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481 views

### Erdos-Kac for squarefree numbers

In its usual form, the Erdos-Kac Theorem states that if $f(n) : \mathbb{N} \rightarrow \mathbb{R}$ is a strongly additive function with $|f(p)| \le 1$ for all primes $p$, then
$$\frac{|\{n \le x : ...

**14**

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623 views

### On random Dirichlet distributions

Fix a dimension $d\ge2$.
Let $Q_d$ denote the positive quadrant of $\mathbb{R}^d$, that is, $Q_d$ is the set of points $\mathbf{x}=(x_i)_i$ in $\mathbb{R}^d$ such that $x_i>0$ for every $i$.
...

**7**

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352 views

### 1-Wasserstein distance between two multivariate normal

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by
...

**7**

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323 views

### Inequality between incomplete beta and gamma functions; or when is binomial distribution function above/below its limiting Poisson

Please note: this question was posted first (September 4) in math.stackeschange.com and then (September 16) in stats.stackeschange.com. It got no answers in neither of those sites.
Let the ...

**5**

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64 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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161 views

### A note on Doob's theorem

I have faced the following problem, regarding to the Martingale Theory. Because this area far from my area I don't know whether this problem is in literature or this can be simple question for ...

**5**

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144 views

### Two sets of independent Bernoulli random variables

There are two sets of random variables $X_1,\ldots,X_n$ and $Y_1,\ldots,Y_n$ satisfying:
Each $X_i$ and each $Y_j$ has a symmetric Bernoulli distribution ($-1$ and $+1$ with probability $\frac12$ ...

**5**

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146 views

### what books to read to quickly understand adiabatic approximation

Hi group, I'm a theoretical ecologist with fairly adequate training in applied math (ODE, linear algebra, applied probability, some PDEs). In my current work, I've encountered the use of adiabatic ...

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416 views

### Compute the expected value of the next step of a sorted random walk

Here's what I'm thinking about. If you have a random walk (move +1 or -1 at each step) of some fixed length, then if you're at the maximum of the walk, the next step you take is -1 with probability 1. ...

**4**

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223 views

### Total variation and Hellinger distance inequality between truncated Gaussians

We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, ...

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48 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) = ...

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240 views

### References for this game

I would like to know how the following game is known in the literature and, possibly, to have references for related papers.
Description of the game: Fix a space $X$ and two Borel probability ...

**4**

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175 views

### probabilistic terminology for polynomials with positive coefficients

Given a polynomial $P(x) = p_0 + p_1 x + p_2 x^2 + ... + p_n x^n$ with non-negative coefficients, is there a standard name for (the function of $p_1,...,p_n$ equal to) the variance of an ...

**4**

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278 views

### When is taking an average (mean) an algebraic operation in the sense of monads?

Taking the average of a sequence of numbers is not an "algebraic" operation, in the following sense. Given sequences $X_1,X_2,\ldots,X_n$ of numbers, one could either take the average of each one, ...

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254 views

### Help in how to estimate a parameter using Poisson point process

Let $\mathbf{e_0,e_1,\ldots,e_n}$ $\in$ $R^d$ denote points of a random Poisson point process in $R^d$. which is centered so that $e_0 =0$.
Considering nearest neighbor distances: for a specific ...

**3**

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98 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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133 views

### Concentration inequality for function of independent Bernoulli r.v.'s (related to random graph)

Consider a random undirected graph on a set of $n$ nodes, say $\{1,2,\ldots,n\}$, such that the probability of edge between nodes $i$ and $j$ is $p_{ij}$ (we may assume $p_{ij}=o(1)$ for all $i,j$, ...

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1k views

### E[ | X - Y | ] where X and Y are independent Poisson random variable

What is the expected value of the absolute difference of two independent Poisson variables?
E[ |X - Y| ]
Seems like an easy question but I haven't found an easy solution.
I've split the double sum ...

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284 views

### Is this probability distribution known in the literature?

In some work I was doing I derived a probability distribution that I do not recognize. Is it a known distribution?
$\Pr(X\le ...

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157 views

### Iterated Kumaraswamy distributions

The Kumaraswamy distribution has cdf $F(x;a,b) = 1-(1-x^a)^b$.
Does anyone know any formulas or properties relating to iterations of this on itself, meaning
$$ F_i(x;a,b) = 1-(1-F_{i-1}^a)^b$$
If ...

**2**

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86 views

### Sum of normal and generalized gamma random variables

Considering a set of $n$ points that are $d$ dimensional and are independently and uniformly distributed on a surface. The points are homogeneous poisson point process.
Considering nearest neighbor ...

