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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9
votes
2answers
277 views

“Fractional sampling” from a probability distribution

My question concerns an operation on probability distributions which has arisen in some applied research. It is well-defined mathematically (at least in a limited context), but I don't know how to ...
1
vote
0answers
85 views

Distribute Monte Carlo samples among dimensions

Simplified problem: Given a $d$-times nested convolution of an input function $g(x):\mathbb{R}\mapsto \mathbb{R}$ with the same band-limited smooth function $f(x):\mathbb{R}\mapsto \mathbb{R}$. I am ...
0
votes
0answers
117 views

Behavior of the sum of the exponents of chi-squared random variables normalized by their maximum

Let $X_1,X_2,\ldots,X_n$ be a sequence of $n$ i.i.d. chi-squared random variables with $k$ degrees of freedom, and denote by $X_\max$ the maximum of this sequence. Furthermore, let $k=\omega(1)$ ...
-1
votes
1answer
62 views

Wishart random variables

I have a question about Wishart random variable. If X follows a Wishart distribution, then does X-Y follows a Wishart Distribution if Y is a Hermitian matrix? Thanks.
2
votes
1answer
382 views

Asymptotic behavior of max of chi-squared distribution

Suppose $X_{\max}$ is the maximum in a sequence $X_1,X_2,\ldots,X_n$ where each $X_i\sim\chi^2_k$ is an i.i.d. chi-squared random variable with $k$ degrees of freedom. Since chi squared distribution ...
0
votes
1answer
133 views

How to calculate eigenvalue density function of $XX^\dagger$ from the density function of X

Let X be a complex random matrix, which has the probability function (drawn from the ensemble) V($XX^\dagger$), where V(x) is some function which guaranties good behavior at infinity. Note the unitary ...
1
vote
0answers
138 views

How far away is the maximum of $n$ i.i.d. chi-squared random variables from the rest of the sequence as $n$ gets large?

Suppose that I have a sequence of $n$ i.i.d. chi-squared random variables with $k$ degrees of freedom $X_1, X_2, \ldots, X_n$, and denote $X_{\max}=\max(X_1, X_2, \ldots, X_n)$. Let $k$ be increasing ...
4
votes
1answer
614 views

What is the maximum-entropy distribution given mean, variance, skewness, and kurtosis?

$X\in \mathbb{R}$. Which distribution $P(X)$ has the highest possible entropy given its expected value, variance, skewness, and kurtosis? Is it an exponential family distribution of the form $P(X) ...
17
votes
5answers
2k views

Inference using Topological Data Analysis: Is it worth it for a regular statistician to learn TDA?

After having read Gunnar Carlsson's http://www.ams.org/journals/bull/2009-46-02/S0273-0979-09-01249-X/S0273-0979-09-01249-X.pdf I feel enthusiastic to use some topological data analysis (TDA) methods ...
0
votes
1answer
111 views

Relating percentiles to moments [closed]

There are at least two ways people look at statistical data: A. For mathematicians, scientists, engineers, economists and such the most familiar distribution parameters would be analytical: mean, ...
8
votes
2answers
698 views

Easier reference for material like Diaconis's “Group representations in probability and statistics”

I'm teaching a class on the representation theory of finite groups at the advanced undergrad level. One of the things I'd like to talk about, or possibly have a student do any independent project on ...
4
votes
1answer
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 ...
1
vote
0answers
101 views

Sum of non-identical categorical random variables

Is there a named distribution for the sum of non-identical categorical random variables? When the categorical variables are i.i.d., the sum is a multinomial distribution. When the categorical ...
2
votes
1answer
164 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 $2$): ...
1
vote
1answer
142 views

What is a likelihood kernel?

