The probability-distributions tag has no wiki summary.

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### Does $X_n \xrightarrow{d} N(0,1)$ and $X_n/Y_n \xrightarrow{d} N(0,1)$ imply that $Y_n \xrightarrow{d} 1$?

I'm thinking about the following question:
If $X_n$ and $X_n/Y_n$ both converge in distribution towards a standard Gaussian random variable and $Y_n \geq 0$ for all $n$, does then $Y_n$ necessarily ...

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45 views

### Maximum likelihood estimation with several distributions

My question concerns using Maximum likelihood to estimate unknown parameters used by several (poisson) distributions.
The parameters are the pairs $(a_1,b_1),\dots,(a_N,b_N)$, and for each pair ...

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254 views

### Reference on (discrete) log-concave probability distributions

A discrete distribution $p$ over $\mathbb{N}$ is said to be log-concave if it satisfies the following conditions:
The support of $p$ is a contiguous interval, i.e. $\exists a \leq b$ s.t. $p_i > ...

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131 views

### Lower bound on the tail of the hypergeometric distribution

Suppose there is a bag with $M$ white marbles and $N - M$ black marbles. Let $H(n, N, M)$ be a random variable which is number of white marbles in a draw, without replacement, of $n$ marbles from a ...

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163 views

### Volume of randomly changing sphere follows beta distribution

We are given $X,X_1,\ldots,X_N$ independent and identically distributed $k$-dimensional vectors. For a given query point $X_q\in\mathbb{R}^k$ assume without loss of generality that $X_1,\ldots,X_m$ ...

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205 views

### Central limit theorem with degenerate covariance matrix

Are there known generalisations of the central limit theorem for several random variables when the covariance matrix is degenerate?
The usual proof of CLT based on characteristic functions (see e.g. ...

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45 views

### Shift invariance for the distribution of quadratic polynomials

For a probability distribution $X$, supported on integers, define the shift-invariance of $X$, denoted by $shift(X)$ = total variation distance between the random variable $X$ and $X+1$.
Let ...

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44 views

### Taking power of the integrand in a Riemann-Stieltjie Integral

This is a problem I am trying to solve as part of a calculation for Value-at-Risk.
Given that
$P(X<x)=F(x)=\int_{\theta}F(x|\theta)dG(\theta)=1-\alpha$,
where $F$ and $G$ are CDF's, is there a ...

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151 views

### Asymptotic behavior of $X_n$ in a Dirichlet vector $(X_1, …, X_n)$

Let $(\alpha_k)$ be a sequence of positive numbers and let $(Y_k)$ be a sequence of independent random variables $Y_k \sim \text{Gamma}(\alpha_k,1)$. Set $X_n=\dfrac{Y_n}{\sum_{i=1}^nY_i}$.
(edit) ...

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### Inequality with CDF of order statistics

here is a problem I have been struggling with for a while now. This is for a paper I am working on. Any help would be appreciated! Here we go:
Each bidder's valuation $\theta _{i},$ $i=1,...,N$, is ...

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380 views

### Weak convergence of random measures

Let $\mu_n,n\in \mathbb N$ be a random probability measures and let $\mu$ be a deterministic probability measure on $\mathbb R$. That is to say, that the $\mu_n$ are measurable maps from a probability ...

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88 views

### Rate of Convergence of Compound Poisson Laws to Infinitely Divisible Laws

It is known that every infinitely divisible random variable is the limit in law of a sequence of compound Poisson random variables (see for instance Theorem 1.2.18 of Lévy Processes and Stochastic ...

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72 views

### Numerical approximation to the Wasserstein metric?

Are there numerical methods for approximating/calculating the Wasserstein metric in particular cases?
Suppose that $f$ and $g$ are two density functions with the same support. How can I calculate the ...

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43 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) = ...

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200 views

### An inequality based on expectation of continuous random variables

I am trying to prove the following statement:
$$
E[g(X)] E[X^2g(X)]\ge E[Xg(X)] E[Xg(X)]
$$
where $X$ is a random variable, $E[\cdot]$ denotes the expectation operator with respect to ...

