1(x)$ are CDFs corresponding to the random ...

**10**

votes

**3**answers

256 views

### Limiting probabilities for two-player game drawing random uniform numbers

Consider this simple 2-person game I just made up:
Player A goes gets to draw a uniform U[0,1] number up to X times. At any time, he may either keep his number, or draw a brand new uniform number. ...

**6**

votes

**2**answers

126 views

### Ising model on lattices with (vertical side length) $\neq$ (horizontal side length)

Consider the Ising model with nearest neighbours interactions on a rectangular lattice $L\times M$.
If $L=M$ ($2$-dimensional square lattice), it is known (e.g., by Peierls' argument or Onsager's ...

**6**

votes

**1**answer

146 views

### Closure of random rotations

Are matrix Fisher random variables closed under multiplication?
For those unfamiliar with the jargon, let me unpack the terms above and repose my question.
This is a question about probability ...

**1**

vote

**0**answers

47 views

### “Bad” lower functions for a Bessel process?

Let $(X_t, t \ge 0)$ be a Bessel($\delta$) process, for some dimension $\delta > 2$, starting, say, from $1$.
Let $f: \mathbb{R}_+ \to \mathbb{R}_+$ be an upper semicontinuous function; assume ...

**1**

vote

**1**answer

86 views

### The uniform integrability of exponential of Poisson process

Let $\left\{N_t,\mathcal{F}_t\right\}_{t\ge0}$ be a Poisson process with intensity $\lambda>0$. Define
$$X_t=\exp{\left[N_t-\lambda t(e-1)\right]}$$
I can show that $\{X_t,\mathcal{F}_t\}_{t\ge0}$ ...

**1**

vote

**1**answer

164 views

### Kolmogorov doesn't show existence of Dirichlet process for arbitrary measurable spaces. Why?

I'm trying to understand the problem arising when using Kolmogorov's extension theorem to prove the existence of the Dirichlet process on an arbitrary measurable space ...

**1**

vote

**0**answers

130 views

### Strong Dependence

I don't know if this definition has been already given.
Suppose $X$ and $Y$ are two random variables over finite alphabets $\mathcal{X}$ and $\mathcal{Y}$. We say $Y$ is strongly dependent on $X$ if ...

**6**

votes

**1**answer

179 views

### Do the terms of an iid sequence whose law has infinite expected value necessarily exceed the partial sums of the sequence infinitely often?

Let $\mu$ be a probability measure on $(0,\infty)$, and let $(\mathbf X_n)_1^\infty$ be a sequence of independent $\mu$-distributed random variables. Fix $\kappa > 0$, and consider
A) $\int x \; ...

**3**

votes

**1**answer

119 views

### Conditional Form of Rosenthal's Inequality

Rosenthal's Inequality as stated in the book "Martingale Limit Theory and Its Application" by Hall and Heyde states the following:
If $\{S_i, \mathcal{F}_i, 1\leq i \leq n\}$ is a martingale and ...

**2**

votes

**0**answers

98 views

### Examples for Markov generators with pure point spectrum

I'm looking at symmetric diffusion Markov generators $L$ with pure point spectrum, i.e. infinitesimal generators of symmetric diffusion Markov semigroups, which are defined on $L^2(\mu)$ where $\mu$ ...

**3**

votes

**1**answer

122 views

### Raikov's thm: Given two rv X,Y with $X+Y=Z\sim Poisson(\lambda)$, then X,Y is Poisson

Can smn give a reference for Raikov's theorem? The only one I found is in Russian.
http://en.wikipedia.org/wiki/Raikov%27s_theorem
or give the proof
I am trying to do it with characteristics

**3**

votes

**0**answers

134 views

### On a problem of sphere-packing for Reed-Solomon codes

Suppose we have an $[n, k+1, n-k]$ Reed Solomon code $\mathcal C$ over $\mathbb F_q$, where $n-k=d$ is the minimum distance, and suppose that $d=2t+1$. We know that for every $r \in \mathbb F_q^n$ the ...

**1**

vote

**0**answers

84 views

### question about the tightness of probability measures for a general topological space

Let $(E,\mathcal{X})$ be a topological space and denote by $\mathcal{F}$ its collection of Borel subsets referred to $\mathcal{X}$. Now let $\mathcal{P}$ be the set of all probabilities on ...

