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
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Sharp lower bound for the tail of Chi-squared distribution
Let $X_n$ be a chi-squared random variable with $n$ degrees of freedom. What are the sharpest known lower bounds on the tails of its distribution? Specifically, I am looking for the lower bounds in ...
3
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1
answer
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Hitting time probability in a Random Walk with possibility to die.
A Random Walker can move of one unit to the right with probability $p$, to the left with probability $q$ and it can jump again to the starting point with probability $r$ and die. Naturally $p+q+r=1$. ...
3
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1
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415
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How does changing the transition probabilities affect the concentration of a position-dependent random walk?
Consider a random walk on the integers where the probability of transitioning from $n$ to $n+1$ is $p_n$ (and of course, the probability of transitioning from $n$ to $n-1$ is $1-p_n$); we assume all $...
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game theory - coin flipping question
Lets say 2 players A and B try to have the most money at the end after playing a casino game in which they have a $49\%$ chance to double a wager.
Here are the rules to the bet between A and B:
Both ...
3
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1
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214
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Does martingale convergence hold for arbitrary time?
Let $\{\mathcal B_i:i\in I\}$ be a family of $\sigma$-algebras (over the same set $\Omega$) which are totally ordered by inclusion, in the sense that for any $i,j\in I$ either $\mathcal B_i\subset\...
3
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3
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Berry Esseen inequality for multidimensional distributions
The classical Berry-Esseen theorem asserts that if $f$ and $g$ are the characteristic functions of two distribution functions $F(t)$ and $G(t)$ respectively then with $T$ arbitrary
$$
\sup_{t \in \...
3
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2
answers
517
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Large deviations for missing mass
Let $\boldsymbol p=(p_1,p_2,\ldots)$ be a distribution over $\mathbb{N}$
and suppose that $S=(X_1,X_2,\ldots,X_n)$ are sampled iid according to $\boldsymbol p$. Define the
indicator variable $\xi_j$ ...
3
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1
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With Huffman code, why do we still need Shannon code?
I'm studying information theory by myself.
I'm confused about that since we already have Huffman code, which is the optimal code method, why are Shannon code and some other code still useful?
I ...
3
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1
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323
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Stochastic processes having Markov kernels
Let $(\Omega_1, \mathcal{F}_1, P_1)$ and $(\Omega_2, \mathcal{F}_2, P_2)$ be probability spaces and suppose $(X_t)$ and $(Y_t)$ are real-valued stochastic processes defined on the respective spaces. ...
3
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3
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Stopping time of a Markov chain
Let $A(t+1)=A(t)+Bin(n-A(t),\frac{A(t)}{n})$ with $A(0)=1$ and let $T_n$ be the minimum of $t$ such that $A(t)=n$.
I think that $A(t)$ should behave like the naive deterministic approximation $a(t+1)=...
3
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1
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731
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Will a given pattern ever show up in an infinite random sequence of 0s and 1s?
Here the pattern is a finite or infinite sequence of 0s and 1s, not necessarily consecutive, for example, $\lbrace 1, *, 1, *, 1 \rbrace$ and $\lbrace 0, *, 0, *, 0, *, \ldots \rbrace$ ($ * $, hole ...
3
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1
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802
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Stochastic integrals as honest martingales — exponential damping
We have a given positive martingale ρt, with the dynamics:
$$\textrm{d}\rho_t = \lambda_t \rho_t \textrm{d}W_t$$
where $W_t$ is a standard Brownian motion. Now we have an "exponentially dampened" ...
3
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2
answers
553
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trivial map on $\sigma-$algebra $\mod{}0$ is trivial
Hi everyone!
I am currently studying the basic theory of measurable actions and need the following result, which I am not able to prove myself. It is stated without a proof, so probably it should not ...
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3
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Markov random field with continuous index set
Hi
There's Markov random field (MRF) which, by my Wikipedia-based knowledge, is an extension of Markov chain. I'd like to think of it as going from 1D to higher dimensional spaces. Inherent in its ...
3
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3
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Statistics of a simple Markov chain
Imagine a two-state Markov chain which hops between the states $\pm 1$ with probability $p<1/2$, so that the autocorrelation function after $k$ steps is
$\rho_k = (2p-1)^k$
If I take an ...
3
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4
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Probability Theory, Chernoff Bounds, Sum of Independent (but not identically distributed) r.v
Is there any known bound on sum of independent but not identically
distributed geometric random variables?
I have to show that the tail of the sum drops exponentially (like in
the Chernoff bounds for ...
3
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2
answers
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Tightness of probabilty distributions
Let $\mathcal{P}(\mathbb{N})$ be the set of all probability mass functions on $\mathbb{N}=\{1,2,\dots \}$. Let $E$ be a closed(with respect to pointwise convergence, or equivalently the total ...
3
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2
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Why is Beta the maximum entropy distribution over Bernoulli's parameter?
Why is Beta(1,1) the maximum entropy distribution over the bias of a coin expressed as a probability given that:
If we express the bias as odds (which is over the support $[0, \infty)$), then Beta-...
3
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2
answers
319
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How to fill a simplex with almost disjoint cuboids?
