Questions tagged [pr.probability]
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
8,662
questions
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Does smoothing a non-log-concave distribution make it more log-concave?
Suppose that $p$ is a density on $\mathbb{R}^d$ that is $C^2$ and nonzero everywhere, and such that the Hessian of its negative logarithm is lower bounded:
$$-\nabla^2 \ln p\succeq L$$
for some matrix ...
4
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0
answers
248
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Infinitesimal generator of a Markov process acting on a measure
Short version: The transition operator of a Markov process can act on measures (on the left) or functions (on the right). The infinitesimal generator acts on functions. Is there a way to understand ...
4
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0
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156
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Convergence rates for kernel empirical risk minimization, i.e empirical risk minimization (ERM) with kernel density estimation (KDE)
Let $\Theta$ be an open subset of some $\mathbb R^m$ and let $P$ be a probability distribution on $\mathbb R^d$ with density $f$ in a Sobolev space $W_p^s(\mathbb R^d)$, i.e all derivatives of $f$ ...
4
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Show that $\mathbb{P}[ a V\le Z| V+Z]=\mathbb{P}[aV \ge Z| V+Z] \text{ a.s.} $ iff $V=\frac{1}{\sqrt{a}}Z'$ where $Z'$ is standard normal
Consider a pair of independent random variables $(V,Z)$ where $Z$ is standard normal. Now suppose that the following equality holds: for a given $a>0$
\begin{align}
\mathbb{P}[ a V\le Z| V+Z]=\...
4
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252
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Malliavin calculus and geometric interpretation of $\nabla \cdot ({\nabla F(x)}{\|\nabla F(x)\|^{-2}})$, with regards to the surface $S = \{F = 0\}$
Let $F:\mathbb R^n \to \mathbb R$ be a "sufficiently regular" function. For any $k \ge 1$ and $x \in \mathbb R^n$, define
$$
\alpha_k(x) := \nabla \cdot \left(\dfrac{\nabla F(x)}{\|\nabla F(...
4
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0
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177
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log-concavity and local CLT
If a sequence of 1-dimensional log-concave integer-valued distributions satisfies a Central Limit Theorem (CLT) and has variance going to $\infty$, then it satisfies a Local Central Limit Theorem (...
4
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118
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Exponential families closed under affine transformations
Let $(\Omega,\Sigma,\mu)$ be a probability space and let $\mathcal{M}$ be an exponential family of probability distributions for $\mu$ of the following form: There are $\varphi_1,\dots,\varphi_n:\...
4
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0
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187
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What is the minimum nonzero rank in a random subspace of matrices?
Fix positive integers $m$, $n$, and $k\leq mn$, and draw a $k$-dimensional subspace $S\leq\mathbb{R}^{m\times n}$ uniformly from the Grassmannian.
What is known about the random variable
$R(m,n,k):=\...
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226
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From biased coins to biased coins, as efficiently as possible
Background
We're given a coin that shows heads with an unknown probability, $\lambda$. The goal is to use that coin (and possibly also a fair coin) to build a "new" coin that shows heads ...
4
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115
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What is the least compressible probability distribution? (under entropy constraint, for an expected squared error metric)
This is a cross-post from cstheory after a week with no answers/comments; I'm hoping someone here may have some thoughts.
Consider a distribution $\mathcal D$ over the reals, a real parameter $H\in\...
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177
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As increasingly higher degree terms are added to a "random" polynomial, how fast do the roots approach the unit circle?
As increasingly higher degree terms are added to a "random" polynomial, the roots of a polynomial can be proven to approach the unit circle. For example, see the MathOverflow question Why ...
4
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1
answer
204
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Limiting eigenvalue distribution of $(I-A)^T(I-A)$
Let $A\in\mathbb R^{n\times n}$ be a random Gaussian matrix with i.i.d entries from $\mathcal N (0, \frac{a}{\sqrt{n}})$. By Marchenko-Pastur we know the limiting distribution of the eigenvalue of $A^...
4
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80
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Does minimum mean-square error characterize distribution?
Let $X$ be a real random variable, and, for each $t \geq 0$, let $X_t = X + \sqrt {t}Y$ where $Y$ is a standard normal independent of $X$. The quantity
$$
R(t) = E \big ( [ X - E (X |X_t)]^2 \big),...
