The tag has no usage guidance.

learn more… | top users | synonyms

25
votes
0answers
2k views

When should we expect Tracy-Widom?

The Tracy-Widom law describes, among other things, the fluctuations of maximal eigenvalues of many random large matrix models. Because of its universal character, it obtained his position on the ...
18
votes
0answers
518 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
votes
0answers
686 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 $i$. ...
8
votes
0answers
507 views

1-Wasserstein distance between two multivariate normal

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by ...
6
votes
0answers
98 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 ...
6
votes
0answers
433 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
votes
0answers
69 views

Joint cumulants of $Z_2^n$ characters

Let $f_{c}:Z_2^n \rightarrow \{-1,1\}$ be the character defined as $f_c(x) = (-1)^{<x,c>}$, where $c,x \in Z_2^n$. It is easy to see that since $f_{c_1}\cdot\ldots\cdot f_{c_k} = f_{c_1 \oplus ...
5
votes
0answers
141 views

Extrapolation between longest increasing and longest alternating subsequences

The question When should we expect Tracy-Widom? motivated me to post the following question, in which I have been interested for a while. Let $f(n)$ be a function from the positive integers to ...
5
votes
0answers
130 views

Elementary function relative to erf

The modified Bessel function of the 1st kind $I_0$ is defined by $$ I_0(z)=\frac1\pi\int_0^{2\pi}e^{z\cos\theta}\,d\theta $$ and arises, among other places, in the probability density function of a ...
5
votes
0answers
175 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
votes
0answers
180 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
votes
0answers
152 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 ...
5
votes
0answers
507 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
votes
0answers
73 views

Concluding that the Poisson kernel is indeed the Cauchy distribution?

See here. Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, ...
4
votes
0answers
96 views

Dimension reduction for low-order moments of Rademacher-weighted sums of vectors

Let $x_1,\dots,x_n$ be vectors in a Euclidean space $H$. Let $\varepsilon_1,\dots,\varepsilon_n$ be independent Rademacher random variables (r.v.'s), so that $P(\varepsilon_i=\pm1)=1/2$ for all $i$. ...
4
votes
0answers
328 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, ...
4
votes
0answers
51 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) = ...
4
votes
0answers
245 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
votes
0answers
180 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
votes
0answers
283 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, ...
3
votes
0answers
80 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 }} ...
3
votes
0answers
149 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 $i,j$, ...
3
votes
0answers
77 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
0answers
1k 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 $k<d$) ...
3
votes
0answers
2k 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 ...
3
votes
0answers
294 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 ...
3
votes
0answers
162 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
votes
0answers
66 views

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 ...
2
votes
0answers
87 views

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 ...
2
votes
0answers
39 views

What is the Blumenthal-Getoor index of Student's distributions?

For infinitely divisible random variables, Blumenthal and Getoor introduced in [1] an index that allow to study for instance the local Hölder regularity of Lévy processes. For an infinitely divisible ...
2
votes
0answers
41 views

A canonical example of the non-existence of predictive probability distribution

Section 3 of Fortini et al. (2000) states that Given $(X^\infty, \mathcal X^\infty,P)$, a predictive probability distribution of $x_n$ given $(x_1, \dots, x_{n-1})$ with respect to $P$ need not ...
2
votes
0answers
29 views

Terminology for research on distributions of inner products

Consider a set of vectors $M$ from an inner product space $V$. The ordered set of inner products of all pairs of elements in $M$ uniquely characterizes $M$ up to isomorphism. Suppose now that $V$ is ...
2
votes
0answers
46 views

Writing a function as a sum of functions of bounded diameter

This problem is distilled from one arising in a study of complex random variables, but I've removed as much baggage as I can without (I hope) making it trivial. Fix $D>0$. A function $f:\mathbb ...
2
votes
0answers
57 views

expectation involving normal pdf and Rayleigh distribution

I need to calculate following definite integral \begin{equation*} \frac{1}{2\pi }\int_0^\infty \frac{x^2 e^{-x^2/\sigma^2 } }{\sigma} \frac{e^{-\frac{\lambda}{{ax^2+b}}}}{\sqrt{ax^2+b}} ~~dx. ...
2
votes
0answers
57 views

Compute the smoothing of functions

Given a function $g:R^d\rightarrow R$, which is not necessarily continuous, I want to compute the "smoothing" of $g$, i.e., $G(\vec{y})=\int_{R^n} g(\vec{x}) f_{\vec{y}, \sigma}(\vec{x}) d\vec{x} $ ...
2
votes
0answers
97 views

Implication of MGF inequality

Let X and Y be two random variables. Denote by $F_X(x)$ and $F_Y(y)$ their CDFs and by $M_X(t)$ and $M_Y(t)$ their MGFs. It is known that X and Y have the same CDF iff they have the same MGF. My ...
2
votes
0answers
37 views

logconcave distribution $f(t)$ leads to concave moments $\mu(x)$. logconvex distribution $f(t)$ leads to convex moments $\nu(x)$?

Let $$\mu_x=\frac{1}{\Gamma(x+1)}\int_0^{\infty}u^x f(u) du \tag{1}$$ Suppose that $f(u)>0$ when $u>0$ and $f(u)\to 0$ fast enough when $u\to\infty$ so that $\mu_x,-1<x<\infty$ ...
2
votes
0answers
100 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 $K$, ...
2
votes
0answers
210 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 ...
2
votes
0answers
229 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 ...
2
votes
0answers
107 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 $1$ ...
2
votes
0answers
119 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, ...
2
votes
0answers
204 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 ...
2
votes
0answers
89 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 ...
2
votes
0answers
43 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 ...
2
votes
0answers
62 views

Angular distribution for Gaussian vector with non-zero mean

The angular central Gaussian distribution (ACG) is the distribution of $\frac{\mathbf{x}}{\|\mathbf{x}\|}$, when $\mathbf{x}\sim\mathcal{N}\left(\boldsymbol{0},\mathbf{A}\right)$, where $\mathbf{x}$ ...
2
votes
0answers
53 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 ...
2
votes
0answers
91 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 ...
2
votes
0answers
52 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 ...
2
votes
0answers
41 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 ...