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### universality for large deviations?

This is a question about universality in probability theory, with combinatorics in mind.
Consider a sequence of polynomials $P_n$ in one variable, with positive coefficients. Combinatorics is a large ...

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### AQA A Level Normal Distribution [closed]

The question goes like:
A wholesaler decides to grade such oranges by weight. He decided that the smallest 30% should be graded as small, largest 20% as large and in between as medium.
The ...

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48 views

### continuous vs discrete random walk [closed]

For 1D random walk in discrete case the probability $P_N(X)$ of finding walker at position $X$ after $N$ steps has a binomial distribution, moreover when $N+X$ is odd then probability is 0.
Let's ...

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### Hypergeometric distribution with a priori probabilities of the balls

If we have an urn with $N$ balls of two colours ($D$ red and $N-D$ black balls respectively), then the probability of having $k$ red out of $n$ balls drawn at once without replacement follows the ...

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### Processes with the same finite dimensional distributions as the solutions to SDEs

Consider a sequence of stochastic processes $\{\tilde{x}^n\}$, $\tilde{x}^n = \tilde{x}^n_t(\omega)$, and Brownian motions $\{\tilde{w}^n\}$. Suppose that for each $\tilde{x}^n$ solves the stochastic ...

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### Supremum of a martingale

Let $(X_n)$ be a martingale. What can be said about the distribution of its maximum over a window of fixed length:
$$M_n = \max_{n-10 \leq k \leq n} X_k$$ or about the "range" over a window:
$$R_n = ...

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### Gaussian and the convex hull of moment curves

Let $c_1,\dots, c_d$ be the first $d$ moments of the standard normal distribution. Does the point $(c_1,\dots, c_d)$ lie in the convex hull of the set $\{(t,t^2,\dots,t^d)\colon t\in[-b,b]\}$, for a ...

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### Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian

This is a question related to the statistical model behind independent component analysis (ICA).
We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...

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### zero covariance but not independent - normally distributed random variable $X$ and $X^2$ [migrated]

This is one of my homework question, which the answer sheet has already been given out. However, I still don't understand it.
Exercise 1.1. It is well known that for two normal random variables, zero
...

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79 views

### Distribution of maximum unique number of several random numbers

Suppose discrete random variables $\{X_1, X_2, ..., X_n\}$ are i.i.d. described by the probability function:
$f(x) \equiv \text{Pr}(X_i = x)$,
and $X_i \in \{1,2,3, ..., m\}$.
Let $Y$ be the ...

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68 views

### Question about the weak convergence of probability

Let $\mu$ be a probability measure on $\mathbb R$ and set
$$c(K):=\int_{\mathbb R}(x-K)^+d\mu(x).$$
Assume that one has a sequence of probability measures $(\mu_n)_{n\ge 1}$ s.t.
$$\int_{\mathbb ...

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106 views

### Question abouth Skorokhod representation of random variables (II)

This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ ...

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### Question abouth Prokhorov metric

Let $X$ and $Y$ be two random variables with first order moments, i.e. $E[|X|]$, $E[|Y|]<+\infty$. Assume further that
$$E\left[|X-Y|\right]<\varepsilon.$$
Set $Law(X)=\mu$ and $Law(Y)=\nu$, ...

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112 views

### divisibility of uniform distribution [closed]

Let $X$ and $Y$ be independent and identically distributed random variables.
Can $X+Y$ be a uniform distribution?
(Please prove.)
In other words, is a uniform distribution divisible?
The meaning of ...

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148 views

### Question abouth Skorokhod representation of random variables

It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...

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### $\sum_{n\in\mathbb{Z}^2}d\mu(x-2\pi n)=0\Rightarrow$ the summands are pairwise mutually singular

Let $\mu$ a finite measure supported by $\Gamma$ (smooth curve in $\mathbb{R}^2$) and absolutely continuos with respect to the arc length measure on $\Gamma$.
Please why if ...

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### steady state of a continuous-time birth-death process

we consider a continuous-time birth-death process $\{X(t),t\geq 0\}$ with discrete state space taking non0negative integer values $\{0,1,2,3,...\}$. The transition rates of the process $\{X(t)\}$ are ...

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### distribution on arriving distinations within certain time [closed]

a traveller is travelling on a map. arriving every vertex of the map, the traveller could choose to go to next vertex according to a constant probability. The probabilities are represented in a matrix ...

