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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-2
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0answers
17 views

Can we predict next sample using the existing samples? [on hold]

Suppose that I have 18 data points and I'm sampling 3 data points each time. Suppose that I have 60 samples (each has 3 data points). Can we predict the next sample (of 3 points) from the existing ...
4
votes
0answers
170 views

An integral with respect to the Haar measure on a unitary group

Let $A,D\in \mathbb{C}^{n \times n}$ be diagonal matrices. I need to calculate $$\int_{U(n)}\det{(A-HDH^\dagger)}\,\mathrm{d}H$$ where $dH$ is the unit invariant Haar measure on the group of unitary ...
0
votes
0answers
44 views

Continuous self-information

Let $I(X,Y)$ be the mutual information between two continuous random variables $X$ and $Y$. We have $I(X,Y) = H(X)-H(X|Y)$, and setting $X=Y$ leads to $I(X,X) = H(X)-H(X|X)$. If $X$ was discrete, ...
0
votes
1answer
27 views

distances-based dispersion measuring approach

Is there any known approach or method to measure the dispersion of a set depending on the distances between its points (i.e.: without calculating the average or the mean) ? thanks.
1
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0answers
51 views

Bound the expectation of trace norm of random Hermitian matrix

Suppose $H_i$ are traceless $d\times d$ Hermitians, $X_i$ are Standard normal distribution for $1\leq i\leq d^2$. We would like to bound the following expectation on the trace norm ...
1
vote
1answer
70 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 ...
2
votes
1answer
83 views

Statistical distance between discrete and continuous distributions

Are there any statistical distance functions that are capable of comparing a continuous and a discrete distribution? From reading this list http://en.wikipedia.org/wiki/Statistical_distance the only ...
0
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0answers
24 views

Integral over conditioning variable of a Gaussian

The marginal of a multivariate Gaussian can be computed in closed form, i.e., $p(x) = \int_y \mathcal{N}((x,y);\mu,\Sigma)\ dy$ is simple. But what I need is $L(x) = \int_y \mathcal{N}((x\mid y); ...
1
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0answers
47 views

What are the appropriate statistical methods to assess this type of hypothesis? [migrated]

I have a general question as to which methods are considered "standard" or "best practice" in asssessing the following type of hypothesis. I am running simulations where I generate random graphs ...
3
votes
1answer
100 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: ...
1
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0answers
46 views

Lower bound on difference between polynomials at moderate distance

Fix $r > 0$ and $k, n \in \mathbb{N}$. Also consider a function $f: \mathbb{R}^{d} \rightarrow \mathbb{R}$. Let $x_{1},\ldots, x_{n+1}$ be points chosen uniformly from $[-r,r]^{d}$. For $1 \leq i ...
1
vote
1answer
46 views

PDF of th 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 ...
0
votes
2answers
111 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 ...
0
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0answers
11 views

method/metric of comparing two random samples and their impact [migrated]

I have the following problem - given a set S of N=100000 data elements (time series data from solar observations) I need to extract a random sample R of size n=20 and then for each element in S ...
8
votes
4answers
683 views

What does it mean when we say we have computed a number to a certain accuracy using a probabilistic algorithm?

My intention is to ask a general question about probabilistic (Monte Carlo) algorithms. But to keep things simple, I will focus on a few specific examples. Let me start the discussion with ...
1
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0answers
54 views

limit distribution of multinomial distribution with increasing categories

If $\bf{X} \sim \text{multi}(n,p)$ with $k$ categories, we know $$ \sqrt{n}\left( \frac{\bf{X}}{n} - \bf{p} \right) \rightarrow^D N(0,\Sigma),$$ where $\bf{X}=(X_1,\ldots,X_k)^T$ and ...
1
vote
0answers
28 views

Inverse of the covariance of the estimate of a covariance

I have a covariance matrix, $V_{ij}$, which (for reasons that aren't important) I'm going to call the visibilities. I have an estimator for the visibilities $\hat V_{ij}$, and I've derived that the ...
1
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0answers
34 views

