# Tagged Questions

**0**

votes

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13 views

### Upper bound involving random orthogonal projection

Let $R$ be an $n\times N$ random matrix with i.i.d. standard Gaussian entries, $n<N$, and let $M:=(RR^T)^{-1/2}R$. Let $u,v\in \mathbb{R}^N$ non-random and s.t. $u^Tv=0$ and $\|u\|>\|v\|$.
I ...

**0**

votes

**1**answer

226 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 ...

**8**

votes

**1**answer

170 views

### Existence of a “quasi-uniform” probablility distribution on $\mathbb{Z}$

Does there exist a probability distribution on $\mathbb{Z}$ such that
for every integer $n\geq 1$, the probability that a random integer $x$
is divisible by $n$ equals $1/n$?
Henry Cohn has an ...

**0**

votes

**1**answer

289 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 ...

**2**

votes

**2**answers

47 views

### Moment problem for discrete distributions

Let $x_1, \dots, x_N \in \mathbb R$ and consider the discrete distribution $\mu := \frac{1}{N} \sum_{i=1}^N \delta_{x_i}$, where $\delta_x$ denotes the Dirac measure, i.e. for any measurable set $B ...

**0**

votes

**1**answer

81 views

### If $(X_n+Y_n)$ has bounded variance, is the same true for $(X_n)$ and $(Y_n)$? [on hold]

let $(X_n)$ and $(Y_n)$ be two sequences of random variables defined on the same probability space such that the variance of all components $X_n$, $Y_n$ is finite and the sequence of variances of ...

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vote

**0**answers

48 views

### Does the expected spreading of sample paths imply increase in variance?

Consider a sample-continuous stochastic process $\left\{ X_t \right\}_{t \in T}$ s.t. each $X_t$ is real-valued and $$\int_\Omega | X_t(\omega) | ^p \, \mathrm{d} P(\omega)< \infty$$ for all $1 ...

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votes

**0**answers

33 views

### Local time for reflected random walk [on hold]

Say I have a process starting from 0, and last for 100 steps, each step either moves up or down by one unit, within the boundary -10 and 10.
My understanding is that expected hitting time would be ...

**3**

votes

**3**answers

127 views

### Probable direction of deviations from the expected value in binomial and hypergeometric cases

Suppose I have an urn with N marbles, with frequencies p and q for red and black marbles, and with p > 0,5. I take a sample of r marbles.
It sounds intuitive to say that deviations from the mean ...

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vote

**0**answers

59 views

### Converse for Levy's continuity theorem

Levy's continuity theorem states that, for a sequence of random variables $\{X_n\}$ with characteristic functions $\{\varphi_n(t)\}$ and a random variable $X$ with a characteristic function ...

**4**

votes

**1**answer

73 views

### Rate of convergence of Bayesian posterior

Suppose a data generating process (DGP) is parameterized by some unknown parameter $\theta_0$, say $P_{\theta_0}$, and we want to estimate the value of $\theta_0$ using Bayesian method. Let ...

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votes

**0**answers

43 views

### Projective family of probability spaces

This is a crosspost of this question from MSE.
I'm confused about the definition of a projective family of probability spaces $(S_t,\mathscr S _t,\mu_t,f_{ts})_{s,t\in T}$. The conditions
...

**-2**

votes

**0**answers

20 views

### Random sum of random variables, not in expectation [on hold]

If $N\geq 1$ is a finite random variable (in this case a binomial Bin(n,p) random variable conditioned to be $\geq 1$) then can we say the following?
$$\sum\limits_{i=1}^N \frac{1}{N^2} ...

**4**

votes

**2**answers

79 views

### Finding joint probability from double marginals

Consider three probability distributions in the form $p_1(y,z),p_2(x,z),p_3(x,y)$.
When does a global joint probability $p(x,y,z)$ (possibly not unique) exist?
The first compatibility condition to ...

**4**

votes

**0**answers

48 views

### Is there a generalization of Polya urns to continuous outcome event?

Take for example the simplest model where there are n blue balls and m white balls in an urn. Then, in a first step realization, a white one has been drawn and then c + 1 of this colour had been put ...

**4**

votes

**1**answer

171 views

### Average probability that a random cosine polynomial with bernoulli coefficients is small

Let $P_{n}(t)=\sum_{k=0}^{n}\varepsilon_{k}\cos(kt)$ where $\varepsilon_{i}$ are independent random variables taking values in $\left\{-1,1\right\}$ with equal probability. Is is true that for any ...

**3**

votes

**0**answers

41 views

### Concentration of measure for uniform distribution on Stiefel manifolds

This is my first post on MO, so I hope the question is suitable. I am looking at the uniform distribution on the Stiefel manifold, but more specifically, at the uniform distribution on the ...

