**1**

vote

**1**answer

171 views

### Rank of a sequence of covariance matrices

Let $X_i$ ($i=1, \dots$) be an orthonormal basis for $L^2(\Omega, \mathbb P)$. In particular, it holds that
$$\mathbb E[X_iX_j] = \delta_{ij}.$$
Now take $Z\in L^2(\Omega, \mathbb P)$ and define ...

**8**

votes

**1**answer

1k views

### Gluing Markov processes

I am looking for a reference on the gluing together of strong Markov processes to get a new one.
Here is an example of what I have in mind. Let $B^1, B^2, \ldots $ be independent one-dimensional ...

**1**

vote

**1**answer

440 views

### Calculate channel capacity of general channel under constraint

Hi!
Given a conditional distribution $P_{Y|X}$ I'd like to find the prior distribution $P_X$ that maximizes the mutual information $I(X;Y)$ with $P_Y(y)=\int P_{Y|X}(y|x)P_X(x)\text{dx}$ (this ...

**1**

vote

**1**answer

52 views

### Sampling from random unimodular matrices of a particular type?

Is there a nice way to parametrize unimodular matrices of form
$$\begin{bmatrix}
a1& a2& 0& 0\\
b1& b2& a1& a2\\
c1& c2& b1& b2\\
0& 0& c1& c2
...

**7**

votes

**1**answer

527 views

### Strong Markov property for Poisson point process

The question is thoroughly contained in the title. I just say that I would only like to find a reference for this question. I have searched in some books, to no avail.
Here is what I mean exactly. ...

**3**

votes

**1**answer

44 views

### Number of samples needed as input to Bernoulli factory

Let $\{X_i\}$ denote an i.i.d. sequence of Bernoulli variables with parameter $p$. A Bernoulli factory is a procedure that generates events with probability $f(p)$ using the observations $\{X_i\}$, ...

**-1**

votes

**0**answers

18 views

### probability for having the exact same result in a given number of test with a given number of possible combinations [on hold]

The questions was: What is the probability for having exact the same page at least twice when printing my whole SSD (as bytes) on paper.
We have 1117bytes per page leading to ~6,3e2834 possible ...

**0**

votes

**1**answer

291 views

### Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...

**1**

vote

**1**answer

344 views

### Size of KL-divergence neighbourhoods

I am new here. I was reading another
post
here and this got me wondering what can be said about the size of the following kl divergence neighborhoods.
Consider these two kl-divergence neighbourhood ...

**1**

vote

**1**answer

100 views

### Are most random variables trivially sub-gaussian? [on hold]

I'm trying to understand sub-gaussian RVs to see if they could be relevant to my work.
The common definition of a sub-gaussian RV is the following. X is $\sigma$ sub-gaussian if its laplace transform ...

**2**

votes

**0**answers

24 views

### Variance of a functional of transition probabilities using spectral gap of Markov chain

Consider an irreducible, aperiodic, time-reversible, discrete-time Markov chain on a finite state space $S$ whose Markov kernel is $K$ and unique stationary distribution is $\pi.$ Then, reversibility ...

**0**

votes

**0**answers

40 views

### How to find PDF of ordered random variables? [on hold]

Assumpion: Let $X_1, X_2, \ldots, X_L$ be $L$ independent and identical random variables (RVs). Let $F_{X_i}(x_i)$ and $f_{X_i}(x_i)$ be CDF and PDF of $X_i$. Suppose that $F_{X_i}(x_i) = F_X(x_i)$ ...

**4**

votes

**1**answer

273 views

### Roots of characteristic function of “reciprocal gamma measure”

Let us call a measure $\mu$ on the Borel $\sigma$-algebra $\mathfrak{B}_{(0,\infty)}$ of subsets of $(0,\infty)$ a reciprocal gamma measure if it is absolutely continuous with respect to the Lebesgue ...

**1**

vote

**0**answers

52 views

### concentration inequalities for quadratic forms of correlated random vectors

Let $\mathbf{n}$ is a Gaussian random vector with mean $\mathbf{0}$ and co-variance matrix $\mathbf{H}$. Let $\mathbf{r} = Sign(\mathbf{n})$, where $Sign(n_i) = 1$ if $n_i>0$ and $Sign(n_i) = -1$ ...

**2**

votes

**1**answer

175 views

### Expected value (probability) maximization with binomial distribution

I need to solve an optimization problem that involves an expected value like
$$F(n,x) = \sum_{k=0}^n \binom{n}{k} p^k(1 - p)^{n - k} f(k,x).$$
Here $f(k,x)$ is actually a probability coming from a ...

**1**

vote

**0**answers

42 views

### Stationary distribution of two-dimensional Markov Process?

A two-dimensinal Markov process $\{\theta_{t},S_{t}\}_{t=1}^{\infty}$ where $\theta_{t} \in \Theta$ and $S_{t} \in S$.$\Theta$ is a continuous state space and $S$ is a discrete state space. Suppose I ...

**0**

votes

**1**answer

148 views

### Minimum number of people such that 2 can be expected to sit next to each other [on hold]

We are given a large, round table with $n$ seats. It is easy to see that whenever $p\geq \text{int}(\frac{n}{2}) + 1$ people are seated, at least $2$ people will sit next to each other (here ...