The paper, "The Multinomial-Poisson Transformation" by S. Baker (see http://www.math.ntnu.no/inla/r-inla.org/papers/multinomial-poisson.pdf) presents "likelihood kernels" for multinomial variables, ...
1
vote
0answers
101 views

Shrinkage (or Stein's phenomenon) in low dimensions, discrete contexts

I am trying to understand shrinkage, or the Stein phenomenon. As someone without a statistics background, the focus in most introductory presentations on normal distributions and squared error loss ...
1
vote
2answers
241 views

Appropriate histogram comparison distance measure

I am working with hyperspectral image data in R, so I have subset an image to a region of 5000 pixels, each containing a vector 254 bands in length. I would like to cluster this data in order to try ...
4
votes
0answers
164 views

Pair of two-variable polynomial equations of high order

I have the following pair of equations to be solved for two variables $\rho$ and $D$ resulting from a certain Maximum Likelihood Estimation for a time series $X_n > 0$, $n=0, \ldots, N+1$ with $N ...
1
vote
1answer
73 views

Estimating the relation between the covariance of a vector and a monotone function of the same vector

Let $\boldsymbol{X}\in\mathbb{R}^n$ be a random variable with positive entries ($X_i\geq a>0$). I want to characterize the relation between the second moment matrix $\boldsymbol{M}$, defined as $$ ...
1
vote
1answer
134 views

Mean -> Frechet mean, Standard deviation ->?

Given a finite set $A$ of points of a metric space $(X, d)$, I would like to find its mean. A Frechet mean seems appropriate here: $\arg \min_{x \in X} \sum_{a \in A} d(x, a)^2$. I also would like ...
4
votes
0answers
326 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 ...
3
votes
1answer
137 views

Markov Chains based on sampled transition probabilities [closed]

If I have a process that transitions between states with some set, unknown probability, I can sample to find the transition probability. This probability is a sample average, with a well understood ...
-1
votes
1answer
296 views

Rank of covariance matrix whose diagonal elements are same [closed]

Suppose A is a covariance matrix whose diagonal elements are same, i.e. $A_{1,1}=A_{2,2}=\cdots=A_{N,N}$, can we conclude that A is full rank? Suppose the absolute values of the off-diagonal elements ...
0
votes
2answers
120 views

Rewrite optimization objective

Hi, I wanted to ask, under which conditions can one rewrite the optimization objective $\min_x f(x)\;\;\;s.t.\;\;\;g(x) \leq s$ as $\min_x g(x)\;\;\;s.t.\;\;\;f(x) \leq t$ I have particular ...
1
vote
1answer
155 views

Understanding the rationale behind “batch means” estimation

Hello all, I am implementing an MCMC algorithm for my work, and I've come upon something in the literature which I just can't understand. Specifically, I am attempting to estimate the amount of ...
4
votes
0answers
133 views

envelope function for a linear combination of gaussian distributions

Given a distribution $F$ defined as a linear combination of Gaussian distributions: $F = \sum_{i=1}^n C_i*N(\mu_i,\sigma_i)$ with $\sum_{i=1}^n C_i = 1$ I want to find a Gaussian function $Q = ...
1
vote
1answer
99 views

Convergence to a k-dimensional Gaussian vector

Suppose I have a sequence of stochastic processes $X_{N}(t)$, $N=1,2,3,\ldots$ with mean zero and that I know for every fixed $t$, the random variable $X_{N}(t)$ converges in law to a Gaussian random ...
4
votes
3answers
465 views

Incremental entropy computation

After a quick internet search I found no method for incremental entropy computation. Question 1 Let $\{x_i\}_{i=1}^n$ and $\{x_i\}_{i=1+n}^{n+m}$ be two samples and let $S_i^j:=\sum_{k=i}^j x_k$. ...
2
votes
0answers
112 views

Marginalizing multivariate normal over defined interval

Hello everyone, I am trying to obtain an analytic expression for the following Gaussian integral $$\frac{1}{\sqrt{(2 \pi)^n |\Sigma|}} \int \kern-0.2em \cdots \kern-0.2em \int d\mathbf{x}_{\sim i} ...
0
votes
3answers
327 views

Random infinite sequence : Can machines generate truly random sequences. [closed]

Test : "A True Random Sequence Source and a computer producing a certain sequence of numbers are kept in separate rooms and judges try to tell them apart by conducting a series of tests on the ...
9
votes
0answers
218 views

Testing contrasts in statistics: Is this provably a hard problem, or not?

Scheffé's method for identifying statistically significant contrasts is widely known. A contrast among the means $\mu_i$, $i=1,\ldots,r$ of $r$ populations is a linear combination $\sum_{i=1}^r c_i ...
2
votes
1answer
90 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
0answers
65 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 $g:\Bbb R\to \Bbb R$ ...
1
vote
0answers
54 views

Distribution for probability of an incorrect inference based on a comparison of only two samples?