4
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Determine the minimal elements of a Dynkin system generated by a finite set of finite sets
(This is a refined version of https://cs.stackexchange.com/q/144371)
Let $\Omega$ be a finite set. A Dynkin system on $\Omega$ is a subset of the power set of $\Omega$ containing $\Omega$, which is ...
4
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96
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Improving log-Sobolev inequalities via quadratic regularisation
Suppose that $\mu(dx) = \exp(-\psi(x)) \, \mathrm{dx}$ is a probability measure on $\mathbf{R}^d$.
For suitable functions $g \geqslant 0$, define
$$\text{Ent}(g) = \int \mu(dx) g(x) \log \left( \frac{...
4
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0
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94
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Is this conjecture about the binomial and beta distributions true?
Let $X$ follow a binomial distribution with parameters $n$ and $p$, and also fix $k$ such that $1<k<n$. Define
$$a = \mathbb{E}(X-k)^+$$
and
$$b = \mathbb{E}\log\binom{X}{(X-k)^+}$$
where the ...
4
votes
1
answer
304
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Asymptotic limit of trace of random matrix $(aI_m + WW^\top)^{-1}$, where $W$ has iid rows from $N(0,\Sigma)$
Let $m$ and $d$ be positive integers with $m,d \to \infty$ such that $m/d \to \rho \in (0,\infty)$. Let $W$ be a random $m \times d$ matrix with iid rows $w_1,\ldots,w_m \sim N(0,\Sigma)$ for a ...
4
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0
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74
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Marginalization of Wishart distribution
Consider the following Wishart distribution
$$
f({\bf W}) = \frac{ |{\bf W}|^{(n-p-1)/2} \exp\big[-\frac{1}{2}\text{tr}({\bf V}^{-1}{\bf W} ) \big] }{2^{np/2} |{\bf V}| \Gamma_p(\frac{n}{2})} \tag{1}
$...
4
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168
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Is there a relation or formula between the correlations of the nontrivial zeros of the Riemann zeta function and the correlations between high points
Consider an interval of length $(\log T)^{\theta}$ for some fixed $\theta > −1$, around a point $1/2 + i y$ on the critical line where $y\in[T,2T]$ and $T$ is large. How do the correlations between ...
4
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132
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An inequality for three iid random variables with a log-concave density
It was previously shown that
$$H\ge cG,\tag{1}$$
where $c:=1/14334$,
$$G:=E|X-Y|,\quad H:=E|X-Y|-\tfrac12\,E|X+Y-2Z|,$$
and $X,Y,Z$ are independent random variables with the same log-concave density.
...
4
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0
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187
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Dyadic distribution of $0/1$ permanents
Fix reals $a,b\in(1,2)$ satisfying $1<b<a<ab<2$.
What fraction of $0/1$ matrices of dimensions $n\times n$ have permanents
in $[b2^m,a2^m]$ at some $m\in\{0,1,2,\dots,\lfloor\log_2n!\...
4
votes
0
answers
93
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Log Sobolev inequality for Wiener space
I am reading https://arxiv.org/pdf/1003.1649.pdf and saw equation 10.2.3 that said that on Wiener space
$$E\left[f^2\log\left[\frac{f^2}{E[f^2]}\right]\right]\leq 2 E[|\nabla f|_H^2],$$
where $\nabla$ ...
4
votes
0
answers
156
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Occupation time of SDE
Let $b:\mathbb{R}^d\to\mathbb{R}^d$ be locally Lipschitz and assume that, for any $x\in\mathbb{R}^d$ and any $f\in C^{\infty}([0,1],\mathbb{R}^d)$, the equation
$$
X_t^{x,f}=x+\int_0^t b(X_s^{x,f})\,...
4
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0
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95
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When the Jacobian of unstable measure converges
Let $T:X \to X$ be a hyperbolic map on the compact metric space $X$. Hyperbolicity means that $T$ has local stable and unstable sets with uniform exponential bounds, which satisfy a local product ...
4
votes
0
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131
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Probability of quadratic real solutions
Solving geometric equations that sometimes lead to complex solutions made me
wonder how commonly this occurs.