Kaplan-Meier estimator for mixtures

Let $\mathbf F=(F_1,\ldots ,F_m)^\top$ be a vector of continuous CDFs and $W$ is a matrix of weight coefficients, such that: $W\in \operatorname{Mat}_{n\times m}([0,1])$ $\forall i\in [n]:\sum ...
0
votes
0answers
25 views

Coordinates Poisson Cluster parent point

Is there any method to know the position of parent point in 'Poisson Cluster Process'? For information I use data with poisson distribution. data consist of (longitude, latitude, date). I want ...
2
votes
0answers
56 views

Sum of the entries of the inverse covariance matrix

Let $T \in\left(0,1\right)$, $n\in\mathbb{N}$ and $e_n = [1,\ldots,1]\in\mathbb{R}^n$. Consider the covariance matrix $\mathfrak{A}_n = ...
0
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0answers
26 views

How to sample from the ratio between two distributions?

I want to sample a lot of $\theta$s from the density function below: $$ r(\theta) = \frac{prior(\theta)}{Z}\frac{\int p(\theta,z_1)dz_1}{\int q(\theta,z_2)dz_2} $$ where $Z$ is the constant for ...
0
votes
1answer
207 views

Continuity of a Functional

A certain functional $T$ is defined as: $$T(F)=\int_{(0,1)}F^{-1}(s)M(ds)$$ where $M$ is a probability measure with support $[\alpha,1-\alpha]$,for $\alpha>0$. The result that above functional is ...
3
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0answers
133 views

Donsker's Theorem for triangular arrays

I should mention that I already posed this question on Math Stack Exchange, but didn't receive much feedback. Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given ...
5
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1answer
338 views

Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...
6
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0answers
77 views

In what sense is the Bayesian posterior mean a “convex combination”?

I asked this on math.stackexchange with no response, I'm hoping someone here might have something. Suppose I want to estimate $x \in \mathbb{R}^n$ from two signals with zero mean, normally ...
3
votes
1answer
105 views

Characterizing space that preserves positive-definiteness property

Given a symmetric positive-definite matrix $\Sigma$, consider the space $\mathcal{D}$ of diagonal matrices such that $\forall D\in\mathcal{D}$, the matrix $\Sigma-D\Sigma^{-1}D$ is positive definite. ...
1
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0answers
44 views

Finding a general form of the density function when we have a four dimensional random variable

Consider a subject having time of the specific event $T_i$, which is a single sample from a distribution $F_i$ with density $f_i$ and support $[t_{\min},t_{\max}]$, for $i= 1,\ldots,n$. Let these ...
0
votes
1answer
69 views

Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?

Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...
0
votes
1answer
89 views

Expectation of exp(-1/(ax^2)) when x is a standard normal variable and a>0 is a parameter [closed]

I would like to know if the mean value of $\exp(-1/(ax^2)) $ when $x \sim N(0,1)$ and $a>0$ is a parameter is known.
4
votes
1answer
101 views

Earth mover/Wasserstein distance between a pdf and an empirical distribution

This question is inspired by this much older question: Convergence of an empirical distribution w.r.t. the Hellinger distance Let $P$ be a continuous probability distribution on a compact subset of ...
5
votes
1answer
403 views

Strong Law of Large Numbers for arrays of partly dependent random variables

Suppose $X_1$, $X_2$ are two independent real-valued random variables. Let $F$ be a continuous (unbounded) function from $\mathbb{R^2}$ to $\mathbb{R}$. Assume that the necessary measurability and ...
0
votes
1answer
29 views

Is it possible to find an asymptotic distribution for the LRT without the ML estimators being consistent?