**4**

votes

**1**answer

265 views

### Is the conditional expectation a contraction in weak $\mathbb L^p$ spaces?

Let $(\Omega,\mathcal F,\mu)$ be a probability space. It is well-known that if $\mathcal A$ is a sub-$\sigma$-algebra of $\mathcal F$, $p\geqslant 1$ and $X$ is an element of $\mathbb L^p$ which takes ...

**10**

votes

**2**answers

275 views

### Minimal expected absolute value of linear combinations of Gaussian random variables

I am interested in the following question. Consider $n$ independent standard normal random variables $g_i$. Cosider a linear combination $w_1g_1+\cdots+w_ng_n$. Can one give a "decent" upper bound for ...

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votes

**0**answers

176 views

+50

### Maximum occupancy balls in bins with limited independence

Throw $n$ balls into $n$ bins and let $X_n$ be the maximum occupancy. That is the maximum number of balls found in any bin.
If you throw the balls uniformly and independently it is known that ...

**-1**

votes

**0**answers

24 views

### Variance under time-scaling of sample measurements [on hold]

I am struggling with explain something I read in a Whitepaper. The essence is as follows.
Let's begin with a random variable $X$ defined as number of events in an hours. Further, we assume that $X ...

**5**

votes

**1**answer

218 views

### Location of maximum of Brownian motion with rough drift

I am interested in the distribution of the $\text{argmax}_{t \in [0,1]} \{B(t) + f(t)\}$, where $B$ is a Brownian motion (or Brownian bridge) and $f:[0,1] \to \mathbb{R}$ is a continuous function. ...

**0**

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**0**answers

70 views

### absolutely continuous of two probability measures

Suppose $X_t$ satisfies
$$X_t=\int_0^t b(X_s)ds+ L_t,\quad t\in[0,1]$$ where $L_t, t\in[0,1]$ is a $\alpha-$stable process. Let $P_L$ be the law of $L$, $P_X$ be the law of $X$. ($P_L, P_X$ are ...

**-4**

votes

**0**answers

67 views

### Probability- My homework is confusing me [closed]

The question is that there is a game, it has 38 congruent pieces, 18 are orange, 18 are blue, and 2 are white. To win you have to get either orange or blue and you get 2$, to play you pay 1 dollar, ...

**1**

vote

**1**answer

178 views

### Computing probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s

This question came up in my research: What is the probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s?
So far I only figured out that I can do Monte ...

**1**

vote

**1**answer

77 views

### A differential inequality and a special value

Let $G \colon [0,1] \to [0,1]$ be a monotonically decreasing function with $G(0) = 1$ and $G(1) = 0$. Suppose that $G$ is differentiable infinitely many times, and that: $$G(x)G''(X) \leq ...

**0**

votes

**1**answer

76 views

### Norm of matrix with randomly deleted entries

Let $A$ be an $n \times n$ matrix with real entries and let $B$ be the random matrix whose $(i,j)$ entry is $$B_{i,j}=v_{i,j}A_{i,j}$$ where the $v_{i,j}$ are i.i.d Bernoulli random variables with ...

**0**

votes

**1**answer

462 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 ...

**5**

votes

**1**answer

108 views

### Sufficient conditions for establishing a total order on a family of probability distributions?

Let $\mathcal{X}$ be some set of independent random variables. Define the ordering on $\mathcal{X}$ by $X_i \prec X_j$ if and only if $\mathcal{P}\left\{X_i \le X_j\right\} \ge \frac{1}{2}$. Are there ...

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vote

**0**answers

48 views

### Subclass of semimartingales for which all characteristics can be estimated?

I'm going to ask the question for Ito semimartingales rather than semimartingales in general, but more general answers would be great.
An Ito semimartingale is a martingale for which the ...

**1**

vote

**1**answer

72 views

### Expectation of Gaussian random vector & arbitrary function thereof?

I saw in a paper (https://www.princeton.edu/~wbialek/rome/refs/bialek+ruyter_05.pdf Eq.37) the following identity:
where the <.> operator refers to a population average.
No source or ...

**-4**

votes

**0**answers

62 views

### Probability or odds of something happening [closed]

I am curious...I know there are some math whiz's out here...what are the odds of two people showing up at a random location minutes apart in a small rural town of say 2,000 people (without either one ...

**4**

votes

**1**answer

327 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**

vote

**2**answers

180 views

### Existence of strong solution to SDEs with non-Lipschitzian drift

Consider the SDE:
$$dX_t=b(X_t)dt+dW_t\quad X_0=x$$
If $b$ is bounded Borel function, using Zvonkin's Transform, one can prove there exists a unique strong solution.
I want to know if we assume $b$ ...

