Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies.

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34 views

how to measure a bidrectional relationship effect on third variable [on hold]

Sorry that my question was unclear: I decide to determine if there is a relationship between two variables (gross national income, X and enrollment, Y) in Country A, between 2000-2007 My results ...
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6 views

What's the definition of multivariate mode? [migrated]

In the case of grouped data where a frequency curve have been constructed to fit the data, the mode will be the value (or values) of x corresponding to the maximum point (or points) on the curve. From ...
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0answers
69 views

Convergence of an rcll process along a random subsequence

I have a process $X_s$, for $s \ge 0$, taking values in a Polish space $T$ with an rcll version where I have shown, for every nonrandom increasing sequence $s_n$, that $X_{s_n} \to c$ in probability, ...
2
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1answer
68 views

What is the order of the constant $K$ in the multidimensional Dvoretzky-Kiefer-Wolfowitz inequality($Ke^{-c z}$)?

Let $F_n$ be the empirical distribution obtained from an i.i.d. sample of the distribution $F:R ^d \to [0, 1]$. Kiefer (1961) shows that the convergence of the empirical distribution is like $$ ...
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0answers
93 views

Limit theorem : reproduce a proof with an adaption from discrete to continuous time

Im considering Theorem 5.2.2 in M. Sørensen "Exponential Families of stochastic processes". The setup is as follows: We have a Levy-Process $X_t$ fullfilling the CLT \begin{align} ...
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0answers
43 views

Literature on transformed Gaussian matrices

I am considering real $n$-by-$m$ matrices of the following type: $$ M=SM^\prime,\\ M^\prime_{ij}\sim^{iid}N(0,1). $$ Here, $S$ is a fixed $n$-by-$n$ matrix and the entries of $M^\prime$ (same size ...
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53 views

Basic Monte Carlo Integral Approximation

On the very first page of a well-known book on Monte Carlo techniques, there is the following statement. Let \begin{equation} I = \int_D g(\textbf{x})d\textbf{x}, \end{equation} where $D \subset ...
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1answer
92 views

Choosing a sample based on where the density function is highest

Is there a name for the following process? Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...
2
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38 views

A question about probabilistic graphical models

Say one is given a probabilistic graphical model and a cut of the underlying graph. Do we know any statements about when and how can one or many of the marginals (of the sources) or the conditionals ...
3
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1answer
107 views

Is there a closed form expression for $E(X e^{-\mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$?

Is there any closed form expression for $E(X e^{- \mu \sqrt{X}})$, where $X\sim Poisson(\lambda)$ and $\mu >0$? If not, is there any tight upper bound for this quantity? Any idea how to proceed?
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2answers
121 views

The necessary sufficient condition for recurrence of a Markovian random walk

Suppose $\sigma_{1},\sigma_{2},...$are i.i.d random variables.$S_{0}=0$. Define $S_{n}=S_{0}+\sum_{i=1}^{n}\sigma_{i}$, then ${S_{n}}$ is a Markovian random walk. I want to figure out the necessary ...
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22 views

Adaptive refinement of integral domain

In electromagnetics we need to calculate the radiated power which is defined as something like $P_r=\int_0^{2\pi}\int_0^{\pi}R(\theta,\phi)\sin{\theta}d{\theta}d\phi$ We already have ...
3
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1answer
106 views

Two minimization problems using singular value decomposition

Posted here too: http://math.stackexchange.com/questions/1711026/two-minimization-problems-using-singular-value-decomposition Let $q_0, q_1:[0,1]\to \mathbb{R}^n$ be two maps whose components are ...
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18 views

Error propagation with black boxes: add uncertainty in quadrature, or use a weighted standard deviation?