I'm reading a comment(last page) to a paper, and the author states that sometimes, even though the estimators (found by ML or maximum quasilikelihood) may not be consistent, the test may be ...
3
votes
2answers
308 views

Consistent price index

This question came out of a discussion with a colleague from economics about price indices. Here is MattF's formulation of the question which differs somehow from the original problem. Let ...
1
vote
0answers
46 views

Is there an efficient algorithm for sampling from the negative hypergeometric distribution? [closed]

I'm writing a small statistics library currently. One of the algorithms I'm implementing has two variants: one that samples the hypergeometric distribution and one that samples the negative ...
2
votes
1answer
73 views

Proof for power-law tail of Poisson-Dirichlet distribution (Pitman-Yor process & Zipf's law)

I'm trying to understand the motivation of using Pitman-Yor (PY) processes in language modeling, in particular Teh's hierarchical LM based on PY processes. A motivation frequently stated in research ...
3
votes
2answers
93 views

Is a function of complete statistics again complete?

suppose $T$ is a complete stats for a parameter $\theta$. Is any function $f(T)$ again complete? It sounds weird but the definition seems to confirm that $f(T)$ is indeed complete..
1
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0answers
34 views

Bounds on Product of CDF or Beta function

I have functions of the form \begin{align} I_i = \int_0^\infty F_0(x)^aF_1(x)^b(1-F_0(x))^c(1-F_1(x))^ddF_i(x)~~~~i = 0,1 \end{align} $F_0(x)$ and $F_1(x)$ are CDFs corresponding to the random ...
2
votes
0answers
50 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 ...
6
votes
1answer
146 views

Closure of random rotations

Are matrix Fisher random variables closed under multiplication? For those unfamiliar with the jargon, let me unpack the terms above and repose my question. This is a question about probability ...
5
votes
3answers
288 views

A. Markov's papers?

A. Markov published several papers on his chains, starting in 1906, so it is written, in the journal: (1) Извѣстія Физико-математического общества при Казанском университете I am surprised by the ...
2
votes
1answer
56 views

Linear least squares with unordered response variable

In the classical linear regression model one considers the equation $$ y = X \beta + \epsilon.$$ I was wondering whether there are also results when the ordering of the response variable $y$ is not ...
0
votes
0answers
58 views

Correlation between spatial variables

I am trying to understand what type of statistical test I can use to check if two or more variables that vary spatially are correlated. Suppose I have data acquired inside a company building, e.g., ...
1
vote
1answer
55 views

How to extend Dirichlet distribution to Dirichlet process

For a Dirichlet process, there are two parameter $\alpha$ and $H$, and the Dirichlet process $X$ is defined as $$(X(B_1),\cdots,X(B_n))\sim Dir(\alpha H(B_1),\cdots,\alpha H(B_n))$$ ...
0
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0answers
22 views

Merging regions of function with similar mean and deviation using statistical test

I have got a question related to statistical tests that I would like to use in a new algorithm I am developing. Given an action space $x$, the algorithm would identify the regions in the function ...
0
votes
0answers
34 views

Distribution of Wishart Sample Eigenvalues for Multiple Roots

I am interested in finding an asymptotic approximation to the latent roots $l_1>\dots>l_p$ of a white noise Wishart matrix $nS\sim W_p(n,I)$ as $n\rightarrow\infty$ (where $p$ is fixed). In ...
2
votes
1answer
61 views

Unbiased sample from a product

Let $X = (x_1,\ldots,x_n)$ be an i.i.d sample from distribution $F%$ and let $y = \prod_{i=1}^n x_i$ Can we derive a randomized, unbiased. estimator $\hat{y}$ of $y$ that on average considers only a ...
5
votes
2answers
286 views

Random Vornoi Diagrams (particular measures)

This is my second question about Random Voronoi diagrams, in my first question was given some excellent advice but i was not clear in explaining what i was looking for. I'm interested to know ...
8
votes
2answers
632 views

Random Voronoi Diagrams

I'm interested in what research has already been done with regards to the statistics of random voronoi diagrams. I have had a look on google scholar and results are a little inconclusive. I'm ...
1
vote
1answer
69 views

Distance between two distribution of image

I am looking for a common distance method to compare two distribution (ex: histogram of image). Please suggest to me some common method to do it. I found some method ex: Bhattacharyya distance , K-L ...
2
votes
2answers
245 views

Distribution of a random walk on a directed line

Is there a closed formula for the distribution of $x_t$ in the following random process, describing a random walk on a directed line? $x_0 = n$ $x_t$ is a uniformly random integer between 1 and ...