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### Laplace transform of a integral function of CIR/CEV process

The Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. Constant elasticity of variance model (CEV) is a stochastic volatility model, which attempts to capture ...

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### A measure of how “spread out” a probability measure is

Consider a random variable $X$ whose variance is large. As a contrast to Markov's or Chebyshev's inequality, both of which measure the concentration of a probability distribution, is there a measure ...

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157 views

### Random walk with continuously distributed steps on [-1,1]

A simple random walk $S_n = X_1 +\cdots +X_n$, where $P(X_i = 1) = p \not = 0.5$ and $P(X_i=-1)= q \triangleq 1-p$, admits the following probability
$$P(S_n \textrm{ reaches } a \textrm{ before} -b) ...

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### Stochastic dominance for subsets

The subsets of a set $N=\{1,2,\ldots,n\}$ form a lattice, with larger sets being higher up, and a subset $B$ connected to another subset $A=B\cup\{x\}$ (for any $x\not\in B$) higher up by a "pipe". ...

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### Topologies for which the ensemble of probability measures is complete

I have been struggling quite a bit with reconciling my intuitive understanding of probability distributions with the weird properties that almost all topologies on probability distributions possess.
...

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### Marginal of mean from product of student-t and gamma

Let's say we have a distribution with PDF described by the product of Gamma and Student-t distributions. This is equivalent to a generative model, in which precision is first drawn from Gamma, and the ...

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### Variance of the normal CDF

Several threads (e.g. Integration of the product of pdf & cdf of normal distribution ) have shown that
$E[\Phi(x)]=\Phi(\mu/\sqrt{\sigma^2+1})$ when $x\sim N(\mu,\sigma^2)$.
I'd like to compute ...

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### Majorization in distributions of subsets

The subsets of a set $N=\{1,2,\ldots,n\}$ form a lattice, with larger sets being higher up, and a subset $B$ connected to another subset $A=B\cup\{x\}$ (for any $x\not\in B$) higher up by a "pipe". ...

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### Literature question on the convergence rate of the empirical distribution

Assume that given $n$ i.i.d samples $(X_1, X_2, ..., X_n)$ drawn from $p_X$, an unknown probability mass function defined over a finite alphabet $\mathcal{X}$, one wants to estimate $p_X(x)$ for each ...

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### Probability distribution/ Statistics of noise Eigenvectors

What is the distribution of noise Eigenvectors of the sampled covariance matrix? For the signal Eigenvectors the expressions are well defined which approach infinity in the noise Eigenvectors case; ...

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### Asymptotic behavior of a ratio of sums of iid random variables

Let $X_i$ and $Y_i$ be distributed identically to $X$ and $Y$, respectively. Assume both $X$ and $Y$ take strictly positive values.
Consider the random variable $R_n \doteq \frac{\sum_{i=1}^n ...

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### On the Bhattacharyya distance

Let $X$ and $Y$ be two continuous random variables with support $\mathbb{R}^{+}$ and with PDF $f(x)$ and $g(y)$. If the Bhattacharyya distance of $f$ and $g$ is less than $\epsilon$, then is there any ...

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### A variance-preserving Boolean function [closed]

Let a random variable $X$ be given with $P_X$ supported over $\mathcal{X}$. What are the necessary conditions for the existence of a boolean function $f:\mathcal{X}\to \{0,1\}$ such that ...

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151 views

### Regarding a new divergence function of two probability distributions

Let $X$ and $Y$ be two continuous random variables with common support and with PDF $f(x)$ and $g(y)$. For any $0 \leq \alpha \leq 1$, and any constant $\beta$ within the support of $X$ and $Y$ such ...

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### Probability distribution associated with total divisors of an integer

Is there a generalization to https://en.wikipedia.org/wiki/Erd%C5%91s%E2%80%93Kac_theorem which gives distribution function for $$\omega(n)=\big|\{d\in\mathsf{prime}:d|n\}\big|$$ where ...

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### How are the real-space RG transformations defined?

I'm reading Shang-keng Ma's book Modern theory of critical phenomena, and I'm a bit confused as to how the real-space RG transformations are defined. Ma basically says that these transformations are ...