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121 views

### Random partitions with prescribed pairwise membership probabilities

Let $(p_{ij}) \in [0,1]^{n \times n}$ be a given symmetric matrix, with $1$ on the diagonal. Suppose $\pi$ is a partition of $[n]=\{1,\dots,n\}$ and let us write $i \stackrel{\pi}{\sim} j$ if $i$ and ...

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229 views

### Convergence in the Wasserstein metric and the square root function

Let $f$ be a smooth probability distribution on the unit square $S$ such that $f(x)>0$ on $S$. Let $\{g_i\}$ be a sequence of smooth probability distributions such that $g_i(x)>0$ on $S$ as ...

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41 views

### A curious example envolving moment's convergence

Let $\{X_n\}$ be a random variable sequence and $X\sim N(0,\sigma)$. In general, the convergence $E(X_n^k) \stackrel{n}{\longrightarrow}E(X^k)$ doesn't implie that $E(X_n^{k+1}) ...

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44 views

### Sensitivity of inverse normal cdf

Let $Q^{-1}$ be the inverse function of a standard normal CDF. For $0 < \epsilon < p,p' < 1 - \epsilon$, how much does the function $Q^{-1}$ change as a function of $|p - p'|$? Any useful ...

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143 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 ...

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142 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 ...

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227 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 ...

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117 views

### Generating random variables from the Cantor Distribution [closed]

I am looking for a method (exact, if possible, but at least asymptotically correct) for generating random variates from a Cantor Distribution? It seems like its abstract definition prevents this. In ...

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75 views

### convergence in distribution and convergence of moments

Suppose that the sequence of r.v $\{X_{n}\}_{n\geq 1}$ has all the moments, and $X_{n}\stackrel{D}{\longrightarrow}X\sim N(0,\sigma)$. Assume that $E\left\{(X_{n})^{K}\right\} ...

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109 views

### Sampling point uniformly at random satisfying equality constraints

First of all, I apologize in advance if the question has already been asked in some way on this site and/or if there is a widely known solution to this problem.
The description of my problem is ...

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### Do constrained random walks converge weakly to the Wiener measure on the space of constrained paths (that corresponds to the heat equation)?

Let $U$ be an open subset of $\mathbb{R}^n$ such that
$\partial \overline{U}$, the boundary of $\overline{U}$ is ''nice''
(for simplicity you can assume piecewise smooth). I also want to allow the ...

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181 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 ...

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### 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 ...

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### Under what conditions do time averages of ergodic transformations satisfy a central limit theorem?

Let $(X, \mu)$ be a probability space and $T:X\rightarrow X $ an ergodic transformation, i.e. $T$ is measure preserving and the only $T$ invariant subspaces have either measure $0$ or measure $1$ ...

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136 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:
...

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116 views

### Is it possible to improve the order of convergence of averages of random variables if they are not identically distributed?

Let $X_n$ be a sequence of independent random variables (but not necessarily identically distributed)
taking values in $[-1,1]$ that have the following property:
1) The average $A_n := \frac{(X_1+ ...

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104 views

### Deriving Newtonian capacity of sphere from Brownian motion

We have the following result by Spitzer (see (1) or Port)
$lim_{t\to \infty}\frac{1}{t}\int_{\mathbb{R}^{n}/B_{r_{0}}}P_{x}(T_{B_{r_{0}}}<t)dx=Cap(B_{r_{0}})=\frac{r_{0}}{4\pi}$
By Chuancun and ...

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197 views

### PDF of the product of normal and Cauchy distributions

I am having trouble in finding out the resulting PDF of the product of normal and Cauchy distributions. It turns out that we have a general formula for calculating the PDF of product of two random ...

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### distribution discretization

Let $\mu$ be a distribution on $\mathbb{R}^n$. We partition $\mathbb{R}^n$ into small cubes congruent with $[0,\delta)^n$, parallel to the axes. In each cube, pick a point $x$ (for instance, the ...