**0**

votes

**0**answers

14 views

### Probability distribution of the distances between N mobile nodes in a square plain of length l [closed]

For N randomly moving nodes enclosed in a square plain of length l. The (Nchoose2)W samples of the distances between the nodes are collected over a window of length W. We can assume W is large, what ...

**3**

votes

**1**answer

92 views

### Proof for additivity of cumulants

If one does not define cumulants via the cumulant generating function (cgf), e.g. because the cgf does not exist, then an alternative way is to use the recusion
\begin{align*}
...

**1**

vote

**1**answer

301 views

### Derive concentration bound for the derivative

It that true to conclude that if a random $f(z)$ is a sub-Gaussian random variable for a constant value of z, its derivative $f'(z)|_{z=k}$ with respect to variable $z$ is also sub-Gaussian?
In ...

**2**

votes

**1**answer

128 views

### How to choose a random proper coloring

I am studying proper colorings of complete bipartite graphs and I'd like to be able to pick a random proper coloring and the compute some things about it.
Recall that a proper coloring of a complete ...

**5**

votes

**0**answers

70 views

### Real Zeros - tail estimate

Given a random polynomial with Gaussian coefficients, the Kac-Rice formula tells us what the expected number of real zeros is (for more on this, see the excellent paper of Edelman and Kostlan in the ...

**4**

votes

**1**answer

101 views

### Relative vulnerabilities in SIS epidemic model

Consider the SIS model of epidemic spreading. There is a finite graph $G(V,E)$, link infection rates $\lambda_{ij}$ and node recovery rates $\mu_i$. There are a few initial nodes which are infected at ...

**2**

votes

**1**answer

151 views

### Is there a theory of SDEs whose coefficients are themselves adapted processes (i.e. “may depend on the past”)?

Is there an existence and uniqueness theorem for SDEs of the following type:
$dW_{t}=d\tilde{W}_{t}+\mu\left(\left(W_{s}\right)_{0\le s\le t},t\right)dt$,
where $\tilde{W}_{t}$ is say ...

**2**

votes

**1**answer

214 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 ...

**11**

votes

**1**answer

298 views

### Smallest $k$ so that $k$-wise independence guarantees a constant expected minimum

Imagine you sample $n$ numbers with replacement uniformly from the integers $1,\dots, n$ (we can assume $n$ is large). Let $X$ be the minimum of these samples. I am interested in $\mathbb{E}(X)$ but ...

**4**

votes

**1**answer

201 views

### Examples of a continuous martingale with $E[\sup\limits_{0\leq s\leq t} |M_s|]=\infty$?

A local martingale is a martingale iff it is in the class DL.
The condition: for every $t\in[0,\infty)$
$$E[\sup\limits_{0\leq s\leq t} |M_s|]<\infty\tag1$$
guarantees a local martingale $M$ is ...

**22**

votes

**11**answers

8k views

### why is it so cool to square numbers? (in terms of finding the standard deviation)

When we want to find the standard deviation of $\{1,2,2,3,5\}$ we do
$$\sigma = \sqrt{ {1 \over 5-1} \left( (1-2.6)^2 + (2-2.6)^2 + (2-2.6)^2 + (3-2.6)^2 + (5 - 2.6)^2 \right) } \approx 1.52$$.
Why ...

**0**

votes

**2**answers

130 views

### Variance of truncated normal distribution

Let $ X \sim \mathcal{N} ( \mu, \sigma^2 ) $, $ - \infty \leqslant a < b \leqslant +\infty $ ($ a, b \ne \infty $ simultaneously) and $ Y $ has a truncated normal distribution on $ (a, b )$, i.e. ...

**0**

votes

**1**answer

189 views

### Poisson approximation of random sub-graphs

I add the edges of $G(n)$ the complete graph on $n$ vertices one by one, at random and without replacement, and denote by $G(n,m)$ the resulting Erdos Renyi random graph process. At step $m$ in the ...

**0**

votes

**2**answers

192 views

### Generalized expression for balls and bins problem

$n$ number of balls are thrown randomly to $m$ number of bins, standing in a row. The balls are labeled as $1,2,3,....n$ and bins are also labeled as $1,2,3,...,m$. The probability of $i_{th}$ ball ...

**3**

votes

**1**answer

72 views

### Anti-concentration for sums of geometric random variables

Consider the random variable $Y = Y_1 + \dots + Y_k$, where each $Y_i$ is iid distributed as a geometric random variable with sucess probability $p$; here we should think of $p$ as being close to ...

**3**

votes

**1**answer

117 views

### Determining the Fourier transform

Let $d>2$. Let $M$ be a 2-dimensional submanifold of $\mathbb{R}^d$. For instance (and this is the type of example I primarily care about) we could have $M$ being the set of scalar multiples of a ...