I have a measurement $x$ with a known uncertainty $\sigma_m$. I have a black box that can take an error-free measurement $x$ and produce a value $y$ with a known uncertainty $\sigma_{b}$ (which is ...
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34 views

2-step sampling from a conditional density

The setting is as follows: We are given two random variables $X : \Omega \to \mathbb{R}$ and $\Theta : \Omega \to T$ for some 'parameter space' $T \subset \mathbb{R}$, and 1) we know the density of ...
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4answers
785 views

Applications of algebraic geometry to machine learning

I am interested in applications of algebraic geometry to machine learning. I have found some papers and books, mainly by Bernd Sturmfels on algebraic statistics and machine learning. However, all this ...
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18 views

Robust weighted estimator of location

Let $X = (x_1, \ldots, x_n)$ be a sample of i.i.d values. There are several robust estimators of sample location, most notably sample median and Hodges-Lehmann estimator. Now let $W = (w_1, \ldots, ...
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56 views

Norm-averaging reference request

(Apology in advance for the broadness of this question) I recently came across a relatively simple application where I needed to "balance" the "spreaded-out-ness" of a function with the "peaked-ness" ...
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1answer
149 views

connection between the statistical properties of a scalar field and its columns

Consider a scalar field $s:[0,1]^3 \to \mathbb{R}$ and its "column" field \begin{equation} c: [0,1]^2 \to \mathbb{R}: (x,y) \mapsto \int_0^1 s(x,y,z) \,\mathrm{d}z. \end{equation}. What can be said ...
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69 views

An inequality involving conditional variance and its connection to information theory

Given absolutely continuous random variables $(X, Y)$ with joint distribution $P_{XY}$, we construct $Z:=\sqrt{\gamma} Y+N_\mathsf{G}$ where $N_\mathsf{G}\sim N(0, 1)$ and is independent of $(X,Y)$ ...
3
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1answer
127 views

Moment matching on the standard simplex

Let $\vec{\mu}_1, \vec{\mu}_2,\ldots, \vec{\mu}_k \in \Delta^{d-1}$ be $k\ (k\geq 2)$ distinct vectors on the standard simplex, where $$\Delta^{d-1} = \{\vec{\mu}\in R^{d}:\| \vec{\mu}\|_1 = 1,\mu_j ...
3
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1answer
102 views

Learn a distribution from distributions on samples

There's many good ways to learn a distribution $p_X$ of an r.v. $X$ over $k$ symbols given many i.i.d. samples $X_1,\ldots, X_n$. The simplest is to use the sample relative frequencies $\hat{f}_X$ as ...
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33 views

A functional's expectation using both known and unknown pdf

Suppose we have a random variable $X$ with a known distribution $f$ over an interval $[a,b]$ and another r.v $Y$ over the same interval but with an unknown distribution $g$. We also have a functional ...
3
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70 views

How does Jensen Shannon divergence and KL divergence correlate?

I am wondering if there is way to derive the correlation between Jensen Shannon divergence and KL divergence for two distributions: P and Q, in order to show that if JSD(P,Q) decreases, KLD(P,Q) ...
2
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1answer
95 views

An Inequality Regarding the Squared Conditional Variance

Given absolutely continuous random variables $(X, Y)$ with joint distribution $P_{XY}$, we construct $Z:=\sqrt{\gamma} Y+N_\mathsf{G}$ where $N_\mathsf{G}\sim N(0, 1)$ and is independent of $(X,Y)$. ...
5
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3answers
256 views

The mean of points on a unit n-sphere $S^n$

A unit n-sphere is defined as $$\mathcal{S}^n = \{\mathbf{p} \in \mathbb{R}^{n+1}: \|\mathbf{p}\| = 1\}$$ The distance between two points $\mathbf{p}$, $\mathbf{q}$ on $\mathcal{S}^n$ is the ...
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0answers
41 views

Sum of Log AR(1) processes

I have two AR(1) processes that look like this: $x_t=\rho x_{t-1}+\eta_t$ and $y_t=\rho y_{t-1}+\epsilon_t$ where $0<\rho<1$ and $\eta_t \sim N(0,\sigma^2_{\eta})$ and $\epsilon_t\sim ...
1
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1answer
95 views

Do there exist random variables that force transitivity of dependence? [closed]

In general, statistical dependence is not transitive. If $Y$ and $X_{1}$ are dependent, and $Y$ and $X_{2}$ are dependent, then $X_{1}$ and $X_{2}$ are NOT necessarily dependent. However, in some ...
5
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1answer
115 views

Stochastic Covering Number of a Convex Set

Consider a convex set, say $S = [0,1]^d$. Let $X_1, X_2,\ldots,X_n, \ldots$ be i.i.d. random variables that are uniformly distributed on $S$. Denote the Euclidean ball centered at $x \in \mathbb{R}^2$ ...
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0answers
44 views

Maximal Correlation with Weak Gaussian Perturbation

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...
2
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1answer
74 views

Covariance matrix as optimization problem solution?