There is an algorithm that give us cuboids in $\mathbb{R}^3$, say $Q_1,Q_2,\ldots$, such that $\cup_{i=1}^{\infty} Q_i$ is the simplex with vertices $(0,0,0), (1,0,0) , (0,1,0), (0,0,1)$, and the $Q_i$...
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4
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statistical approach to multinomial distribution
Suppose a dice with $q$ faces is rolled $N$ times, where $N$ is very big.
We define a multinomial variable $X=(X_1,\ldots,X_q)$ which counts how many times any face is occurred ($X_i$ is the number ...
3
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1
answer
119
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Concentration of measure on spheres with respect to a unitary of trace approximately zero
Cross-posted from MSE, where it hasn’t received any answer yet:
This question arose out of my attempt to understand how a unitary of trace approximately zero acts on the unit sphere of a $n$-...
3
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1
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When does the optimal model exist in learning theory?
In the context of learning theory, we usually have: data $(x,y)\sim P(x,y)$, with $x\in\mathcal{X}\subseteq\mathbb{R}^d$ and $y\in\mathcal{Y}\subseteq\mathbb{R}^k$, a hypothesis class $\mathcal{F}\...
3
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1
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171
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Continuity of conditional expectation
Let $X$ be a compact metric space, $\mu$ a Borel probability measure on $X$ and $f: X \to \mathbb{R}$ a continuous function. Consider an increasing sequence of $\sigma$-algebras $A_n$ so that for all $...
3
votes
1
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175
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Trace of product of two Wishart matrices
Let $A,B$ be two independent complex Wishart matrices, $A,B\sim CW_p(\mathbf{I},n)$, that is $A=\frac1n GG^\dagger$& $B=\frac1n QQ^\dagger$ where $G$ and $Q$ are independent $p\times n$ complex ...
3
votes
1
answer
161
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Quantitative version of ergodic theorem in Markov chains
Consider an irreducible Markov chain $X_t$ with finite state space $E$, and unique invariant measure $\pi$. Fix a function $V:E\to\mathbb R$ such that $E_\pi[V]=0$. The ergodic theorem tells us that, ...
3
votes
1
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155
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Is a semimartingale that is continuous a continuous semimartingale?
Let $X$ be a centered semimartingale that has continuous sample paths almost surely. Is it then true that $X$ is a continuous semimartingale? Meaning that $X$ has a decomposition $X=M+V$ where $M$ is ...
3
votes
1
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279
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Version of Kolmogorov tightness criterion without moments
Kolmogorov tightness criterion says that if $X_N$ is a sequence of continuous process with $X_N(0)=0$ and $E[[X_N(t)-X_N(s)|^p]\leq C_p |t-s|^{1+\beta}$ then for all $\gamma\in (0,\beta/p)$ we have ...
3
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1
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193
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Bound on an integral representing a difference of two relative entropies
Let $ f : [0,1] \to \mathbb{R} $ be a function satisfying: 1.) $ |f(x)| \leqslant a $ for some $ a < 1 $, and 2.) $ \int_0^1 f(x) {\mathrm d}x = 0 $. I would like to know whether the following ...
3
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1
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269
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Does anyone recognize the following theorem on probability distributions?
I am reading article [1] of Paul Meier, and on page 7, the following probability distribution function is given:
Theorem: If $x_1, \dots, x_k$ are independently distributed with density functions: $$...
3
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1
answer
138
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Is this map (from the space of probability densities to the Wasserstein space) Lipschitz?
Let $p \in [1, \infty)$. Let $\mathcal P_p(\mathbb R^d)$ be the space of all Borel probability measures on $\mathbb R^d$ with finite $p$-th moments. Let $D_p$ be the collection of all Borel measurable ...
3
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1
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203
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First time random sum exceeds value
Suppose $X_n$ $n = 1, 2, \ldots$ are i.i.d random variables with $\mu := \mathbb{E}[X_n]$ > 0. (although they are not necessarily non-negative). Then if $S_n = \sum_{k=1}^n X_k$ and $\tau_a$ = $\...
3
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1
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Probabilistic method Alon and Spencer Azuma's inequality
Theorem 7.5.2 states:
Let $v_1, \dots, v_n$ be vectors with $\|v_i\| \leq 1.$ Let $\epsilon_1, \dots, \epsilon_n \in \{-1, 1\}$ be independent with uniform probability and let $X=\|\epsilon_1 v_1 + \...
3
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Reference request: “A random integral and Orlicz spaces” [duplicate]
I need to find the following paper:
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, astronomiques ...
3
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1
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502
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Forgery theorem: the Brownian motion stays close to any curve with positive probability
In a paper I am reading the authors claim that, if $B$ is a standard BM in $\mathbb{R}$ and $f\in C([0,1],\mathbb{R})$, then for any $\epsilon>0$
$$
\mathbb{P}(\sup_{t\in [0,1]}|B_t-f(t)|<\...
3
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1
answer
131
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Mutual information in large deviation theory
Many information theoretic quantities such as entropy and relative entropy appear in rate functions in large deviation theory (LDT). Is there any result in LDT that relates mutual information and rate ...
