**0**

votes

**1**answer

299 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 ...

**0**

votes

**1**answer

480 views

### probability mass function fitting [on hold]

I have a probability mass function of some experimental data who's log looks like the following: (please ignore the fact that it is not normalized)
![alt text][1]
[image shack image removed]
...

**1**

vote

**1**answer

356 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 ...

**4**

votes

**1**answer

76 views

### Time for brownian motion to cross a coordinate plane

Can I get a reference or some insight into the following? Suppose a particle moves by Brownian motion, starting from a point $P$ in $\mathbf{R}^{n}$. What can we say about the distribution of the ...

**5**

votes

**0**answers

119 views

### Pointfree probability theory

I must confess I hardly know anything about probability theory. Still, I'm interested in the following: Much like pointfree topology, where one basically replaces topological spaces by their locales ...

**0**

votes

**0**answers

28 views

### Bounding Expected Value of a piecewise function [on hold]

Let X and Y to be two independent random variables with known pdfs. Get a bound for the expected value of the following expression in terms of $E[X]$, $E[Y]$, VAR[X] and VAR[Y]:
\begin{equation}
...

**5**

votes

**2**answers

111 views

### Reference to iterated logarithm law and Smirnov law of empirical CDF

I am reading V. Vapnik's "Statistical Learning Theory". The author layouts following two statistical laws related to empirical CDF. I am looking for reference about proofs on these two laws.
Let ...

**3**

votes

**1**answer

143 views

### Matching moments in even dimensions

Let $D$ be a probability distribution on the unit interval $[0,1]$ with moments $\mu_i=\mathbb{E}_D [x^i]$. Let $\delta(x)$ be a singleton probability distribution with all weight at $x\in [0,1]$. ...

**5**

votes

**0**answers

118 views

### Tensorization of Orlicz norm?

Associated with a convex function $\phi:[0,\infty)\mapsto[0,\infty)$ satisfying $\lim_{x\to 0} \frac{\phi(x)}{x} = 0, \lim_{x\to\infty}\frac{\phi(x)}{x} = \infty,$ the Orlicz norm of a random variable ...

**3**

votes

**1**answer

105 views

### Practical bounds for the Wasserstein distance in 2 dimensions

Let $X_1,\dots,X_n$ be a set of independent samples of a distribution $\mu$ on the unit square, let $\hat\mu_n$ be the empirical distribution on the points $X_1,\dots,X_n$, and let ...

**2**

votes

**0**answers

77 views

### Convergence rate of Pearson correlation matrix

I am interested in (rather sharp if not the finest) tail/concentration bounds for the Pearson correlation matrix: let $X_1,\ldots,X_N \sim \mathcal{N}(0,1)$ be correlated random variables; let ...

**2**

votes

**0**answers

40 views

### Coupling Marginals of Distributions on the Sphere

Given a distribution $P_X$ on $\mathbb{R}$, when does there exist a coupling (i.e. joint distribution) $P_{X^n}$ of $X_1,...,X_n$, each distributed according to $P_X$, such that $\sum X_i^2 = n$ ...

**2**

votes

**1**answer

74 views

### Orthogonal polynomials with respect to the lognormal distribution

I am currently doing some inspection on the orthogonal polynomials with respect to the lognormal distribution. Does anyone already work on that or know some cool references?
All the best,
Pierre-O.

**3**

votes

**1**answer

151 views

### $\langle X\rangle_t = t$

Suppose $B_t$ is a standard Brownian motion in $\mathbb{R}^d$ and $X_t = |B_t|$. What is the easiest way to see that$$\langle X\rangle_t = t?$$I need this result for a simulation I am running...

**3**

votes

**1**answer

68 views

### Error for the convergence by distribution

A sequence of random variables $X_n$ converges in distribution to $X$, if there is pointwise convergence of its characteristic functions, i.e. $\lim_{n\rightarrow\infty}\phi_{X_n}(\lambda) = ...

**2**

votes

**1**answer

126 views

### inequality with exponents

We are given a graph $G$, each vertex $v$ has an assigned value $\gamma_v\in [0,1]$, and it happens that for every $v$ we have $\gamma_v+\sum_{u\in \delta(v)} \gamma_u = 1$. Assume that $\sum_v ...

