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1
vote
1answer
157 views

Distance between the product of marginal distributions and the joint distribution

Given a joint distribution $P(A,B,C)$, we can compute various marginal distributions. Now suppose: \begin{align} P1(A,B,C) &= P(A) P(B) P(C) \\ P2(A,B,C) &= P(A,B) P(C) \\ P3(A,B,C) &= ...
0
votes
2answers
100 views

Joint distribution with specified marginals

Suppose we are given a probability distribution over a finite discrete product space $p(x,y)$ with marginals $p(x), p(y) > 0$ for each $x,y$ respectively. We are given two more marginal ...
2
votes
1answer
59 views

Solutions of a stochastic reduced wave equation

Given a spherical reference frame $\left(\rho,\phi,\theta\right)$, the reduced wave equation can be written as: $$\nabla^2U=k^2n^2U$$ in which: $U=U(\rho,\phi,\theta)$ The solutions of this equation ...
13
votes
4answers
897 views

A Normal Distribution Inequality

Let $n(x) = \frac{1}{\sqrt{2\pi}} e^{-\frac{x^2}{2}}$, and $N(x) = \int_{-\infty}^x n(t)dt$. I have plotted the curves of the both sides of the following inequality. The graph shows that the following ...
1
vote
1answer
144 views

Is anything known about Large Deviation Principle for non additive functionals on Markov chains?

Let $\Sigma$ be a finite set of cardinality $|\Sigma |$ and $$\Pi = \{ \pi(i,j)\}_{i,j = 1}^{|\Sigma|}$$ a stochastic matrix (ie a matrix whose elements are non negative and such that each row sum ...
3
votes
1answer
269 views

Probability that no three events happen in a pre-defined window

Consider a Poisson process with arrival rate $\lambda$ arrivals per unit time. Given a window of time $W$ and a total of $k$ events, what is the upper bound of the probability that no three events ...
8
votes
1answer
415 views

Generalized central limit theorem

I am looking for a generalized central limit theorem for non-square integrable stationary sequences. More precisely I suspect that when $(X_j)_{j\geqslant 1}$ is a stationary sequence such that $X_i$ ...
2
votes
1answer
982 views

inner product of two gaussian random vectors?

Suppose that $x, y\sim N(0,I_n)$ are independent. Consider the inner product $\langle x, y\rangle$. Intuitively, $y$ behaves like a random vector of length $\sqrt n$, so $\langle x, y\rangle$ is close ...
2
votes
0answers
106 views

Marginalizing multivariate normal over defined interval

Hello everyone, I am trying to obtain an analytic expression for the following Gaussian integral $$\frac{1}{\sqrt{(2 \pi)^n |\Sigma|}} \int \kern-0.2em \cdots \kern-0.2em \int d\mathbf{x}_{\sim i} ...
1
vote
2answers
271 views

Probability distribution over cluster size in Erdős–Rényi random graph.

My question is about the probability distribution over the possible size of the containing cluster of a randomly chosen node in an Erdős–Rényi random graph. Let G(n,p) be an Erdős–Rényi random graph ...
3
votes
1answer
809 views

What is characteristic function of maximum of i.i.d. random variables?

Is is possible to get characteristic function of maximum of i.i.d. random variable sequence? Such as $X_1, X_2$ are two i.i.d random variables, then what is characteristic function of ...
1
vote
0answers
186 views

Joint distribution from multiple marginals

Consider an experiment consisting of a repeated trial with two random Bernoulli (=binary) variables, A and B. Each trial consists of multiple outcomes for both A and B. Each trial has the same number ...
1
vote
1answer
420 views

computing an integral involving standard normal pdf and cdf

recently, i need to compute this kind of integral: $$ \int ^\infty _c \Phi(ax+b) \phi(x) dx$$ where a, b and c are all constants and $\Phi(x)$ denotes the CDF of standard normal distribution and ...
-1
votes
1answer
134 views

Sum of binomial probablilities

One of my friends is building a game where the player will get questions from 6 different categories. Each category has a total of 50 questions. A single game consists of answering one question from ...
1
vote
0answers
340 views

Prove that the sum of a certain infinite series is 1

Prove the (numerically-evident) proposition that \begin{equation} \Sigma_{i=0}^\infty f(i) = 1, \end{equation} where \begin{equation} f(i)= 2^{-4 i-6} q(i) \frac{\Gamma(3 i+\frac{5}{2}) \Gamma(5 ...
-1
votes
1answer
270 views

expectation of ln(1+e^x) [closed]

x is a normal distributed variable. then what is the expectation of ln(1+e^x). i simulated this distribution and find that when x is N(0, 100), the mean of this function is around 4.1, and when x is ...
0
votes
0answers
87 views

Random variables related through nonlinear system of equations

I asked this question on http://math.stackexchange.com/questions/377140/random-variables-related-through-nonlinear-system-of-equations, however I received no answer for a while so I'm posting it here: ...
1
vote
2answers
248 views

A sampling and learning question

Suppose there is an oracle that returns a number $b \in \mathbb{Z}_{n}$ whenever I press the button. We have $b = a + e$, where $a \in \mathbb{Z}_n$ is a fixed number and $e$ is sampled according to ...
4
votes
0answers
47 views

Is there a name for the set of distributions whose probability generating functions are Mobius transformations?