3
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1
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176
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Asymptotic results for smallest gap of Gaussian random matrix
For a symmetric Gaussian random matrix $G=\{G\}_{1\le i,j \le n}$ with iid $E[G_{ij}]=0$ and $E[G_{ij}^2]=1/n$ (it is normalized), ordering its eigenvalues $\lambda_1\le \lambda_2\le\cdots \lambda_n$.
...
3
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1
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191
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Probabilistic Taylor theorem for concave functions
This paper proves a probabilistic version of Taylor's theorem
\begin{equation*}
\mathbb{E}g(X) = \sum_{k=0}^{n-1} \frac{g^{(k)}(0)}{k!} \mathbb{E}X^k + \frac{\mathbb{E}X^n}{n!} \mathbb{E} g^{(n)}(X_{(...
3
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1
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183
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Bounding the number of facets of a polytope to approximate a given convex shape in higher dimensions
We are given a convex shape $S$ lying inside the hypercube $[0,1]^d$ in the $d$-dimensional Euclidean space. Let the volume $V(S)$ of $S$ be $\tfrac12$ (I guess nothing changes for any other fixed ...
3
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1
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261
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Discrimination between set of binary distributions
Suppose we know two sets of distributions
$A=\{p_1,p_2,\cdots,p_k\}$ and $B=\{q_1,q_2,\cdots,q_k\}$.
We are given $C=\{r_1,r_2,\cdots,r_k\}$ such that $r_i=p_i$ for all $i$ or $r_i=q_i$ for all $i$.
...
3
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2
answers
520
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Is every discrete compound Poisson distribution a mixed Poisson distribution?
I asked and bountied this question at math SE but didn't get any answers, so I suspect that only experts (if anyone) may know the answer.
The mixed Poisson distribution and compound Poisson ...
3
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1
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243
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Stochastic dominance using moment-generating function
Traditionally, stochastic dominance is defined using the cumulative distribution function(CDF). But sometimes, the CDF is not easily to be obtained. For example, the generalized noncentral Chi-square ...
3
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2
answers
215
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Continuity of Radon transform w.r.t the angle
Let $f \in L^1(\mathbb R^n)$ (or in case it helps, actually a probability density on $\mathbb R^n$). Define the Radon transform $R[f]:S_{n-1} \times \mathbb R \to \mathbb R$ of $f$ by
$$
R[f](w,b) := ...
3
votes
1
answer
285
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Talagrand's inequality for L1 norm
I have a series of $n$ independent random variables $X_1,\ldots, X_n$, each with the support $[0,1]$, and a monotone convex function $f:\mathbb{R}^n \rightarrow \mathbb{R}$ that is 1-Lipshitz in L1 ...
3
votes
1
answer
385
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Harmonic function and Markov chain
Let $X=(X_k)_{k \in \mathbb{N}}$ be a Markov chain with countable countable state space $S$ and transition matrix $P.$
Let $\mathcal{T}$ be the tail $\sigma$-field of $X:\mathcal{T}=\bigcap_{k \in \...
3
votes
1
answer
179
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Example where concentration of measure fails nontrivially
A metric probability space $(X, \mu, \rho)$, i.e., a complete separable metric space with a probability measure on its Borel sets, is said to satisfy (Gaussian) concentration of measure property if ...
3
votes
1
answer
228
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Is the ball ratio theorem for Radon–Nikodým derivative known for general metric spaces?
Given two non-negative Borel measures $\mu$, $\nu$ on $\mathbb{R}^n$, that are finite on compact sets, such that $\nu\ll\mu$, it is well known that
$$\frac{d\nu}{d\mu}(x)= \lim_{\epsilon\to 0} \frac{\...
3
votes
1
answer
415
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Wasserstein-type concentration inequalities for empirical measures on polish spaces
Let $(\mathcal{X},d)$ be a Polish (metric) space and let $\{X_n\}_{n=1}^{\infty}$ be a sequence of i.i.d. $\mathcal{X}$-valued random elements defined on a common complete (standard) probability space ...
3
votes
1
answer
268
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A quantity associated to a probability measure space
Let $(S,P)$ be a (finite) probability space. We associate to $(S,P)$ a quantity $n(S,P)$ as follows:
The probability of two randomly chosen events $A,B\subset S$ being independent is denoted by $n(S,P)...
3
votes
1
answer
213
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How to prove excursion process is a Poisson point process?
This question comes from book Ju-Yi Yen and Marc Yor P59 and P60,
On page 59, "Define $\mathcal{Z}_\omega=\{t:B_t(\omega)=0\},$ and $\tau_l$ is the inverse local time. The complement of $\mathcal{...
3
votes
1
answer
289
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On the weak convergence of probability measures on $\mathbb R$
Let $\mathcal P(\mathbb R)$ be the set of probability measures. Set for $\mu,\nu\in\mathcal P(\mathbb R)$
$$d(\mu,\nu) := \inf\left\{\varepsilon>0:~ F_{\mu}(x-\varepsilon)-\varepsilon \le F_{\nu}(x)...