# Tagged Questions

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vote

**1**answer

81 views

### Markov chain Monte Carlo: why is non-reversible MC MC not as popular?

I am new to methods for simulating Markov chains in order to sample from the target, unknown distribution. After a couple days of reading, I found out that even though people have realized that ...

**3**

votes

**1**answer

162 views

### An efficient method to find the MLE of the combination of two point processes

I have a point process defined in two parts as follows. Consider first the main process which we call $A$ which is homogeneous Poisson process with conditional intensity
$$\lambda(t) = \mu$$
For ...

**1**

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**0**answers

94 views

### random walk with reflecting barriers [closed]

Consider a random walk on the line 1,...,d. You start at point 1. At each step you flip a coin: heads means go left, tails means go right. If you're at 1 and get a heads, just stay where you are (same ...

**1**

vote

**0**answers

214 views

### Inflated independent samples for Monte Carlo estimation

In my particular problem, running an MCMC is too expensive, so I'm looking for a simple MC estimator, which would partially inherit the correlated samples of MCMC, yet would not require computing ...

**2**

votes

**1**answer

63 views

### Why does differencing create wide-sense stationary time series?

In time series analysis, a common assumption made is that the series is wide-sense stationary, ex. that it has time invariant mean and covariance. However, as this is often not the case in real life, ...

**0**

votes

**1**answer

225 views

### Generating independent random variable from two correlated random variables

Suppose two random variables $X$ and $V$ are given. I am wondering what kind of condition we need to impose on joint distribution of $V$ and $X$ to make sure that there exists a random variable $Z$ ...

**5**

votes

**1**answer

104 views

### Deviation bound for the maximum of the norm of Wiener process

Let $W(t)$ be an $n$-dimensional Wiener process. Denote by $\chi_n^2$ a chi-squared random variable with $n$ degrees of freedom. I have recently found the following inequality given without proof:
$$
...

**0**

votes

**0**answers

71 views

### Eigen value distribution of autocorrelated Wishart matrix

Suppose the matrix W is constructed as $W=XX^T$ where $X_i(t) = \phi_i X_i(t-1) + a_i(t)$, and $a_i(t)$ ~ $N(0,1)$. I am interested in knowing the eigen value distribution of W. My google search on ...

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**0**answers

57 views

### Stochastic process inference from partial observations

Consider a set $U$. My signal is a piece-wise constant "function"
$Sig: t \mapsto s$, i.e. the signal at time $t$ equals to some subset
$s \subset U$. One can see $Sig(t)$ as a stochastic process.
...

**4**

votes

**1**answer

134 views

### diffusions corresponding to estimators

I am an undergraduate math student preparing my thesis. Currently I am reading L.D Brown's (1971) paper Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems. Here is a ...

**2**

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**1**answer

153 views

### Empirical estimator fot the total variation distance on a finite space

I have two probability measures $p$ and $p'$ on a finite set $X$ which I do not know precisely, but which I can sample from. I would like to estimate their total variation (omitting multiplier $2$):
...

**4**

votes

**0**answers

271 views

### Inverse Fourier Transform involving a Bessel Function, Exponential, and Power

I'm interested in this integral as a function of $r$ for various spectral densities $S(s)$:
$\frac{2 \pi}{r^{p/2}-1} \int_{0}^{\infty} S(s) J_{p/2-1}(2 \pi r s) s^{p/2} ds $, where $J_{p/2-1}$ is a ...

**2**

votes

**1**answer

82 views

### How to simulate random paths of a non-homogeneous continuous-time Markov process with discrete state space for a given infinitesimal generator matrix?

Let $X=(X_{t},t \in T)$ be a non-homogeneous, continuous time Markov process with a finite state space S={1,...,K}.
Let $\alpha_{i,j}(t)$ be the hazard rates of some $\varGamma$-distributed random ...

**4**

votes

**0**answers

63 views

### Importance sampling of finite path of stochastic difference equation

Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ ...

