**0**

votes

**0**answers

30 views

### How to compute the Expectation of the random variable using Taylor Series expansion

I don't know how to solve the following expression:
$ = nm^2 E \bigg[\frac{ \exp(\theta) {(\log(R))}^2}{N(R,x)}\bigg] \hskip 5 pt Eq(4) $ which I have explained below. $R$ follows Poisson ...

**1**

vote

**0**answers

28 views

### Question regarding a theorem of Erdos and Renyi on $B_2(g)$ sequence

Let $S \subset \mathbb{N}$. We say $S$ is of type $B_2(g)$ if the number of representation
of the form $n = s_1 + s_2 \ (s_1 \leq s_2)$ is bounded by $g$ for every $n \in \mathbb{N}$.
Let $S(n)$ be ...

**1**

vote

**1**answer

166 views

### Probabilistic statement on matrix ranks

Given $A\in\{0,1\}^{n\times n}$ with $\operatorname{rank}(A)=r=2^{O((\log_2n)^{\frac{1}{c+1}})}$.
Denote $\mathsf{1_n}\in\{0,1\}^n$ as vector with $1$s.
Does
...

**4**

votes

**1**answer

162 views

### Can a Brownian motion be fast at its extrema?

After pondering this MO question > Location of maximum of Brownian motion with rough drift <, I wonder whether a Brownian motion can be fast (i.e. beats the law of the iterated logarithm) at its ...

**7**

votes

**0**answers

88 views

### Asymmetric random walk on the line with barriers

The most commonly considered random walk on the line takes one step left or right with equal probability until a barrier is reached (if there are any barriers).
More generally, suppose we fix any ...

**1**

vote

**0**answers

58 views

### A question related to metric Diophantine approximation

In metric Diophantine approximation you are often interested in finding conditions on $(\phi(q))_{q \geq 1}$ which guarantee that
$$
\left| \alpha - \frac{p}{q} \right| < \frac{\phi(q)}{q}
$$
has ...

**4**

votes

**1**answer

72 views

### On Minkowski sum of two independent Poisson point processes

Suppose that $\Phi_1$ and $\Phi_2$ represents two independent Poisson point processes respectively with intensity $\lambda_1$ and $\lambda_2$ (therefore). We know very well different operations on ...

**3**

votes

**1**answer

162 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 ...

**-2**

votes

**2**answers

96 views

### Equality of two conditional expectations

I would like to show that for any random variable $X$ and $Z$ such that $X$ and $Z$ are independent and for any measurable functions $f$ and $g$,
$$ \mathbb E \left[ f(g(X),Z) | g(X) \right] = ...

**5**

votes

**0**answers

80 views

### An Interesting Markov Chain Mixing time question (coupling of random variables)

Consider a simple markov chain called reproduction process. Let $N>0$ be fixed. At each time $t$, there are $N$ balls, in which $x$ balls are colored white, and $N-x$ balls are colored black. We ...

**-1**

votes

**0**answers

43 views

### smallest (sub-) sigma algebra containing a null set [on hold]

Given a probability space ($\Omega,\mathcal{A} ,P$) and $N \in \mathcal{A}, N \ne \emptyset$ with $P(N) = 0$
What is the smallest sub-sigma algebra of $\mathcal{A}$ containing $N$.
I'm kind of ...

**1**

vote

**0**answers

80 views

### Generating the sigma algebras on the set of probability measures

I was wondering if somebody could help me see/provide a reference to the following fact: Let $X$ be a metrizable set, $\mathcal{F}$ the corresponding Borel sigma-algebra on $X$, and ...

**0**

votes

**0**answers

171 views

### Is this topological looking space metrizable? [on hold]

First of all I am sorry if something is missing or if I am making a mistake. I am a bit new in this field. The question is as follows:
The topology that is considered is called gross error model, or ...

**2**

votes

**0**answers

63 views

### Convergence in distribution of stochastic equation solutions

I post this post en MSE (link) but I think that is more suitable for this site.
I'm studying from Kurtz's book "Markov Processes Characterization and convergence" and I have a question about the ...

