**-1**

votes

**0**answers

21 views

### Variance under time-scaling of sample measurements [on hold]

I am struggling with explain something I read in a Whitepaper. The essence is as follows.
Let's begin with a random variable $X$ defined as number of events in an hours. Further, we assume that $X ...

**1**

vote

**1**answer

170 views

### Computing probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s

This question came up in my research: What is the probability that $Ax\geq0$ where $x$ is a vector of iid gaussians and $A$ is matrix of $1$s and $0$s?
So far I only figured out that I can do Monte ...

**1**

vote

**0**answers

46 views

### Subclass of semimartingales for which all characteristics can be estimated?

I'm going to ask the question for Ito semimartingales rather than semimartingales in general, but more general answers would be great.
An Ito semimartingale is a martingale for which the ...

**2**

votes

**1**answer

36 views

### Reducing eigenvalues of symmetric PSD matrix towards 0: effect on ratios of original matrix elements?

Let $\boldsymbol{S}$ be $k \times k$ positive semi-definite real symmetric matrix with eigen decomposition $\boldsymbol{S} = \boldsymbol{X} \boldsymbol{\Lambda} \boldsymbol{X}'$ ...

**2**

votes

**0**answers

30 views

### Derivation of gradient of SSE in Geodesic Regression

On page 79 (or page 5) of this this paper the gradient of the SSE of the Geodesic model is described explicitly. My question is how are these equitations derived in detail; where can I find the ...

**0**

votes

**2**answers

190 views

### Generalized expression for balls and bins problem

$n$ number of balls are thrown randomly to $m$ number of bins, standing in a row. The balls are labeled as $1,2,3,....n$ and bins are also labeled as $1,2,3,...,m$. The probability of $i_{th}$ ball ...

**4**

votes

**0**answers

76 views

### power laws emerging from the sandpile model

Is there a rigorous proof that the abelian sandpile model generates a power law distribution of avalanche lengths?

**1**

vote

**0**answers

26 views

### Is there a way to find an estimator for this problem?

The Hausdorff metric or measures the distance between between sets of points.
Resource 1: Paper formulates a probabilistic approach for Hausdorff distance:
On Probabilistic Hausdorff matching. I ...

**4**

votes

**1**answer

184 views

### Square root of normal distribution

Let $X$ and $Y$ be independent random variates with the same probability distribution, $P(x)$. Assuming that the product $Z=XY$ is a random variate with normal distribution, say $$f_Z(x) = ...

**0**

votes

**0**answers

26 views

### How do I compute the variance of expected number of fair coin flips for HTH sequence using linear system of equations? [migrated]

Assuming fair coin flips, I know how to compute the expected number of coin flips to see HTH sequence by writing out the linear system of equations from the state transition diagram below.
...

**0**

votes

**0**answers

83 views

### How to decide a value of learning rate for Stochastic Gradient Descent?

I'd like to know how to decide a value of learning rate for Stochastic Gradient Descent (SGD), such as $\eta$ on the following parameter update iteration equation,
$w_{i+1} = w_i + -\eta \nabla ...

**1**

vote

**0**answers

31 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 ...

**5**

votes

**1**answer

209 views

### Reference on (discrete) log-concave probability distributions

A discrete distribution $p$ over $\mathbb{N}$ is said to be log-concave if it satisfies the following conditions:
The support of $p$ is a contiguous interval, i.e. $\exists a \leq b$ s.t. $p_i > ...

**0**

votes

**0**answers

33 views

### Upper bound for chi-square divergence in terms of KL divergence

In my research I need an upper bound for chi-square divergence in terms KL divergence which works for general alphabets. To make this precise, note that for two probability measures $P$ and $Q$ ...

**1**

vote

**0**answers

57 views

### How to fit a stochastic matrix to given data.?

Given a data sequence of noisy observations of a 3-state Markov chain $X$ -- $y_1$,$y_2$,...$y_n$, with two transition matrices $A_1$ and $A_2$ corresponding to different regions (**) in the (unit) ...

**0**

votes

**0**answers

41 views

### Taking power of the integrand in a Riemann-Stieltjie Integral

This is a problem I am trying to solve as part of a calculation for Value-at-Risk.
Given that
$P(X<x)=F(x)=\int_{\theta}F(x|\theta)dG(\theta)=1-\alpha$,
where $F$ and $G$ are CDF's, is there a ...

**2**

votes

**0**answers

154 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 ...

**5**

votes

**2**answers

329 views

### Applications of cohomology to probability and statistics

Are there interesting/useful applications of cohomology (and homological algebra in general) to probability and statistics, or information theory?
By "interesting/useful", I mean "not merely ...

**0**

votes

**0**answers

37 views

### Is a conditional copula invariant under strictly increasing transformations?

currently I am working on conditional copulas and I have a theoretical question. In "An Introduction to Copulas", Nelsen (2006) there is a theorem (2.4.3) which says:
Let $X$ and $Y$ be continuous ...

**2**

votes

**2**answers

95 views

### What is the sum capacity of a scalar gaussian broadcast channel?

"On the Achievable Throughput of a Multiantenna Gaussian Broadcast Channel" by Giuseppe Carie and Shlomo Shamai talks, in part, about the following type of link (paraphrasing):
A transmitter with ...

**1**

vote

**0**answers

31 views

### Is it possible to distinguish between to edge orientation while learning a network structure?

I'm considering the case of learning bayesian network structure using a dataset $\mathcal{D}$ with scoring methods :
$$\mathcal{G}^*=\max_{\mathcal{G}}\text{Score}(\mathcal{G}, \mathcal{D})$$
I'm ...

**1**

vote

**0**answers

23 views

### assumptions on local rademacher complexities

A lot of the work on Local Rademacher complexities of Koltchinskii, and Bartlett for fast rates of convergence is based on Bousquet's version of Talagrand's inequality [1] (Theorem 2.11). However the ...

**5**

votes

**0**answers

101 views

### What's the variance in the Six Degrees model?

Recall the six degrees of Kevin Bacon game. You can even play the game at The Oracle of Bacon, and their search works via Breadth First Search.
I interpret the punchline as saying that if I start ...

**4**

votes

**0**answers

227 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

**0**answers

56 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

**1**answer

32 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**

vote

**0**answers

81 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

**1**answer

99 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

**1**answer

169 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**

votes

**0**answers

42 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); ...

**3**

votes

**1**answer

120 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**

vote

**0**answers

56 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 ...

**3**

votes

**2**answers

169 views

### PDF of the 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

**2**answers

112 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 ...

**8**

votes

**4**answers

711 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**

vote

**0**answers

61 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

**0**answers

30 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**

vote

**0**answers

41 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

**0**answers

26 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

**0**answers

73 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**

votes

**0**answers

28 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

**1**answer

216 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**

votes

**0**answers

136 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 ...

**7**

votes

**1**answer

439 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**

votes

**0**answers

87 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

**1**answer

108 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**

vote

**0**answers

47 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

**1**answer

79 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

**1**answer

92 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

**1**answer

106 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 ...