# Tagged Questions

**0**

votes

**1**answer

7 views

### How can calculate parameters of Extreme value type II (Frechet) distribution from mean and standard deviation of data?

I have the mean and standard deviation of data. Now I want to calculate the scale and shape parameters of Extreme value type II (maximum) by it. (I am sorry my poor English)

**0**

votes

**1**answer

165 views

### On the superior of generalized Ornstein-Uhlenbeck process

Let us consider a generalized O-U process $X_t \in L^2[0, 1]$ defined by the following spde:
$dX_t = \frac{1}{2}\partial_x^2X_t + dW_t, $
$\partial_x X_t(0) = \partial_x X_t(1) = 0, $
$X_0 = 0, $
...

**3**

votes

**1**answer

81 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

**2**

votes

**2**answers

117 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 ...

**51**

votes

**9**answers

7k views

### How is it that you can guess if one of a pair of random numbers is larger with probability > 1/2?

My apologies if this is too elementary, but it's been years since I heard of this paradox and I've never heard a satisfactory explanation. I've already tried it on my fair share of math Ph.D.'s, and ...

**3**

votes

**1**answer

84 views

### Regularity of finite variation kernels in the (intersection) of the semimartingale spaces $H^p$

Suppose you have a continuous semimartingale $S_t=M_t + A_t$ where $A_t$ is the continuous finite variation part which has the form $A_t = \int_0^t b_s \, \mathrm{d} s$, where $\int_0^{\infty} |b_s| ...

**3**

votes

**0**answers

60 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 ...

**22**

votes

**2**answers

423 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 ...

**1**

vote

**0**answers

59 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 ...

**1**

vote

**1**answer

116 views

### What transformations preserve the von Mises distribution?

The von Mises distribution is entirely defined on the circle with a density given by
$$f(x) = (2\,\pi\, I_0(\kappa))^{-1} \exp(\kappa \cos(x-\mu))\ ,$$
where $x$ is in an arbitrary real interval of ...

**8**

votes

**2**answers

411 views

### What is the most extreme set 4 or 5 nontransitive n-sided dice?

A set of nontransitive dice is a set of dice whose face numbers are such that the relation "is more likely to roll a higher number than" is not transitive. (See wikipedia)
For some sets, the ...

**2**

votes

**1**answer

115 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 $\sum_ic_i^2<\infty$.
$$\partial_t u(t,x)=\Delta u(t,x)+u(t,x)\dot{W}(t,x)$$
...

**1**

vote

**1**answer

266 views

### Comparing the expected stopping times of two stochastically ordered random processes (Added:(14.05.2014))

Information:
a-) $X$ and $Y$ are two continuous random variables on $\mathbb{R}$ having continuous distribution functions $F$ and $G$ with $G(y)\geq F(y)$ for all $y$.
b-) $S^X_n=\sum_{i=1}^n X_i$, ...

**6**

votes

**1**answer

354 views

### Joint law of the time integral of Brownian motion and its maximum

Suppose $W_t$ is a standard one dimensional Brownian motion. Let $M_t$ and $I_t$ be its running maximum and time integral, respectively:
$$M_t=\max_{0\leq s\leq t}\,W_s$$
...

**2**

votes

**0**answers

59 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 ...

**13**

votes

**2**answers

891 views

+50

### What is quantum Brownian motion?

It seems that the current state of quantum Brownian motion is ill-defined. The best survey I can find is this one by László Erdös, but the closest the quantum Brownian motion comes to appearing is in ...

**5**

votes

**1**answer

157 views

### How to check if a symmetric random variables is the difference of two iid symmetric random variables

I have the continuous symmetric random variable $X$ in $\mathbb{R}$. If I know its distribution function $F(x)$ what are the conditions on $F(x)$ so that $X=Y_1 - Y_2$ where $Y_i$ are also iid ...

**-1**

votes

**0**answers

20 views

### average dirichlet distribution

say that A and B are 2 Dirichlet distributions. Is there a way to know if the average of the values is still a Dirichlet distribution? If not, how to merge 2 Dirichlet "similar" distributions?

**1**

vote

**0**answers

124 views

### Girsanov theorem with Geometric Brownian Motion

I am not a student in mathematics, but I am trying to use the following Theorem 8.6.6 (Girsanov theorem II) of Oksendal's SDE with geometric Brownian motion $S_{t}$ instead of the standard Brownian ...

**3**

votes

**1**answer

174 views

### Quantiles moments and Convergence

QUESTION:
Let $F$ be an absolutely continuous distribution function with density $f$, and $F_{n}$ be its nth empirical distribution. Suppose that $t\in (0,1)$ is constant. Is true the convergence
...