Consider a discrete random variable $N\in\mathbb N$ with $\mathbb P(N=0) = p$, $\mathbb P(N=n) = (1-p)(1-q)q^n$ for $n\neq 0$. Then the probability generating function of $N$ $$\mathbb E(z^N) = ...
2
votes
0answers
54 views

Minimizing/Maximizing the tail of the convex combinations of Chi Squared i.i.d random variables

Consider $N$ i.i.d random variables, $X_{1}, X_{2}, \ldots, X_{N}$ , that are chi-squared of degree $K \geq 2$. Also consider the following 3 vectors: \begin{eqnarray*} \bar{a} &=& ...
3
votes
1answer
438 views

The average number of people that can sit on a bench of a given length.

Let me explain what I mean: The width of the average person varies, perhaps with a normal distribution. Given a specific variance, how many people (on average) can sit side-by-side on a bench of a ...
2
votes
1answer
193 views

Bounding statistical distance by matching moments

Suppose we have distributions $p(x)$ and $q(x)$ both supported on integers in $[-n, +n]$. We want $p$ and $q$ to have statistical (total variational) distance of at most $\epsilon$. Is there a ...
0
votes
1answer
333 views

Expected value with a kronecker product and Gaussian distributional assumption

What is the expected value, $ \mathbb{E}\left[ I \otimes \left( \operatorname{diag}(ZZ^T\mathbf{1}) - ZZ^T\right)\right]$ where $Z \sim N(0, \sigma^2I) $? The kronecker product is where the confusion ...
0
votes
0answers
258 views

Expected value of the log of the factorial of a poisson distribution

I found the expression for the expected value of the falling factorial of a Poisson distribution ($\lambda^n$) from - http://en.wikipedia.org/wiki/Factorial_moment. Is there a similar expression for ...
0
votes
2answers
502 views

Solution to the fractional differential equation

What is the solution of the fractional differential equation $$ f^{(\alpha-1)}(t) = tf(t) $$ where $(\alpha)$ denotes the fractional derivative of order $\alpha$ EDIT: Background behind this ...
2
votes
0answers
156 views

Have you seen this one parameter family of distributions before?

This is a one parameter family of distributions. Choose some parameter $\lambda > 0$ and define the measure $\nu_\lambda$ which is absolutly continuous with respect to the Lebsegue measure with the ...
0
votes
2answers
258 views

probability density function

Hey, what is the probability density function of the following random variable $\theta$ : $\theta=tan^{-1}\frac{Y_1-Y_2}{X_1-X_2}$ for $X_1-X_2>0$ and $\theta=tan^{-1}\frac{Y_1-Y_2}{X_1-X_2}+\pi$ ...
2
votes
2answers
260 views

Computing hypergeometric function of matrix argument

In the context of the Bingham probability distribution the ${ }_1F_1$ hypergeometric function of matrix argument naturally arises as a normalization constant of the probability distribution function. ...
1
vote
1answer
141 views

Weak convergence in measure for negligible sets.

Let $X$ be a Polish space and $(P_n)$ a sequence of Borel probabilities which converges weakly in measure to a Borel probability $P$. By this i mean that for any $f\in C_b(X)$ which is continuous and ...
5
votes
2answers
217 views

Liverani's CLT (a question)

Let $(\Omega,\mathcal{F},P)$ be a probability space where $\Omega$ is a complete separable metric space, let $T:\Omega\to \Omega$ ` be an ergodic transformation, let $\hat{T}:L^{2}_{_P}(\Omega)\to ...
2
votes
0answers
106 views

question about circular law

Hi, I have a question about the circular law. Consider $A_n=[x_{ij}]$ a sequence of random matrices where $x_{ij}$ are iid with mean $0$ and variance $1$. Consider $\lambda_{n,1},\dots,\lambda_{n,n}$ ...
0
votes
1answer
210 views

Order of difference of two generators of cyclic group

Let $n\in\mathbb{Z}^+$ and $\alpha,\beta $ be two generators of the cyclic group $\left(\frac{\mathbb{Z}}{(2^n - 1)\mathbb{Z}},+\right)$. Question: What are known theorems regarding the order of ...
1
vote
1answer
151 views

Moments of the Kolmogorov distribution

Up to what order do the moments of the Kolmogorov distribution exist? References would be appreciated.
4
votes
2answers
314 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
0answers
104 views