I have two quadratic polynomial equations in $x$ and $y$,
$$a\, x^2 + b\, x y + c\, y^2 + ...
4
votes
0
answers
75
views
All possible discrete probability distributions arising from a finite length product of stochastic matrices
Consider a discrete probability distribution $x = (x_1,\ldots,x_n)$, where $x_i\ge0$, $\sum_ix_i=1$, and a set of $M$ stochastic matrices $P^1,\ldots,P^M\in\mathbb{R}^{n\times n}$, where all $P_{ij}\...
4
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0
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405
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Simmons' inequality on binomial random variables
Fix two positive integers $n,m$ such that $n>2m$ and $n\ge 3$, and let $X\sim \text{Bin}(n,\frac{m}{n})$ be a binomial random variable. For each $i\in \{1,\ldots,m\}$, set
$\alpha_i = \mathbb{P}(X\...
4
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0
answers
166
views
Pedestrian proof of Gaussian chaos for order-two polynomial?
Let $\ell \geqslant 1$. Let us consider $(g_n)_{n \in \mathbb{N}}$ identically distributed independent real gaussian variables and real number $(a_{n_1,\dots n_{\ell}})_{(n_1, \dots, n_{\ell}s)\in\...
4
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0
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147
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Can we show equivalence of two distributions based on their statistics?
Let $p,q$ be two distributions on $\mathbb{R}^d$. Let $f:\mathbb{R}^d\times\mathbb{R}^d\rightarrow\mathbb{R}$. Under what conditions does $\mathbb{E}_{x\sim p}f(x,z)=\mathbb{E}_{x\sim q}f(x,z)\ \...
4
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1
answer
669
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Question/References on the Skorokhod M1 topology
Let $D(0,T)$ be the space of right continuous functions with left limits defined on $[0,T]$. Consider the Skorokhod M1 topology on $D(0,T)$, see e.g. S. Ledger, Skorokhod’s M1 topology for ...
4
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0
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274
views
Examples of measures that satisfy FKG, but not the FKG lattice condition
Let a percolation measure be a measure on $\{0,1\}^n$. We have a natural partial order on $\{0,1\}^n$ given by comparing all coordinates. An event $A$ is called increasing if for all $ \omega \in A $ ...
4
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132
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Independent inner functions on the unit disk
This problem cropped up in a paper that I am writing and I have thought about it for too long to no avail: let $\mathbb{D}$ be the open unit disk in the complex plane and suppose $\varphi:\mathbb{D}\...
4
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0
answers
228
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Convergence of the expectation of a random variable when conditioned on its sum with another, independent but not identically distributed
Suppose that for all $n \in \mathbf{N}$, $X_n$ and $Y_n$ are independent random variables with
$$X_n \sim \mathtt{Binomial}(n,1-q),$$
and
$$Y_n \sim \mathtt{Poisson}(n(q+\epsilon_n)),$$
where $q \in (...
4
votes
0
answers
402
views
A symmetrization-majorization inequality for i.i.d. zero mean random variables
Let $k\geq 2$ and
$$f(x_1,\ldots,x_k)=\Bigl(\prod_{i\leq k}(1+x_i)+\prod_{i\leq k}(1-x_i)\Bigr)\log\Bigl(\prod_{i\leq k}(1+x_i)+\prod_{i\leq k}(1-x_i)\Bigr)-k(1-x_1 x_2)\log(1-x_1 x_2).$$
If random ...
4
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0
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141
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A possible generalization of Solomonoff's theorem
Assume that $P$ and $Q$ are probability distribution on the binary tree,
i.e. $P$ and $Q$ are functions $\{0,1\}^{*} \to \mathbb{R}$ such that:
for every $x$: $P(x)=P(x0)+P(x1)$ and $P( \text{empty ...
4
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0
answers
114
views
Log-Sobolev Inequalities for convex bodies
For a measure $\mu$ supported on a convex body $K$, what are the conditions on $\mu$ and $K$ to satisfy a Log-Sobolev inequality of the form:
$$\int f^{2} \log f^{2}\,d\mu -\int f^{2}\,d\mu \log\left(\...