**-1**

votes

**0**answers

20 views

### Statistics, the deviation and expection of a number sequence [closed]

There is a sequence of number $a_{0},a_{1},...,a_{n}$, $(0 < a_{i} < 1)$
Define $b_{t} = \frac{ \sum_{i=0}^{t}{w^{t-i}a_{i}} }{ \sum_{i=0}^{t}{w^{t-i}} }$ where $w \in (0, 1)$.
Can we proof ...

**0**

votes

**0**answers

62 views

### Probability two random intervals overlap

I'm working on an algorithm for orthogonal line intersection detection and am trying to analyze some things about it. For simplicity, we can consider the problem as follows:
Given N randomly ...

**0**

votes

**0**answers

61 views

### Tail bound for a martingale

The setup is as follows.
We are given a martingale $X_0,X_1,...,X_k$. The difference $X_i-X_{i-1}$ is always between $[-1,1]$. Variance $D^2(X_i-X_{i-1}| X_{i-1})$ is something, but we can show that ...

**-1**

votes

**0**answers

53 views

### Probability and Statistics [closed]

for the cards shown below, what is the probability of choosing a yellow card and then a D if the first card is replaced before the second card is drawn?
[b] [1] [5] [D] [10]
...

**3**

votes

**0**answers

97 views

### Involutions on $[0,1]$ given by power series (related to probability generating functions)

Let $A$ be a function from $[0,1]$ to $[0,1]$. $A$ is an involution if $A(A(x))=x$ for all $x\in[0,1]$.
Which involutions $A$ exist such that $A(x)=\sum_{k=0}^\infty a_k x^k$ with $a_0=1$ and ...

**0**

votes

**0**answers

66 views

### Uniqueness of the “Gubinelli” Derivative in the Theory of Paracontrolled Distributions

From the theory of Rough Paths it is well known that if we have a truly rough path $X$ and two controlled rough paths $(Y,Y'),(Y,\tilde{Y}')\in\mathcal{D}_X^{2\alpha}$, then we have already $Y' = ...

**5**

votes

**1**answer

313 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 ...

**17**

votes

**3**answers

945 views

### Persistent homology of Gaussian Fields in Euclidean space

If you generate points in $\mathbb R^n$ via a process that respects a Gaussian normal distribution, then compute the persistent homology / barcodes, to my eye something fairly regular seems to be ...

**2**

votes

**1**answer

596 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 ...

**9**

votes

**2**answers

625 views

### How should a mathematician approach the physics literature concerning percolation?

I would like to read some of the physics literature on two-dimensional percolation, however in attempting this I have run into two problems. (1) Physics papers on percolation are (relatively) hard ...

**10**

votes

**5**answers

438 views

### Identities and inequalities in analysis and probability

Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of ...

**14**

votes

**0**answers

415 views

### Probability of many overlapping zero inner products on a circle

[Question edited and changed a little on June 14 2015]
Consider an $n$-dimensional vector $v$ with $v_i \in \{-1,1\}$. Now consider an $n$-dimensional vector $w$ with $w_i \in \{-1,0,1\}$. The ...

**3**

votes

**0**answers

94 views

### Do binary symmetric channels maximize mutual information?

Consider the following setup: $(X, Y)$ is a doubly symmetric binary source with parameter $0 < p < 1/2$, i.e., $X \sim \text{Bernoulli}(1/2)$, $Z \sim \text{Bernoulli}(p)$ and $Y = X \oplus Z$. ...

**5**

votes

**1**answer

431 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 ...

**0**

votes

**0**answers

35 views

### Quotient of cumulative binomial distribution functions

Given to integers $n < m \in \mathbb{N}_0$ and a probability $p$, I'm struggling to calculate (or at least get an upper bound for) the quotient
$$Q = \frac{F(n+1;m,p)}{F(n;m,p)}$$
where $F$ denotes ...

**-2**

votes

**0**answers

33 views

### Having the highest value in a interval appear less often [closed]

I have an array of size 5. And initially in each index, they are initialized with the value 1.
so it looks like this :
1 1 1 1 1
Every iteration, I get a decimal value between 0.0 and 1.0
At the ...