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157 views

### 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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134 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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89 views

### 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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99 views

### 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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112 views

### 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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69 views

### A 1-D random variable from a random distribution

I have a random variable $X$ that is drawn from the pdf
$$
f(x; \mu, \sigma, \sigma_{\mu}, \sigma_{\sigma}) = \int_{-\infty}^{\infty} \int_{-\infty}^{\infty} \frac{1}{|\hat{\sigma}|\sqrt{2\pi }} ...

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61 views

### Mean and variance of a general multivariate skew normal distribution

I have a problem about a general multivariate skew normal distribution. There is a $p\times 1$ vector, $\mathbf{y}=(\mathbf{y}_1',\mathbf{y}_2',\ldots,\mathbf{y}_n')',p>n$, which has the density as
...

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26 views

### How to get the Expectation of the normalization of some log-normal-distributions?

Problem Definition:
Suppose that a random variable of multivariate Gaussian distribution $X \sim N(\Sigma,\mu)$, $\Sigma$ is the covariance matrix, and $\mu$ is the mean. For each $x_i$ from $X$, $x_i ...

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51 views

### Does this kind of integral equations have unique solution?

Suppose $f_1$ and $f_2$ are two probability density functions on support $[0,1]$ (i.e. $f_1(x)=f_2(x)=0$ for any $x\not\in[0,1]$). Let $\varphi(x)$ denote a known probability density function on ...

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71 views

### Can truncated/non-smooth distributions be used as priors/posteriors in Variational Bayesian methods?

Variational Bayesian methods can sometimes be a good alternative to Markov Chain Monte Carlo numerical evaluation of probability distributions. They do this, as I understand it, by approximating the ...

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50 views

### Is this exponential family Gaussian?

Let $m$ be a positive measure on the real line. Assume that $\exp k(t)=\int\exp(xt)m(dx)<\infty$ for $a<t<b$ and that $\exp k(t)=\infty$ if $t\notin[a,b],$, with $-\infty\leq a<b\leq ...

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38 views

### existence of Markov operators not generated by transition probability function

Transition probability functions can always be used to generate Markov operators, correct? So is it correct to say that a Markov process is a collection of Markov operators? On the other hand, are ...

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72 views

### Multiple independent random number streams

This question is somehow related to this one.
Having multiple streams of pseudo-random numbers known to be independent and with a uniform distribution (U1, U2,...,Un) I want to do Monte Carlo ...

**2**

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158 views

### Quantifying the “flatness” of functions which are the Fourier transforms of positive functions

Short version of question: I'm trying to understand the extent to which a function is prevented from being "flat" as a result of being the Fourier transform of a positive function. That is, the extent ...

**2**

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133 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} ...

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62 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} &=& ...

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159 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 ...

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107 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 $\lambda_{n,1},\dots,\lambda_{n,n}$ ...

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906 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 $k<d$) ...

**2**

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**0**answers

197 views

### Proving that an increasing iterative sequence increases at a decreasing rate

In this question
Proving a sequence of integrals increases (iterated minimax distributions)
Pietro Majer proved that
$$\int_0^1F_n(x) dx \leq \int_0^1F_{n+1}(x) dx$$ when $$F_n(x) = ...

**2**

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149 views

### Secretary problem extensions

In the Classical Secretary problem (also known as Marriage, Sultan's Dowry, Gogol problems),
1) There are n candidates ordered from the best to the worst (no ties). We know n.
2) The candidates ...

**2**

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**0**answers

286 views

### Seeking the normalizing constant (or any references) for a distribution over a subset of positive definite martrices

I'm interested in a probability distribution over the set of positive definite matrices with unit diagonal elements. That is, and $X$ such that:
$X \in S^{n+}, \forall_{i}X_{ii} = 1$ where $S^{n+}$ ...

**2**

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280 views

### Computable distribution on [0,1] with C-infinity distribution function

Does anyone know of an easily-describable distribution on $[0,1]$ with a density $p$ (with respect to Lebesgue measure) that satisfies the following properties:
$p$ is $C^\infty$
$p(0) = a$, $p(1) = ...

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591 views

### For what sub-$\sigma$-algebra are these two measures equivalent?

In two statistics papers (linked inline below) I have come across two definitions of certain probability measures. I conjecture that for particular choices of the construction that they are ...

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25 views

### Bound on the total variation distance for multiple samples $d_{tv}(P^n,Q^n)$

Given two discrete distributions $P$ and $Q$, with computable total variation distance $d_{TV}(P,Q)=||P - Q||_1$, is there a precise bound for $d_{TV}(P^n,Q^n)=||P^n - Q^n||_1$, as need to estimate ...

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40 views

### Approximate determinantal point process

Consider a random process defined on $2^{\mathcal{X}}$, i.e. all subsets of a set $\mathcal{X}$.
It's well known that this process is determinantal if one can find a positive semidefinite matrix K, ...

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33 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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42 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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39 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}) ...