4
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0
answers
198
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Strange inequality relating Binomial pmf and cdf
I'm encountering a strange inequality I need to prove, relating the Binomial pmf and cdf.
Suppose we have $n$ coin flips, and fix an arbitrary $k \le n/2$ heads. Suppose further that we have some ...
4
votes
0
answers
210
views
How frequent are permutations with small interleaving?
For $S\subset [n]:=\{1,2,\dotsc,n\}$, define $\delta(S)$ to be the number of $m\in S$ such that $m+1\notin S$.
Let $\pi$ be a permutation of $[n]$. For simplicity, assume that $\pi$ is an $n$-cycle. ...
4
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0
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184
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Probability that a Random Monic Polynomial Has Few Real Zeros
In the paper https://arxiv.org/pdf/math/0006113.pdf, it is shown that the probability that a random polynomial $a_0 + a_1x + \cdots + a_n x^n$ has $o(\log n / \log\log n)$ real zeros is $n^{-b + o(1)}$...
4
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0
answers
181
views
Shannon-McMillan-Breiman theorem for expander graphs: rate of convergence?
Is the following uniform SMB theorem for random walks on expander graphs true?
For simplicity, I will state it for a finite group $G=\langle S \rangle$ and a uniform probability measure $\mu$ on the ...
4
votes
0
answers
181
views
Probability distributions for Grothendieck topologies
The motivation for asking this question comes from looking at the works of Bhargava and co-workers on the statistics of certain properties of elliptic curves and other abelian varieties, hyper-...
4
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0
answers
641
views
Bayesian Networks and Polytree
I am a bit puzzled by the use of polytree to infer a posterior in a Bayesian Network (BN).
BN are defined as directed acyclic graphs. A polytree is DAG whose underlying undirected graph is a tree. ...
4
votes
0
answers
143
views
Left passage probability of $SLE_8$?
Schramm's formula on left passage probabilities of $SLE_k$ is stated for $k \in [0,8)$ in theorem 2 here. However, after the statement he remarks that the formula simplifies to $1/2$ for $k = 8$. It ...
4
votes
0
answers
198
views
A lower bound on the expected sum of Bernoulli random variables given a constraint on its distribution
Given a set of Bernoulli random variables $x_1, \dots, x_n$ (not necessarily identical) with $X= \sum_{0<i\leq n} x_i$, I am intrested in finding a lower-bound for $\frac{\mathbb{E} [ \min (X,k) ]...
4
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0
answers
131
views
For a martingale $f_0,f_1,\ldots $ how can we bound $P(\frac{1}{n} \|f_n\| \le 1$ for all $ n \ge N)$?
Suppose $f_0,f_1, \ldots$ is a martingale (or i.i.d sequence) in $\mathbb R^d$ with $f_0=0$ and all $\|f_n - f_{n-1}\| \le L$ say. There are many concentration results for the initial segment of the ...
4
votes
0
answers
234
views
Tight bounds for finite de Finetti's theorem
de Finetti's theorem roughly states that infinite sequence of exchangeable random variables are conditionally independent. I am looking for tight bounds for de Finetti's theorem in the following ...
4
votes
0
answers
148
views
List of Replica Symmetry results for different models?
Does anyone know of a good source that might have a list of problems or models along with what kind of replica symmetry they are conjectured to have?
I am aware of some of the more famous results, e....
4
votes
0
answers
141
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Local behaviour of fractions with bounded denominator / Was it already studied?
My question is about a point process that I feel it would be natural to study, but that I have never heard of… This point process would represent, morally, the local behaviour of the set of fractions ...
4
votes
0
answers
514
views
How should the proof of the XYZ theorem be understood?
The XYZ Theorem of Shepp [1] states the following for a given poset $P$. Consider the probability space of all the linear extensions of $P$, where each possible extension is equally likely. Then for ...
4
votes
0
answers
97
views
Weighted distribution of irrational rotation
Let $\theta\in [0,1]\setminus\mathbb{Q}$. Let $\alpha_0=\theta$ and $\alpha_1=1$. Let $0<p_0<1$ and $p_1=1-p_0$. For a finite word $I=(i_1, i_2, \dots, i_n)\in \{0,1\}^n$, denote by $I'=(i_1, ...