**22**

votes

**2**answers

582 views

### Random points on the unit sphere

Suppose you have $n$ points picked uniformly at random on the surface of $\mathbb{S}^d,$ and let the volume of the convex hull of these points be $V_{n, d}.$ Clearly, $V_{n, d}$ converges to the ...

**2**

votes

**0**answers

77 views

### $L^p$ estimates for Ornstein-Uhlenbeck: what is known beyond hypercontractivity?

Consider an infinite-dimensional Gaussian random vector $X$, and a positive random variable $f(X) \in L^p, p > 1$. Let $f(X) \sim \sum_n f_n(X)$ be its (formal) chaos expansion. Let $(U_\rho, \rho ...

**2**

votes

**2**answers

227 views

### Ito diffusion with highly oscillatory diffusion coefficient

Consider the stochastic differential equation on $\mathbb R$
$$
dx_t = f(x_t) dt + g(\omega t)\, dW_t
$$
with $W_t$ a standard Brownian motion, $f:\mathbb R \to \mathbb R$ a smooth function, and ...

**1**

vote

**0**answers

66 views

### Bounding expected value of maximum of dot product with random chirp

Let $\mathbf{x}\in\mathbb{C}^n$ with $\|\mathbf{x}\|=1$ with $n<\frac{N}{2}$. I am interested in a bound of the form
\begin{equation*}
...

**0**

votes

**1**answer

144 views

### Existence of bounded $n-$th derivative of the solution of differential equation

This question is the copy from mat.stackexchange.com here. I requestioned here due to the very limited responses there.
Let $\phi:\mathbb{R}\mapsto\mathbb{R}$ be the standard normal density, ...

**9**

votes

**1**answer

301 views

### What is known about the distribution of eigenvectors of random matrices?

Let $A$ be a real asymmetric $n \times n$ matrix with i.i.d. random, zero-mean elements. What results, if any, are there for the eigenvectors of $A$? In particular:
How are individual eigenvectors ...

**1**

vote

**1**answer

55 views

### How to extend Dirichlet distribution to Dirichlet process

For a Dirichlet process, there are two parameter $\alpha$ and $H$, and the Dirichlet process $X$ is defined as
$$(X(B_1),\cdots,X(B_n))\sim Dir(\alpha H(B_1),\cdots,\alpha H(B_n))$$
...

**0**

votes

**1**answer

59 views

### Does a irreducible set of states necessarily need to be closed in a Markov chain?

I have come across two different definitions for a 'irreducible set of states' of a Markov chain.
Definition 1: A subset of states $A$ of a Markov chain is irreducible if it is possible to access ...

**0**

votes

**0**answers

34 views

### Distribution of Wishart Sample Eigenvalues for Multiple Roots

I am interested in finding an asymptotic approximation to the latent roots $l_1>\dots>l_p$ of a white noise Wishart matrix $nS\sim W_p(n,I)$ as $n\rightarrow\infty$ (where $p$ is fixed). In ...

**1**

vote

**1**answer

458 views

### For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?

I am trying to characterize all measures on $\mathbb{R}$ such that
$$
\sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty,
$$
where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...

**3**

votes

**1**answer

128 views

### Strictly positive solutions of a random linear system

Suppose $B\in\mathbb{R}^{m\times n}$ is a random binary matrix with i.i.d entries and $c\in \mathbb{R}^m$ is a strictly positive vector, that is $c_i>0$ for $i=1,2,\cdots m$. Also assume $m<n$, ...

**2**

votes

**1**answer

61 views

### Unbiased sample from a product

Let $X = (x_1,\ldots,x_n)$ be an i.i.d sample from distribution $F%$ and let $y = \prod_{i=1}^n x_i$
Can we derive a randomized, unbiased. estimator $\hat{y}$ of $y$ that on average considers only a ...

**0**

votes

**1**answer

59 views

### Monotonicity of the gap of permutated sequence

Let $a$ be an arbitrary sequence and denote by $\mbox{gap}_k(a) = a_{(k)} - a_{(k+1)}$, where $a_{(k)}$ is the $k$th largest component of $a$. Of course, $k+1$ should be no larger than the length of ...

**3**

votes

**1**answer

189 views

### Unusual augmentation of a filtration

consider a probablity space $(\Omega,\mathcal{F}, \mathcal{P})$ and a filtration $(\mathcal{F}^0_t)$. In general $(\mathcal{F}^0_t)$ doesn't satisfy the usual conditions (it is not both complete at ...