**0**

votes

**0**answers

57 views

### Probability of correlated quadratic residues

Given $N,a,c\in\Bbb N$, where $a\in(0,1)$ is fixed, $c\ll(\log N)^{1/b}$ for any $b>1$ is fixed, what is the probability that given $A,B\in\Bbb N$ such that $N^{a/2}(\log N)\leq A,B\leq ...

**1**

vote

**0**answers

118 views

### Probability of correlated residues

Given $N,c\in\Bbb N$, where $c\ll(\log N)^{1/b}$ for any $b>1$ is fixed, what is the probability that given $A_1,A_2,A_3\in\Bbb N$ with ...

**0**

votes

**0**answers

27 views

### probability of reaching a point in a 2d grid in a certain number of steps [on hold]

I have a random walk process in a 2d grid with N steps where N is small. How can I calculate the probability that any given cell was reached in N, N-1, N-2 ... 1 steps. That is, I would like to be ...

**-1**

votes

**0**answers

31 views

### Statistical test for the independence of components in a N-dimension Gaussian random variable

Assuming that there is a N-dimenson Gaussian randon variable $\mathbf{X}=\left[\mathbf{x}_1,\mathbf{x}_2,...,\mathbf{x}_N\right]^T$ and we have K observations ($K\ll N$) of $\mathbf{X}$(i.e., we have ...

**0**

votes

**1**answer

199 views

### A question about brownian motions

I would like to ask a question about Brownian motion:
Let $B$ be a standard brownian motion. How to show that $\mathbb P( \max\limits_{0 \leq s \leq t} B(s) \in (a,b) )$ decreases exponentially in t ...

**4**

votes

**0**answers

138 views

### Is there a name for this quantity between two distributions?

Let $f$ be a probability density on a compact domain $D$, and say that $x_1,\dots,x_n$ are samples from $f$. If we wanted to compute the Wasserstein distance between $f$ and the empirical ...

**0**

votes

**0**answers

28 views

### convergence of empirical distribution of random vectors

Given
(a) random matrices $A^{n} \in \mathbb R^{n\times n}$ with iid normal
entries $A_{ij}\sim \mathcal N(0, 1/n)$; and
(b) $X^{n} \in \mathbb R^{n}$ with its empirical distributions converging ...

**0**

votes

**2**answers

46 views

### Pairwise distance distribution for point clouds (normal distribution) [closed]

I have a point cloud (2D for now) of $N$ normally distributed points (with a certain $\sigma$).
My first question would be how the pairwise distance distribution looks (just by chance I discovered a ...

**1**

vote

**1**answer

145 views

### Arc Sine law for Random Walk conditioned to non-absorption or not?

Let $S_n$ be simple symmetric Random walk on the integers in $[-N,N]$ with states $N$ and $-N$ absorbing. Let $\tau$ be the time to absorption when $S_0 = 0$.
Is the $E(S^{2}_{n}| \tau \geq n)$ ...

**1**

vote

**0**answers

95 views

### Randomly partitioning the unit interval with continuous functions

I want to construct a family of continuous functions $H$ in order to randomly partition the unit interval.
That is, consider a partition $\lambda$ of the unit interval into $n$ subintervals:
$\lambda ...

**0**

votes

**2**answers

78 views

### Expected summation of dropped intervals?

For each $n\in\mathbb{N}$, let $I_n$ be an interval of length $1/2^{n}$. We drop each $I_n$ onto the interval $[0,1]$ uniformly at random (so that there is "wraparound" if need be). What is the ...

**0**

votes

**0**answers

67 views

### Showing that a sequence of random variables with increasing expected value converges to a Poisson random variable

Consider a sequence $\{X_n\}_{n \geq 1}$ of nonnegative, integer-valued random variables. For any random variable $Y$ and $k \geq 1$, let $(Y)_k = Y(Y-1)(Y-2)\dots(Y-k+1)$ be the $k^\mathrm{th}$ ...

**4**

votes

**0**answers

54 views

### Dimension reduction for low-order moments of Rademacher-weighted sums of vectors

Let $x_1,\dots,x_n$ be vectors in a Euclidean space $H$. Let $\varepsilon_1,\dots,\varepsilon_n$ be independent Rademacher random variables (r.v.'s), so that $P(\varepsilon_i=\pm1)=1/2$ for all $i$.
...

**0**

votes

**1**answer

131 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

**0**answers

78 views

### Does squaring a directed random graph more than double its out-degree?

As far as I know, it is an unsolved question
whether or not this is true:
If $G$ is a directed an oriented graph, $G^2$ always has some node whose outdegree is at least
double that of its ...

**2**

votes

**1**answer

103 views

### Bounds on the probability of k-of-n events in terms of bounds on single and pairwise probabilities

Let $A_1,\dotsc,A_n$ be events in a probability space, and let $N = \sum_{i=1}^n \mathbf{1}_{A_i}$ be the random number of events that occur. For a fixed value $k \in \{1,\dotsc,n\}$, what can be ...

