**2**

votes

**0**answers

61 views

### Smallest distribution of points with genuinely different clusterings

An hierarchical clustering algorithm for (finite) sets of points in a given metric space is essentially determined by its linkage criterion, which defines the distance between arbitrary (finite) sets ...

**3**

votes

**2**answers

163 views

### expectation of log(x+a) when X follows a beta distribution

Is there a closed form expression for the expectation of $\log(x+a)$ (with $a>0$, the case $a=0$ is obvious) when X follows a beta distribution?

**2**

votes

**2**answers

104 views

### estimating variance of dependent normal distributed data

Let $X_{ij}$ with $1\leq i<j\leq n$ (that are $X_{12},\dots, X_{1n},\dots,X_{(n-1)n}$) be ${n \choose 2}$ identically normal distributed $N(0,\sigma^2)$ such that
$
\text{corr}(X_{ij},X_{rs})=\rho
...

**0**

votes

**2**answers

104 views

### Determine joint distribution from projections

Let $X=(X_1,\dots,X_d)$ be a random vector, and a.s. $X \in [0,1]^d$. Suppose that for every $a \in \mathbb{R}^d$, we know the probability distribution of the random variable $Y_a = <a,X>$. My ...

**2**

votes

**0**answers

119 views

### MLRP of random variables and order statistics

Suppose we have $N$ independent random variables $X_1, \cdots, X_N$ drawn from $f_1 > \cdots > f_N$ where $f_i > f_j$ indicates that $f_i$ and $f_j$ satisfy the monotone likelihood ratio ...

**11**

votes

**0**answers

296 views

### What kind of random matrices have rapidly decaying singular values?

I've been told that in machine learning it's common to compute the singular value decomposition of matrices in order to throw out all information in the matrix except that corresponding to, say, the ...

**1**

vote

**1**answer

82 views

### ordinary least square and random projection

Let $X$ a $d \times T$ given matrix and $M$ a $n \times d$ random matrix (say i.i.d. centered coefficients). Define $Y=MX$ in $\mathbb{R}^n$ and $H=Y'(YY')^{-1}Y$ where $'$ denotes the transpose ...

**5**

votes

**3**answers

556 views

### Deconvolution of sum of two random variables

Let $Z = X + c \cdot Y$ where $X$ and $Y$ are independent random variables drawn form the same distribution given by the pdf $g()$ and $0 < c < 1$
I have observations of $Z_i$'s and thus can ...

**3**

votes

**1**answer

203 views

### How to perform Importance Sampling with Prior Information

Let us define a random variable $X$ with density function $p(x)$. We wish to calculate $\mathbb{E}[f(X)] = \int f(x)p(x)dx$. We can compute the expectation by Monte Carlo simulations as
...

**2**

votes

**1**answer

267 views

### What are the Reasons for the Ambiguous Meaning of “Distribution” in Mathematics

The term "distribution" is commonly associated with statistics and, less commonly known, to generalized functions.
Questions:
what is known about the origin of the term in the two fields?
are the ...

**0**

votes

**1**answer

325 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 $Z$ ...

**1**

vote

**0**answers

234 views

### Incoherence of the row/column span

Due to V.Chandrasekaran., et al (p.11) : In general for any $k$-dimensional subspace of $A_{n×n}$ we have that:
$$\sqrt{(k/n)} \leq incoherence(A)\leq 1$$
where the lower bound is achieved (for ...

**1**

vote

**1**answer

291 views

### Sum of covariance matrix of products of dependent variables

Consider the sequences of random variables $\{X_i\}_{i=1}^n$ and $\{Y_i\}_{i=1}^n$, as well as the corresponding sequence of products, $\{X_i Y_i\}_{i=1}^n$. All $X_i$ share the same mean value, ...

**4**

votes

**2**answers

249 views

### Estimate on gaussian distribution

Let X be an $\mathbb R^d$-valued random variable with distribution $N_d(0,\Sigma)$. I'm looking for a function $f$ such that
$$P(|X_1|\leq M, |X_2|\leq M,\dots, |X_d|\leq M)\geq f(M),$$
and such that ...