**3**

votes

**2**answers

161 views

### Expectation of a generalization of Dirichlet distribution

For the standard Dirichlet, the expectation of $X_i$ is $\alpha_i/\alpha_0$, where $\alpha_0 = \sum_i \alpha_i$ [http://en.wikipedia.org/wiki/Dirichlet_distribution].
I am considering the following ...

**-2**

votes

**0**answers

41 views

### Studying Signal Processing [on hold]

I'd Like to ask two questions :
What is the difference between studying Signal processing (both Deterministic and statistical) in Department of Electrical Engineering versus Department of Mathematics ...

**-5**

votes

**0**answers

34 views

### Probability question (win three games in a row = win or 4 wins total = win) [on hold]

Two teams play each other repeatedly until either one of them wins three games in a row or one of them wins a total of four games. What are all the ways in which the tournament can be played? What is ...

**19**

votes

**0**answers

598 views

+50

### conjectures regarding a new Renyi information quantity

In a recent paper http://arxiv.org/abs/1403.6102, we defined a quantity that we called the "Renyi conditional mutual information" and investigated several of its properties. We have some open ...

**1**

vote

**0**answers

40 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

298 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 $f(x)=e^{-|x|}$, ...

**0**

votes

**1**answer

96 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, ...

**4**

votes

**1**answer

80 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 ...

**9**

votes

**1**answer

194 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 ...

**2**

votes

**1**answer

129 views

### Stability of convergence in distribution under randomization

Suppose you have a sequence of non-negative stochastic processes $(X^n)_{t \in \mathbb{R}}$, $n \geq 1$, with continuous paths and continuous in $t$ such that
$$\int_{-\infty}^{\infty} X^n_t \, ...

**-2**

votes

**0**answers

24 views

### Generate Gamma random number using scale or rate parameters [closed]

I am wondering if I can generate Random number from gamma distribution using the shape and the rate parameters and then take the reciprocal of this number to be like it was generated from the shape ...

**1**

vote

**1**answer

43 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
$$(X(B_1),\cdots,X(B_n))\sim Dir(\alpha H(B_1),\cdots,\alpha H(B_n))$$
...

**1**

vote

**1**answer

184 views

### Is there any result for upper bounding the tail of a sum of r.v.s by another tail (with a different threshold)?

Suppose $X_i$s are independent random variables.
We can make assumptions about $X_i$, e.g., $X_i\in [0,1]$.
Let $X=\sum_i X_i$ and $u=E[X]$.
Is there any result of the following type
(relating one ...

**3**

votes

**1**answer

114 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 $m<n$, ...

**0**

votes

**1**answer

39 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

27 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 ...

**3**

votes

**1**answer

164 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 ...

**0**

votes

**0**answers

66 views

### Ask for a good reference for the calculus involving singular continuous measure [migrated]

I am not an expert on measure theory. I am sorry if this question is too simple for some experts here.
Suppose the measure $\mu$ is singular continuous on $\mathbb{R}$, such as the cantor measure. ...

**1**

vote

**1**answer

72 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 ...

**2**

votes

**1**answer

52 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

52 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 ...

**6**

votes

**3**answers

904 views

### Concentration results for inner products of two independent random gaussian vectors

Hi,
I wanted to know if there are standard results on concentration of absolute
value of inner products of two random vectors. Thus if $X, Y \in R^m$ are two
independent random vectors with each ...

**9**

votes

**1**answer

187 views

### Steady state expectation of dynamic system of urns & balls

We have a large number of urns $N+1$. (Large means that the relative difference between $N$ and $N+1$ is well within the error bounds that I care about. The reason for the $+1$ will be apparent ...

**1**

vote

**1**answer

86 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: ...

**-2**

votes

**0**answers

57 views

### Expected probability [closed]

Suppose, given an integer N, N divides by its divisors(1, to N) and gain new number, repeats the procedure until it becomes 1.
what is the expected number of divisions need number N become 1?
Can ...

**5**

votes

**2**answers

270 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 ...

**3**

votes

**1**answer

129 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 ...

**3**

votes

**1**answer

171 views

### Non-asymptotic large deviations for a convex set

Let $X_1,\dots,X_n$ be $n$ i.i.d random variables taking values in a Polish vector space $\mathcal{X}$ and with (Borel) probability distribution $\mu$.
For any convex, compact $\Gamma \subset ...

**8**

votes

**2**answers

599 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 ...

**-1**

votes

**0**answers

5 views

### hi, I have a question about probability density function [migrated]

I've just read about probability density function from wiki( http://en.wikipedia.org/wiki/Probability_density_function ).
In that article, there is some wired concept that I can't understand, please ...