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73 views

### Hitting probability of semiball

For fixed x and hemisphere H of radius r and centered at the origin, I wonder what is $P_{x}(T_{H}<\infty)$.
Attempt
Firstly, I wonder if there is any relation between $P_{x}(T_{H}<N)$ and ...

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### Density of $\int_{B}\frac{|1-|B_{T}|^{2}|}{|y-B_{T}|^{3}}dS(y)$

For $B\subset \partial B(0,1)))$ and random variable $B_{T}\in Int(B(0,1))$ with density $p_{T}$, is there a density for
$\int_{B}\frac{|1-|B_{T}|^{2}|}{|y-B_{T}|^{3}}dS(y)$?
Context
The original ...

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327 views

### Gaussian distributions as fixed points in Some distribution space

I'm taking a course on topology and probabily. Today, the professor remarked something along the lines of:
If you look at the space of probability distributions with $0$ mean and variance $1$, ...

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115 views

### What are some examples of isotrophic sets?

What are some examples of isotrophic sets? and is there a "good" way to describe them?
Isotrophic meaning that a random vector X uniformly distributed in the set has the isotrophic property for all ...

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261 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 ...

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146 views

### How to show that two linear combinations of Bernoulli random variables have jointly Gaussian distribution (and more)

Let $X_1,\ldots,X_n$ be independent Bernoulli random variables such that $\mathbb{P}(X_i=\pm 1)=1/2$ and consider two collections of real numbers $a_1,\ldots,a_n, b_1,\ldots, b_n$. For the moment let ...

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### Speed of Approach to Invariant Measure

Let $X_t$ represent a continuous-time Markov process on $\mathbb{R}^d$, say a diffusion with locally Lipschitz coefficients. Suppose that there exists a unique invariant measure $\mu$ on the space, ...

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### A natural sum over multisets (expectation over multinomial)

I think this is a natural question but am not sure where to find resources.
Consider the possible multisets arising from choosing $n$ times an item from one of $k$ categories. We can represent one ...

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### Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measure on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as
$$D(Q\|P)=\int_X ...

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124 views

### Property of relative entropy [closed]

For $X$ a measurable space and $P,Q$ two probability measures on $X$ s.t. $Q$ is absolutely continuous with respect to $P$, the relative entropy is defined as
$$D(Q\|P)=\int_X \log(\frac{dQ}{dP})dQ,$$
...

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62 views

### Computation on Random Bipartite graphs

I'm looking at a random bipartite graph $K_{\omega(n)}*K_{\omega(n)}$ where $\mathrm{log}(n)\leq \omega(n) \leq n^{1/2}$, in which each of the $\omega(n)^{2}$ edges is placed randomly with probability ...

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### A series with long-tailed terms

Let's consider the following series:
$$
\zeta = \sum_{k=1}^{\infty} a_k \xi_k,
$$
where the sum is understood as the limit in $L_2(\Omega)$, $a_k \in \mathbb{R}$,
$\sum_{k=1}^{\infty} a_k^2< ...

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### Geometric interpretation of the average of two independent Cauchy distributions

Let me state two facts:
(1) It is well known that if one takes a point uniformly distributed on the unit circle, and then takes it stereographic projection, the corresponding measure induced on the ...

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### Probability question involving simulations of picking balls from a bag

I’m working on a chemistry problem, which essentially translates to finding the answer to a related probability problem. However, my knowledge in probability is very limited and I'd be grateful if ...

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### Distribution of the $\alpha$-parameter of a $2\times 2$ Haar-distributed, unitary matrix

It is well known that any $2\times 2$ unitary matrix $\mathbf{U}$ can be parametrized as
$$\mathbf{U}=\begin{pmatrix} 1 & 0 \\ 0 & \mathrm{e}^{\mathrm{j}\beta_1}\end{pmatrix} \begin{pmatrix} ...

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372 views

### lower-bound for $Pr[X\geq EX]$

Given n random variables, $X_1, ..., X_n$, each takes value 0 or $a_i \in[0, 1]$. $X = \sum_{i=1}^n X_i$ and $EX \geq 1$ is the expected value of $X$. Can we get a lower-bound for $Pr[X \geq EX]$? It ...