**1**

vote

**1**answer

70 views

### 1-wasserstein distance v.s. total variation distance

Suppose that $\mu_1$ and $\mu_2$ are two distributions defined on $\mathbb{R}^n$ and $\gamma$ is a symmetric distribution (around $0$) on $\mathbb{R}^n$ with compact support. Let $\gamma_x$ denote the ...

**1**

vote

**1**answer

49 views

### Discrete Maximum Entropy Distribution with given mean

For a given mean $\mu$, what is the entropy maximizing probability distribution on the nonnegative integers?
Different sources indicated either the geometric or the Poisson distribution for this. As ...

**-2**

votes

**0**answers

31 views

### calculating E(Xt^2,Xt-h^2) with Xt normal(0,sigma^2) [closed]

the problèm is
let {X_t} all normal N(0, sigma^2)
défine rho_X(h)=cov(X_t,X_t-h)/var(X) and Y_t=(X_t)^2
proove that rho_Y(h)=[rho_X(h)]^2
i know that i have to use expected value E(E(Y/X)) but i don't ...

**0**

votes

**1**answer

412 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 ...

**2**

votes

**0**answers

114 views

### Probabilities involving Beurling density

I am interested in calculating probabilities involving Beurling densities. Since it's likely probabilists are not familiar with the definitions, I give them below.
Definitions.
A metric space is ...

**1**

vote

**1**answer

62 views

### Conversion between condtional expection conditioned on $\sigma$-algebra and on r.v

Let $(\Omega, \mathcal F, P)$ be a probability space, and let $\mathcal G \subseteq \mathcal F$ be a sub-$\sigma$-algebra of $\mathcal F$ and $X : \Omega \to \mathbb R$ a random variable. Then the ...

**0**

votes

**1**answer

130 views

### Book on Convergence Concepts in Probability without Measure Theory [closed]

I am looking for a comprehensive book on Probability which discusses Convergence of Random Variables in detail, excluding portions of Measure Theory. Allan Gut's "Probability: A Graduate Course" seems ...

**0**

votes

**4**answers

169 views

### Approximating an arbitrary $\sigma$-algebra by simpler $\sigma$-algebras

A $\sigma$-algebra $\mathcal F$ over $\Omega$ is generated by an countable partition if there exits a countable partition $\mathcal B = \{ B_i \}$ of $\Omega$ such that $\mathcal F = \sigma(\mathcal ...

**4**

votes

**1**answer

290 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 ...

**2**

votes

**1**answer

261 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 ...

**4**

votes

**1**answer

73 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 ...

**0**

votes

**0**answers

38 views

### Generating alternating cycles on a perfect matching

Given a perfect matching $M$ in a regular bipartite graph $G$, is there an efficient algorithm to randomly generate self-avoiding alternating cycles with uniform distribution? Ideally, such an ...

**0**

votes

**0**answers

72 views

### Discrete measures and discrete kernels

This is a cross-post from math.stack. Let $d\in\mathbb N$ and $\mu$ be the probability measure on $\mathbb R^d$ defined by $\mu=\sum_{k=1}^\infty 2^{-k}\delta_{x_k}$ for some sequence ...

**0**

votes

**0**answers

37 views

### Integral over a point process. Asymptotic of the dispersion

I consider an integral (or a sum with random index)
$$
M(t) =\int\limits_0^t f(t-u)dX(u),
$$
where
$$
X(u) = \sum\limits_{i=1}^{N(u)} \xi_i,\qquad N(u)=\max\{k: \tau_1+\,\dots,\,\tau_k\, <\, u\},
...

**2**

votes

**1**answer

183 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 ...

**0**

votes

**0**answers

22 views

### Moments in the Quantile Process

Let $q_{n}(t)$ be the $nth$ quantile processes ($t\in (0,1)$) based on the distribution F:
$$q_{n}(t) = \{\sqrt{n}[F^{-1}_{n}(t)-F^{-1}(t)]\}.$$
In this case, $F^{-1}$ is the (generalized) inverse of ...