**3**

votes

**2**answers

290 views

### Probability distribution for two-state system that depends on residence time

I am a statistical physicist, and I've come across a problem that I don't know how to solve. I believe my issue lies with how to formulate it mathematically. I'd be very grateful for any assistance, ...

**3**

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**0**answers

95 views

### A simplified MCMC / MH algorithm. Are there known convergence results?

Hi, I hope this isn't too basic. We were working on a simulation using a Monte Carlo Within Metropolis algorithm and noticed that the whole thing could be expressed in the form below and simplified ...

**5**

votes

**1**answer

132 views

### Do there exist (almost surely) $C^{\infty}$-smooth Gaussian random fields?

Let $d \ge 1$. Do there exist Gaussian random fields on $\mathbb R^d$ which are (almost surely) $C^{\infty}$-smooth, but which are not analytic?
If so, what are necessary and sufficient conditions ...

**0**

votes

**0**answers

81 views

### Markov renewal process with failure?

I hope this question is not too elementary for this site, and that it contains a sufficient degree of detail.
I have a problem where I want to model sequences of variable length $\boldsymbol{e}_i = ...

**1**

vote

**1**answer

197 views

### Kalman Filter…Denoising measurement data to track objects

Hi Everyone,
I am about to implement a Kalman Filter in a software.
I found this very helpful article here:
http://bilgin.esme.org/BitsBytes/KalmanFilterforDummies.aspx
The example helps a lot, ...

**1**

vote

**1**answer

207 views

### Extending Wald's equation to two classes of i.d. random variables?

I try to adopt Wald's equation to a slightly more complex problem. In fact, after a full day, I found some solution now, but it has a confusing argument in the middle. Perhaps somebody can help me at ...

**1**

vote

**0**answers

151 views

### Universal Correlation measure â€” ranking correlations

I have time series data of experimental observations for two related processes. I want to measure correlation for use in further analysis.
Correlation of the series changes over time and across ...

**1**

vote

**0**answers

108 views

### time derivative of the median of a stochastic process

Suppose you have a cumulative distribution that is changing with time, namely $ P_t(x) $. Assume $ P_t $ is monotone increasing and smooth enough so that we can define $ x_t(P) = P_t^{-1} $. We want ...

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votes

**4**answers

1k views

### Recent impressive combinatorial developments in probability theory

In the preface to the second edition of Daniel Stroock's book "Probability Theory: An Analytic View", there is this striking claim (on p. xv)
... I suspect that, for at least a decade, the most ...

**2**

votes

**1**answer

356 views

### MCMC with progressive demollification of delta distributions

Edit: I simplified the example to a canonical case for clarity.
Given an integral $\int_{\Omega}{g(\mathbf{x})}$ with a well-posed integrand $g(\mathbf{x})$ defined on some multidimensional space ...

**4**

votes

**1**answer

193 views

### Hyperplane arrangements and covering numbers

Let $H$ be a set of $(d-1)$-dimensional hyperplanes in $\mathbb{R}^d$. For each hyperplane $h \in H$ let $D(h)$ and $\bar{D}(h)$ be the corresponding half spaces of $\mathbb{R}^d$. For a point $x ...

**0**

votes

**1**answer

79 views

### multimodal circular model

Hi, can someone provide me with a list of probability models that is akin to Von Mises but consists multiple (potentially infinite) modes that takes into account attractors in the entire 2-D spatial ...

**1**

vote

**2**answers

243 views

### Gibbs sampling step size

I have some data generated using MCMC methods and in particular Gibbs sampling. I computed the autocorrelation but I'm unsure how to determine how many samples to skip.
I'd like to determine that ...

**4**

votes

**2**answers

555 views

### Are Gaussian Processes more important than other stochastic processes?

I am doing a course at university and it deals with Gaussian Processes mainly. We use them for fitting data and prediction, machine learning, regression, classification. Is there any particular reason ...