Inequality for square of the subgaussian distributions

Hi all, For my research I am trying to bound some exponential moments of subgaussian r.v.'s. And I am stuck with proving one of such inequalities. More specifically: Let $a$ be unit vector in ...
2
votes
1answer
151 views

Central Limit Theorem for additive function of permutations of sequences

Fix the finite sets $\mathcal{X}$ and $\mathcal{Y}$, and probability mass functions $P_X(x)$ and $P_Y(y)$ on these sets. Assume each value of $P_X(x)$ and $P_Y(y)$ is rational. For each $n$ such ...
1
vote
1answer
292 views

Calculate channel capacity of general channel under constraint

Hi! Given a conditional distribution $P_{Y|X}$ I'd like to find the prior distribution $P_X$ that maximizes the mutual information $I(X;Y)$ with $P_Y(y)=\int P_{Y|X}(y|x)P_X(x)\text{dx}$ (this ...
3
votes
1answer
125 views

Statistical properties of principal components and their convergence rates.

Hello everyone, I'm interested in doing statistical tests on properties of principal components, but none of the literature I've found so far seems quite right for my purposes. Many articles present ...
0
votes
0answers
192 views

Expectation of sample variance

Hi all, Just a quick question - I want to make sure I'm not missing anything obvious here! I'm trying to evaluate $E(S^2 \mid \bar{X} = \bar{x})$, where $X_1,\ldots,X_n$ are i.i.d. Normal($\mu, \sigma ...
0
votes
2answers
193 views

Are all variables in a set of random variables independent if all pairs are independent?

If I have a sequence of random variables $X_1, X_2, \ldots, X_n$ (possibly infinite) such that all pairwise cdf's are factorized: $$F(X_i, X_j) = F_i(X_i) F_j(X_j)$$ for all pairs $(X_i, X_j)$, does ...
1
vote
1answer
205 views

Distribution of the powers of a primitive element of a finite field

What are known results regarding the distribution of the powers of a primitive element (generator of the multiplicative group) of a finite field? Specifically, compare the ordered list of ascending ...
0
votes
1answer
452 views

Is an L_1 bounded sequence of random variables with uniformly converging CDFs uniformly integrable?

Changing my question in light of Dan's answer. Thanks, Dan. Consider a sequence of real random variables $X_i$ bounded in $L_1$, that is $\mathbb E\left|X_i\right|\leq M$ for all $i$. Suppose that ...
7
votes
2answers
404 views

Concentration bounds for sums of random variables of permutations

I'm trying to find theorems regarding random variables derived from sampling permutations, specifically concentration bounds. As an example, let $X_i$ be the $\{0,1\}$-random variable that represents ...
7
votes
1answer
302 views

Probability density that minimizes the sample range

Let $\mathcal{F}$ denote the set of all "concave probability distributions" on the unit interval, that is, all functions $f:[0,1]\to \mathbb{R}$ such that $f$ is concave, $f(x)\geq 0$ for all $x\in ...
8
votes
2answers
431 views

What is the most extreme set 4 or 5 nontransitive n-sided dice?

A set of nontransitive dice is a set of dice whose face numbers are such that the relation "is more likely to roll a higher number than" is not transitive. (See wikipedia) For some sets, the ...
0
votes
1answer
77 views

Multinomial — how many trials in order to see all the values with prob 1-\alpha

Let suppose that I have a box with $k$ different balls, each one with a different color. At each time I have to extract a ball and observe the color. Then I put the ball back in the box. How many ...
3
votes
3answers
323 views

Support of an infinitely divisible measure.

Hello, if $G$ is a compact Lie group. Let $\mu$ be an infinitely divisible measure on $G$, such that $e$, the neutral element of $G$, is in the support of $\mu$. Is that true that the support of ...
1
vote
1answer
74 views

Numerical optimisation for multivariate Gaussians

Hi, I want to calculate $ f_{\mathbf x}(x_1,\ldots,x_k)\, = \frac{1}{(2\pi)^{k/2}|\boldsymbol\Sigma|^{1/2}} \exp\left(-\frac{1}{2}({\mathbf x}-{\boldsymbol\mu})^T{\boldsymbol\Sigma}^{-1}({\mathbf ...
1
vote
2answers
554 views

minimum of different independent Poisson random variables

Let $X_1,\ldots,X_N$ be independent Poisson distributed random variables with unequal parameters $\lambda_1,\ldots,\lambda_N$. Is there any closed form expression or at least a good approximation for ...
2
votes
0answers
725 views

Distribution of Inverse of a Random Matrix

Recently i got stuck into a problem and couldn't find its satisfactory answer anywhere. My question is simple. Suppose i have a fat random matrix (i,e $R$ has dimensions $k\times d$ where $k<d$) ...