**3**

votes

**1**answer

134 views

### Equivalence of Gaussian measures

Let $H$ be a separable Hilbert space and $N(0, C)$ and $N(0, D)$ be Gaussian measures on it. Further, for each $v \in H$, define $R_v = \frac{\left\langle v,Cv \right\rangle}{\left\langle v,Dv ...

**5**

votes

**1**answer

301 views

### Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes

I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...

**3**

votes

**0**answers

45 views

### Bounds on truncated empirical mean

Let $(X_1,X_2,\cdots)$ be a sequence of independent and identically distributed random variables, $|X_i|\leq1$ and $S_n=\frac{1}{n}[X_1+\cdots+X_n]$.
Is there an upper bound on the probability of ...

**2**

votes

**1**answer

106 views

### Ergodicity for the mean of a linear process without finite second moment

Suppose that $\{X_k:k\in\mathbb Z\}$ is a linear process, i.e. a sequence of random variables such that
$$
X_k=\sum_{j=0}^\infty\psi_j\varepsilon_{k-j}
$$
for each $k\in\mathbb Z$, where ...

**0**

votes

**1**answer

150 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 ...

**16**

votes

**1**answer

440 views

### Longest of random worm-like paths in $\mathbb{Z}^2$

Imagine at each lattice point of $\mathbb{Z}^2$ within $[1,3n]^2$,
with coordinates
$\equiv 2 \bmod 3$,
we place, with equal probability, one of these six patterns:
The result ...

**2**

votes

**0**answers

97 views

### Probability question involving drawing balls from an urn

Suppose there's an urn containing $r$ red balls and $b$ blue balls. At each trial, I'm drawing a ball at random from the urn, without replacement. Let $R$ denote the event of drawing a red ball, and ...

**-1**

votes

**0**answers

75 views

### Stochastic ordering preserving operators on $n$ random variables

This question is about the operators which can preserve stochastic ordering.
Let $\mathcal{L}:\mathbf{X}\rightarrow \mathbb{R}$ be an operator where $\mathbf{X}=[X_1,X_2,...,X_n]$ and consider two ...

**31**

votes

**12**answers

8k views

### Is pi a good random number generator?

Part of what I do is study typical behavior of large combinatorial structures by looking at pseudorandom instances. But many commercially available pseudorandom number generators have known defects, ...

**5**

votes

**1**answer

338 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

**1**answer

132 views

### Problem on convergence in probability measres

Let $\mu_n$ be sequence of probability measures on a polish space $S$ such that for any bounded and continuous $f:S \to \Bbb R$ we have
$$\int fd\mu_n \to \int fd\mu$$
Then I have seen in some place ...

**1**

vote

**0**answers

65 views

### Multiple Bipartite graphs and matchings

I've been told recently that it's better i just for help regarding my 'specific' problem rather than lots of little questions around the same topic which appear somewhat unclear. I would first like to ...

**2**

votes

**1**answer

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

**3**

votes

**2**answers

245 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 ...

**-1**

votes

**0**answers

87 views

### Martingales and Bipartite graphs

Would a vertex exposure martingale be useful for bounding the deviation in size of the largest matching from it's expected value in the standard random bipartite graph with vertex classes of size $n$ ...

**0**

votes

**0**answers

30 views

### Bahadur-Kiefer representation and KMT embedding

I am interested in the connection between the so called Bahadur-Kiefer process and the KMT/Hungarian embedding. At first sight there seems to be a relationship between the topics, but oddly enough ...

**0**

votes

**2**answers

134 views

### Probability spaces involved in using Bayesian Inference

I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...

**1**

vote

**1**answer

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

**3**

votes

**1**answer

100 views

### Does bounding moments make distributions close in total variation distance?

Let $W\sim\mathcal{N}(0,\sigma^2)$ be a "reference" Gaussian random variable.
Suppose I have a set of distributions, $\mathcal{W}$, where $W_a\in\mathcal{W}$ if it satisfies the following criteria:
...

**4**

votes

**1**answer

190 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 \, ...