**1**

vote

**1**answer

96 views

### GOE convergence

As is well-known (at least in some circles), eigenvalue spacing distribution for large symmetric matrices converges as size goes to infinity (see this question for more background). The question is: ...

**3**

votes

**1**answer

166 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 ...

**5**

votes

**2**answers

286 views

### Random Vornoi Diagrams (particular measures)

This is my second question about Random Voronoi diagrams, in my first question was given some excellent advice but i was not clear in explaining what i was looking for.
I'm interested to know ...

**8**

votes

**2**answers

632 views

### Random Voronoi Diagrams

I'm interested in what research has already been done with regards to the statistics of random voronoi diagrams. I have had a look on google scholar and results are a little inconclusive. I'm ...

**4**

votes

**1**answer

91 views

### Continuity of the stationary distribution of $M/G/1$ queue w.r.t. the input rate

Let $(\lambda_n)_{n\geq0}$ be a sequence of positive numbers such that $\lambda_n\rightarrow \lambda$ as $n\rightarrow +\infty$. These $\lambda_n$ are the parameters of a sequence of Poisson Processes ...

**1**

vote

**1**answer

147 views

### Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$

Consider a sequence $\{X_n\}$ of $N$ random variables. Can we give any upper bound on $E[\max_{n \leq N} X_n]$ in terms of $\max_{n \leq N} E[X_n]$. I think in general it is not possible.
If ...

**1**

vote

**1**answer

69 views

### Distance between two distribution of image

I am looking for a common distance method to compare two distribution (ex: histogram of image). Please suggest to me some common method to do it. I found some method ex: Bhattacharyya distance , K-L ...

**1**

vote

**1**answer

86 views

### Entropy on a draw from a random distribution.

Suppose I am attempting to calculate the entropy of a continuous, normally distributed random variable $X$, from the distribution $\mathcal{N}(\mu, \sigma)$. This is easy to to do - I just calculate
...

**1**

vote

**1**answer

102 views

### An identity for the exponential of a martingale

I am trying to understand a Lemma in Olav Kallenberg's book "Foundations of Modern Probability" (Lemma 26.19 in the second edition or 23.19 in the first edition).
The part of the lemma that I do not ...

**0**

votes

**0**answers

30 views

### Beta distribution - changes in multiple time points

Let's say I have a set of daily data (assume iid) that I know is beta distributed (between 0 and 1). I can estimate the parameters of the distribution and calculate the tails etc. This would tell me ...

**2**

votes

**2**answers

245 views

### Distribution of a random walk on a directed line

Is there a closed formula for the distribution of $x_t$ in the following random process, describing a random walk on a directed line?
$x_0 = n$
$x_t$ is a uniformly random integer between 1 and ...

**2**

votes

**0**answers

86 views

### A result on absolute mean of a stopped supermartingale

The reason of posting the following problem here is that I heard that it is a result from some paper.
Let $(X_n, \mathscr{F_n}), n \geq 0$ be a super martingale and $T$ an $\{F_n\}$-stopping time ...

**2**

votes

**1**answer

156 views

### Inequality for the tail of normal distribution function

Let $ Ф(x) = \frac{1}{\sqrt{2\pi}} \int_{-\infty}^{x} e^{-t^2/2} \, dt $ be the cumulative distribution function of the standard normal distribution.
Numerical calculations suggest the following ...

**3**

votes

**0**answers

81 views

### Concentration of weighted random chirp

I'm interested in seeing whether the following is true. Assume $u$ is uniform on $[0,1]$. For a fixed $x\in\mathbb{C}^n$ with $\|x\|_{2}=1$ we have
\begin{align*}
...

**4**

votes

**2**answers

200 views

### Brownian motion and hitting a Quadrilateral

I want to compute the hitting probability of a bounded plane by a Brownian motion starting at the origin. In other words, given the coordinates of a quadrilateral A , can we compute ...

**2**

votes

**1**answer

197 views

### Finding loops and double edges ASAP in configuration model random graph

A common approach (at least in theory) to generating a random $n$ vertex graph uniformly subject to having a given (feasible) degree sequence $(d_i)_{i = 1}^n$ is to use the configuration model, i.e. ...