I'm trying to demonstrate the problems of how taking a sample and assuming it reflects the population accurately can be problematic. Imagine say an urn with some large number of balls, black and ...
1
vote
2answers
241 views

A machine learning application question

I am familiar with basic probabilities, random processes but not so much of machine learning methods. This is the problem I am trying to solve. I want to predict the nature of user activity on a ...
0
votes
1answer
117 views

What is the Bahadur-Anderson Algorithm?

What is the Bahadur-Anderson Algorithm, and which book could one read to learn it?
1
vote
0answers
195 views

Joint distribution from multiple marginals

Consider an experiment consisting of a repeated trial with two random Bernoulli (=binary) variables, A and B. Each trial consists of multiple outcomes for both A and B. Each trial has the same number ...
0
votes
1answer
157 views

How to combine correlated signals !? [closed]

Hi everybody There are 11 signals: S_main : The original signal S1 ~ S10 : 10 signals that are correlated to S_main with different correlation coefficients (coeff1 ~ coeff10) Now here's the ...
2
votes
0answers
367 views

Concentration of sum of independent random variables

Let $X_1, ..., X_n$ be i.i.d. sub-Gaussian random variables with mean $0$ and variance $1$. That is, we have $Pr[|X_i| > t] \leq \exp(1-t^2/K^2)$ for all $t>0$ and a parameter $K$. Then we can ...
1
vote
0answers
347 views

Prove that the sum of a certain infinite series is 1

Prove the (numerically-evident) proposition that \begin{equation} \Sigma_{i=0}^\infty f(i) = 1, \end{equation} where \begin{equation} f(i)= 2^{-4 i-6} q(i) \frac{\Gamma(3 i+\frac{5}{2}) \Gamma(5 ...
2
votes
1answer
407 views

correlation for three variables? [closed]

suppose we have three variables here, x,y, z now, what we know is that the correlation between x and z is 0.6, the correlation between y and z is 0.65. Here is the question, is there any formula to ...
3
votes
2answers
317 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, ...
0
votes
3answers
457 views

Probability that one RV will exceed many others

Assume the $1 \times N$ vector $\mathbf X = [X_1, X_2, \ldots , X_N]$ contains i.i.d. normal samples such that $\mathbf X$ has a multivariate normal distribution. Now assume another random variable ...
1
vote
0answers
128 views

Placing Bounds on Correlation/Covariance Through Correlation with an Intermediate Variable

I am trying to make the most of computations that have already been performed in previous steps of an algorithm. Throughout this problem statement I am only mentioning correlation, but I think it is ...
1
vote
1answer
121 views

Transition time in finite voter model

I believe the following problem is related to something called the "voter model" in statistics. This is not my area of expertise so please forgive me if the answers turn out to be well known. ...
1
vote
1answer
145 views

ROC curve with repeated measures

Hi, I have some repeated measures data, one measurement a day for three days in a row, and the measured variable looks normally distributed. I have two groups, the "really ill" and the "not ill after ...
3
votes
1answer
200 views

Exact sampling from 2D Ising model where coupling is constant?

What progress has been made towards sampling from the 2D lattice Ising model with the following Hamiltonian: $H=-J\sum_{\langle i,j \rangle}S_iS_j - \sum_i b_iS_i$ Where the first sum runs over all ...
2
votes
1answer
502 views

Expectation of the trace of an inverse of a random matrix

Given a $N \times M$ matrix $X$ comprised of standard normal entries ($M > N$), I'm interested in approximating $E[trace((XX^T\frac{\gamma}{M} + I)^{-1}]$ in terms of $N, M$ and $\gamma$. ...
2
votes
1answer
233 views

The first eigenvalue of a branching process matrix

Let $M$ be the real square matrix of a typed branching process, such that $M_{ij}$ is the expected value of offspring of type $j$ emanating from type $i$. We know that if the first eigenvalue if $M$ ...
0
votes
1answer
53 views

On Variance Break detection

Say that the variance of a constant mean scalar stochastic process can take finite number of values. The problem is to detect the the point of break in variance as observation data comes in. I tried ...