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### Bayesian model to estimate the parameter of a Bernoulli law

Suppose we have iid boolean variables $X_1,...,X_T = X_{1:T}$ and the associated deterministic parameters $k_1,...,k_T=k_{1:T}$ and $c_1,...,c_T=c_{1:T}$, where for each $t \in \mathbb{N}$, $k_{t} \in ...

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318 views

### What is the derivative of this integral?

I have asked this question here
http://math.stackexchange.com/questions/1536018/how-to-find-derivative-of-this-intergral
but still has no response.
Might I ask it here ?
Let $\alpha(t)\in\{0,1\}: ...

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### Monte Carlo Simulation - efficient simulation of tail outcomes [closed]

When running Monte Carlo type simulations in situations where you're only interested in tail outcomes, do you know of a way to only simulate those outcomes, so that you can come up with more reliable ...

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### Conditioned binomial dominates unconditioned with different parameter

Let $X \sim \text{Bin}(n,p)$ and $Y \sim \text{Bin}(n-1,p)$ with $n >1, p \geq 1/2$ and $X,Y$ are independent. I'd like to show
$$(X\mid X \geq 1) \succeq_{sd} 1 + Y.$$
Here $(X \mid \cdot)$ is the ...

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### Is it safe to work on a Cadlag modification of a Feller process?

Let $f$ be a continuous bounded function.
$X$ is a Feller process, and $\hat X$ is its Cadlag modification. By the definition of the modification, one can write
$$\mathbb E[f(X_t)] = \mathbb E[f(\hat ...

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### density of distance between points in unit circles

Let $a$ and $b$ be two points in the plane. Let's choose a point $c$ uniformly from the circle of radius $r$ with $a$ as center and choose a point $d$ uniformly from the circle of radius $r$ with $b$ ...

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### Probability distribution derived from gamma function - does it have a name?

Consider the complex gamma function, denoted by $\Gamma(\sigma+it)$.
Now, let's fix $\sigma$ and let t vary. Then consider the following expression:
$$|\Gamma(\sigma+it)|^2$$
For any choice of ...

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### moment sequence which does not define a random variable vs convergence in distribution

I am encountering the following problem concerning existence of a limiting random variable (in distribution): assume a sequence of positive random variables $\{X_n\}_{n\geq 0}$ from which we know ...

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### Exponentially Bounded Sequence of Moments defining Distribution?

I have an exponentially bounded sequence $m_n = \lambda^n + c_n$ (i.e. the $c_n$ are quadratic in $n$) and would like to know if this sequence of moments defines a distribution. I considered applying ...

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### Convergence of generalized inverses

During the reading about Fisher–Tippett–Gnedenko theorem (it can be found easily on wiki - I don't have enough reputation to post more links), I've got stuck, trying to understand more deeply one of ...

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### Convergence in distribution to a Poisson

We have encountered the following problem that we think that should be true. Let $\{X_n\}_{n\geq 0}$ a sequence of random variables which we know that $\mathbb{E}[X_n]$ tends to infinity.
The ...

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### Slight variation on law of the iterated logarithm

Let$$M_t = \max\{B_s : 0 \le s \le t\},\text{ }m_t = \min\{B_s : 0 \le s \le t\},$$where $B_t$ is a standard Brownian motion. My question is, does there exist $r$ such that with probability ...

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76 views

### Uniform convergence of 2-norm of a multinomial vector

Let $(X_1,X_2,\ldots,X_k)$ be distributed according to a multinomial distribution with parameters $(n;p_1,p_2,\ldots, p_k),$ i.e.
$$P(X_1=n_1,\ldots,X_k=n_k) = {n\choose n_1,n_2,\ldots,n_k} ...

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### What class of probability distributions do probabilistic turing machines induce? [closed]

What class of probability distributions is induced by the class of probabilistic turing machines? Is there a precise characterization?

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### methods to analyze martingale conditioned on return in the future

Consider a martingale $S_t$ on $\mathbb{Z}$ starting from 0. Assume that for any $t$, $Var[s_t\, | \, \mathcal{F}_{t-1}] < V$, where $V$ is some positive constant. Fix an $n$ and for $t \leq n$, ...

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### Extension of Dynkin's formula, conclude that process is a martingale

This question was asked here, but it did not get enough attention, so I'm crossposting it to MO.
Let $u: \mathbb{R}_+ \times \mathbb{R}^d$ be a bounded $C^2$ function whose first and second partial ...