**1**

vote

**0**answers

81 views

### Measurable selections of a finite familiy of measures

EDIT. I'm adding a missing hypothesis and a really TL;DR version of the core problem. Warning: This short statement is the strongest form of what I want, hence not as plausible as the original form.
...

**4**

votes

**1**answer

262 views

### Properties of a finite random walk

Consider the simplest random walk - $X_0 = 0$ and from there on (i.i.d), $X_i=X_{i-1}+1$ with probability $p$ or $X_{i-1}-1$ otherwise.
Let $Y_N$ be the highest point $X$ have reached on the first ...

**2**

votes

**1**answer

576 views

### Probability generating function zero implies random variable is infinite

Let $V$ be a random variable supported on the nonnegative integers (including $\infty$) and $f(x) = \mathbf E x^V$ be the probability generating function. In our model $V$ is the number of visits to ...

**4**

votes

**2**answers

83 views

### Do subgaussian variables obey the slightly-stronger-than-Chernoff tail bound?

If $X \sim Normal(0,1)$, then we have the tail bound:
$$ (*) \qquad\Pr[X > t] \leq \mathcal{O}\left(\frac{e^{-t^2/2}}{t}\right) .$$
Now for general variables $X$, a nice condition is that $X$ be ...

**1**

vote

**0**answers

22 views

### PDF of points at the intersection of a sphere and hyperboloid in n dimensions

I'm studying a statistical mechanics problem and I have two conserved quantities:
$$ E = \sum_{k=0}^{M} \left[ a_1^2(k) + a_2^2(k) + b_1^2(k) + b_2^2(k)\right] $$
$$ H = \sum_{k=0}^{M} 2 k \left[ ...

**2**

votes

**1**answer

125 views

### Gradient of Probability Distribution

Given a random walk on a lattice $L$ (not necessarily centered - we allow $E[X_i] \neq 0$ for the i.i.d. increments $X_i$), let $p_t(x)$ denote the probability measure of state $x \in L$ after $t$ ...

**5**

votes

**1**answer

412 views

### Law of Iterated Logarithm for autoregressive process

Suppose that $\{X_i\}$ is an $\mathrm{AR}(r)$, defined by:
$X_{i}= h(i) + \varepsilon_i $,
$h(i)=\alpha_1 X_{i-1} + \dots + \alpha_{r} X_{i-r}$
where $\{\varepsilon_i\}$ are i.i.d. ${\cal ...

**-1**

votes

**0**answers

56 views

### product of random elliptic elements is likely to be hyperbolic?

In S. Carlip's paper "Four-Dimensional Entropy from Three-Dimensional Gravity"(http://arxiv.org/abs/1503.02981) he states " the product of a large number of random elements of ...

**1**

vote

**0**answers

50 views

### Fractional Sobolev space as a Cameron-Martin space

In their paper "On Fractional Brownian Processes" (link here to the working paper), Feyel and Pradelle (1997) write in the introduction: "we give very simple proofs of the existence of different ...

**9**

votes

**1**answer

709 views

### Hardy spaces: analysis <---> martingales

Let $H^p$ be the Hardy space of analytic functions on the open unit disk $D$: $f \in H^p$ if $f$ is analytic on $D$ and $\sup_{r < 1} \int_0^{2\pi} |f(re^{i\theta})|^p d\theta < \infty$.
...

**4**

votes

**1**answer

269 views

### Quasi-stationary distribution for a death process

In the paper, Survival in a quasi-death process by van Doorn and Pollett, the quasi-stationary distribution of a transient CTMC is discussed and QSD for a simple death process is derived.
Consider a ...

**4**

votes

**1**answer

91 views

### Weakly correlated Bernoulli field

Let $\Lambda\subset\mathbb{Z}^{d}$ ($\Lambda$
is finite). Let $\left\{ \eta_{x}\right\} _{x\in\Lambda}$
be a field of dependent Bernoulli random variables. I assume that their correlation decays ...

**-1**

votes

**0**answers

44 views

### Understanding the asserted variation in a WASEP particle model

Gartner's paper
I hit a real issue on page 239 if anyone here understands what's going on?
This page explained itself up until the statements (3.7) about the quadratic variation of $M$

**0**

votes

**1**answer

162 views

### How are epidemic models simulated in case of mobility?

I am not a mathematician but out of curiosity I am trying to implement the SIS epidemic model when the nodes have mobility to understand how it will change the results. I understand how to perform ...

**10**

votes

**1**answer

441 views

### Is the set of the convolutions of two-point measures dense in the set of all measures?

A measure supported in two points is a measure of the form
$$
\mu=\alpha\delta_a+(1-\alpha)\delta_b,
$$
where $a<b$ and $\alpha\in (0,1)$.
The question is:
Given a finite non-negative measure ...

**8**

votes

**1**answer

670 views

### Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...

**3**

votes

**1**answer

322 views

### weak convergence of the solutions to stochastic heat equation

$W(t,x)=\sum_ic_ie_i(x)B^i_t$ is a Brownian motion in $L^2(R^d)$, where $\{e_i\}$ is the standard orthogonal basis and $\sum_ic_i^2<\infty$.
$$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$
...