I have seen the expectation of a random vector expressed as the solution to the optimization problem: \begin{equation} \mathbb{E}[X]=argmin_{v \in \mathbb{R}^n}\mathbb{E}[\|X-v\|_{l^2}^2](:= ...
5
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2answers
125 views

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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0answers
51 views

Simulate a graph from a certain distribution

I am wondering if anyone can indicate whether the following is a solved problem. I don't care about time of the algorithm currently. Consider a general probability distribution F on simple graphs ...
3
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1answer
161 views

A lottery on coins in a convex set

You play the following game. You get $4n$ gold coins and have to arrange them in the unit square in general position (no two coins have the same x or the same y coordinate). Call this set of coins ...
4
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1answer
108 views

Hellinger integral for the Student/Cauchy family

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral is $H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$. Let now $p$ be ...
6
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0answers
103 views

Maximal Correlation versus Correlation Coefficient When one RV is Gaussian

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...
4
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1answer
87 views

Negative population variable importance

I asked this question on stats.stackexchange and even elsewhere, but it never received an answer. I just state the probabilistic problem here. It is about the optimality of the conditional ...
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0answers
17 views

How to find a subset of a matrix that has minimum condition number? [duplicate]

Suppose matrix $A$ is consist of M column vectors, how can we find a subset $B$, consisting of N column of $A$ (N<M), that has minimum condition number (the ratio of maximum singular value by minimum ...
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97 views

Monotonicity of the Hellinger integral/distance

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral and distance are $H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$ and ...
1
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1answer
58 views

“Convergence speed” results for the Langevin process

The Langevin process is defined by the following stochastic differential equation: $$ \dot X = - \nabla \phi + \sqrt 2 dW_t $$ Its equilibrium distribution is the following: $$ p_\infty (x) \propto ...
8
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2answers
194 views

Constructing an independent uniform random variable from two independent ones

Does there exist a continuous (differentiable) function $h:[0,1]\times [0,1] \to [0,1]$ such that if $\alpha,\beta\in [0,1]$ are independent and uniformly distributed on $[0,1]$, the random variable ...
2
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0answers
83 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 ...
17
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3answers
705 views

Deceptively simple inequality involving expectations of products of functions of just one variable

For a proof to go through in a paper I am writing, I need to prove the following deceptively simple inequality: $$(*)\qquad E(X^a) E(X^{a+1}\log X) > E(X^{a+1})E(X^a\log X) $$ where $X>e$ has ...
2
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0answers
43 views

Do product distributions (or graph products) eventually cluster as more products are taken?

Say we have a joint distribution on a finite alphabet $\mathcal{X}\times \mathcal{Y}$. It could be a communication link where we want to send a random message $X$ over a channel, but it gets garbled ...
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0answers
105 views

Comparison of Parameter estimation using maximum likelihood and Maximum entropy

I am not sure if the question is appropriate but I want to try my luck. One can estimate a parameter using maximum likelihood and we know it is optimal. On the other hand there are methods which uses ...
4
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1answer
165 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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0answers
130 views

Calculate the KL divergence between two transition matrices

I want to calculate how different two markov transition matrices are. For example: $\begin{pmatrix} .2 & .8 \\ .1 & .9 \end{pmatrix}$ and $\begin{pmatrix} .3 & .7 \\ .1 & .9 ...
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2answers
53 views

A way to possibly calculate one Binomial CDF function from another closely related one?

Let $y < z$ be two numbers between $0$ and $1$, is there a way to relate the CDF functions $F_{n,y}(s)$ and $F_{n,z}(s)$... or approximate one from another, without just saying $F_{n,z}(s) \le ...
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0answers
54 views

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 ...
4
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1answer
186 views

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 ...