**2**

votes

**0**answers

315 views

### Estimating Wiener process parameters

Consider a Wiener process with zero drift, infintesimal variance $\sigma^2$, and an unknown starting value $\nu$. That is,
\begin{align}
Y_t \sim \mathcal{N}(\nu, t\sigma^2).
\end{align}
Now, ...

**0**

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**0**answers

174 views

### The spectral representation and isotropic covariance functions

Caveat: My apologies if this question is poorly phrased. I am an engineer/computer scientist teaching myself mathematics.
The spectral representation of the covariance function of a second order ...

**4**

votes

**3**answers

682 views

### Kolmogorov probability axioms without non-negativity condition

What is a minimal consistent modification of probability axioms to include negative values?
Is it enough to use a minimal modification of axioms obtained by
formal exclusion of non-negativity ...

**9**

votes

**1**answer

3k views

### Coin Pusher Game

While doing laundry at my local laundromat, I saw a coin pusher game. Below is a picture, and here is a video depicting how it works (disregard non-coins).
Essentially, one has a distribution of ...

**1**

vote

**0**answers

650 views

### Moments of function of Poisson process

(I'm new to Poisson processes, so please edit if my terminology is incorrect.)
Edit: per comments, here is a (more) general version of the originally posted problem (which is now at the bottom, below ...

**21**

votes

**2**answers

904 views

### Drawing natural numbers without replacement.

Suppose we start with an initial probability distribution on $\mathbb{N}$ that gives positive probability to each $n$. Let's call this random variable $X_1$ so we have $P(X_1=n)=p_{1,n}>0$ for all ...

**4**

votes

**1**answer

963 views

### Squared residuals versus just residuals?

In statistics (in particular time series analysis, like ARCH/GARCH models) I've noticed that residual diagnostics usually look at autocorrelation of residuals and squared residuals. Why both? What ...

**4**

votes

**3**answers

392 views

### Averaging over random walk on binary lattice

I have a function $f$ defined over a bit vector of length $n$. Equivalently, this is a function defined on the set of integers $[0,\ldots,2^n-1]$. I would like to compute the mean or variance or some ...

**1**

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**1**answer

806 views

### Derivative of a differentiable stationary Gaussian process

Thanks for your help in advance. I'm interested in understanding the properties of derivatives of a differentiable stationary Gaussian process. Specifically, is the derivative also a Gaussian ...

**1**

vote

**1**answer

649 views

### Autocorrelation of a ±1-valued random process with certain statistics

Suppose $f(t)$ is a continuous-valued, zero-mean stochastic signal with Gaussian autocorrelation (with variance $\sigma^2$). Suppose I then pass this signal through a step function, producing a new ...

**3**

votes

**1**answer

381 views

### Stationary non-isotropic spatial stochastic processes

I asked this question in math.stackexchange but got no response;
Are there any interesting examples of second order stationary processes on ${\mathcal R}^2$ or ${\mathcal R}^3$ that are not ...

**3**

votes

**2**answers

418 views

### An Upper Bound for the Average of Top Order Statistics

The following problem arises when we try to bound the expected offline optimal value of a simple online assignment problem with random values and unit weights, by its deterministic approximation.
The ...

**1**

vote

**2**answers

118 views

### is there an interpretation to the inverse of $I-M$ in multitype branching process, where $M$ is the mean matrix?

Assume we have a multitype branching process, i.e., we have a mean matrix $M_{ij}$ and $M_{ij}$ is the expected count of generating $j$ from $i$ in one time step, i.e.:
$M_{ij} = \sum_{r} n(r,j)P(r | ...

**58**

votes

**9**answers

10k views

### Is there a natural random process that is rigorously known to produce Zipf's law?

Zipf's law is the empirical observation that in many real-life populations of n objects, the $k^{th}$ largest object has size proportional to $1/k$, at least for $k$ significantly smaller than $n$ ...