**10**

votes

**1**answer

816 views

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

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

**2**

votes

**0**answers

236 views

### A variant frobenius problem

From Sylvester's theorem we know that using only coins of sizes $a,b$, we can change exactly $\frac{(a-1)(b-1)}2$ different big coins up to $(a-1)(b-1)$.
Denote sets ...

**4**

votes

**1**answer

278 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 ...

**1**

vote

**0**answers

95 views

### $\mathbb{P}(d(X,Y)>\alpha)<\beta$ if $\mathbb{P}(X\in E)\leq \mathbb{P}(Y\in E^{\alpha})+\beta$ for all measurable E

Given two random variables X,Y with measures P,Q. Show that if $P(E) \le Q(E^\alpha) + \beta$ for all measurable $E\subset\mathbb{R}$ then $\mathbb{P}(d(X,Y)>\alpha)<\beta$.
Only hints please.
...

**0**

votes

**0**answers

39 views

### Convergence of approximate quadratic variation in $L^p$

For a semimartingale $X_t$, I can set
$$[X]^N_t = \sum_{j=1}^N \bigl(X_{t\frac{j}{N}}-X_{t\frac{j-1}{N}}\bigr)^2$$
Then it is well-known that the process $[X]^N_t$ tends to the quadratic variation ...

**4**

votes

**1**answer

106 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 ...

**0**

votes

**0**answers

24 views

### Derivative of a cdf with respect to a parameter

Given two independent Random Variables $X$ and $Y$ with known distributions, I would like to know if I can say that the expression
$$
\operatorname{Pr}( f (t'+Y-X)+Y-X < z)
$$
is increasing in ...

**13**

votes

**1**answer

525 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 ...

**4**

votes

**0**answers

85 views

### A generalization of coupon collector problem - $\geq1$ pick per experiment

Mix $T\geq1$ coupons numbered $1$ to $T$ with a set of $S\geq0$ number of dummy coupons with no numbers. Select $N\geq1$ coupons at each trial at random and put them back.
$N=1$ is standard coupon ...

**0**

votes

**0**answers

47 views

### Compute the Gibbs energy

I have a question about Gibbs distribution in Stochastic theory. In which, it defined a clique as a a subset $C$ in the whole image $\Omega$ if two different element of $C$ are neighbors. Figure 2 ...

**7**

votes

**1**answer

242 views

### Existence of Limiting Distribution for Moving Regions in Stat. Phys. Models

As the title (hopefully) suggests, I've been trying to prove (or disprove) the existence of a limiting distribution for a certain projection in a statistical physics model. I'll give the details of ...

**4**

votes

**3**answers

382 views

### Expectation of $(c+e^{N(0,\sigma^2)})^{-n},\, n>0$

I would like to know if there's a way to compute or approximate the following expectation:
$$\mathbb{E}[(c+e^X)^{-n}]$$
where $X=N(0,\sigma^2)$ and $n,c>0$ (you can also assume that $n$ is a ...

**1**

vote

**2**answers

1k views

### Variance of exponential random variable

For a random variable $\xi$, what bounds can be achieved for Var $e^{\xi}$ in terms of E$\xi$ and Var $\xi$?

**5**

votes

**1**answer

317 views

### Stochastic process describing long-term fluctuations

I need to model a process that has large, smooth and mean-reverting long-term fluctuations and some small short term wiggles, a sample path looks like this:
My first idea was to model it as an ...

**1**

vote

**1**answer

198 views

### Can we estimate the probability $\mathbf{P}(a-k|a - b) $ on a random graph?

Let $G=(V,E)$ be an undirected random graph such that
$V$ is the set of nodes, and $E$ is the set of edges
Assume the ground graph $G$ is sparse enough, for example, $\frac{|E|}{|V|}= c \in [10, ...

**8**

votes

**1**answer

701 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 ...

**1**

vote

**0**answers

73 views

### Finding a hidden “heavy” subset of random variables

Let $X_1,\dots, X_n$ be independent non-negative random variables (with finite expectation and variance), and $0 < m < n$ be a fixed integer such that there exists a subset $S\subseteq [n]$ of ...

**5**

votes

**2**answers

209 views

### General additive function of probability

Let $H$ be a function of finite sequences of probabilities (non-negative numbers summing up to 1) into real numbers, such that:
$H$ is continuous,
$H$ is symmetric w.r.t. the order of its arguments,
...