**16**

votes

**6**answers

1k views

### Is a fair lottery possible?

I'm trying to come up with a scheme for a lottery where each individual has roughly the same chance of becoming the winner, regardless of the number of tickets one holds. So no individual should have ...

**14**

votes

**2**answers

402 views

### How to sample uniformly from singular matrices

I would like to uniformly sample from all singular $n$ by $n$ Bernoulli matrices (that is each entry is $1$ or $0$ with probability $1/2$). I could of course just sample from all $n$ by $n$ Bernoulli ...

**2**

votes

**0**answers

79 views

### sufficient statistics and isometries

Let $(M,g)$ be an infinite dimensional statistical manifold with the Fisher information metric $g$. Is it true that any isometry on this manifold must correspond to a sufficient statistic?

**4**

votes

**1**answer

181 views

### Consecutive Primes mod 3

Is anything known asymptotically about the binary "primes mod 3" sequence besides Dirichlet's result that 1 and 2 occur half of the time? For example, can you prove that it does not eventually cycle ...

**3**

votes

**0**answers

246 views

### Maximization of a total variation distance subject to another total variation distance in Markov chain

Suppose two dependent random variables $X$ and $V$ from finite alphabets $\mathcal{V}$ and $\mathcal{X}$ with known joint and marginal distributions are given. Let $P_{XV}$ and $P_X$ and $P_V$ are the ...

**8**

votes

**2**answers

398 views

### Inequality in information theory

I am reading the paper "chain independence and common information" (http://ttic.uchicago.edu/~yury/papers/independ.pdf). In this paper, an inequality is used several times (without proof) which looks ...

**3**

votes

**0**answers

157 views

### Quantile convergence

Let $X^1,\dots,X^n$ be a sample of (not necessarily iid) random variables and denote
$$F^n(x)=\frac{1}{n}\sum_{i=1}^n \mathbf 1_{X^i\leq x}$$
the empirical distribution function. Suppose that we know ...

**4**

votes

**1**answer

131 views

### Weak ergodicity of nonhomogenous products of 0-1 matrices

Here is a question which probably has a negative answer, but I couldn't find any literature directly on it.
Let $(A_n)$ be a sequence of rectangular 0-1 matrices (that is, the entries are restricted ...

**0**

votes

**0**answers

91 views

### Monte carlo Method to estimate a proportion

I'd like to use Monte Carlo method to estimate a proportion and I'd like to be sure my idea is correct mathematically speaking.
Let a pool full of red and blue balls.
I'd like to estimate the ...

**5**

votes

**1**answer

112 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:
$$
...

**5**

votes

**3**answers

265 views

### How do you call the problem of approximating a continuous distribution with a simple discrete distribution?

The following problem came up on the Mathematica forum as "Generating a list of integers that roughly satisfy a distribution": Given $n$, find $n$ integers (possibly with duplicates) whose ...

**0**

votes

**1**answer

129 views

### Expected rank of players in a Bradley-Terry round-robin tournament

Let $[n]$=$\{1,\dots,n\}$ be a set of players in a round-robin tournament. Each player $i$ has an associated skill parameter, $\lambda_{i}$, and the probability that player $i$ defeats player $j$ is ...

**1**

vote

**0**answers

90 views

### What is the range of a positive random variable after whitening?

Let ${\bf x}\in\mathbb R^N$ be a positive multivariate random variable, i.e.
$$x_i\in [0,\infty).$$
What is the range after whitening, i.e. the range of ${\bf y} = \sqrt{C}^{-1}{\bf x}$ with the ...

**0**

votes

**0**answers

89 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 ...

**1**

vote

**2**answers

357 views

### Proof of Von Neumann's debiasing algorithm

Assume you have a source of random binary information that has a bias but no correlation between consecutive bits. John von Neumann describes an algorithm to debias the random source and output a ...

**1**

vote

**0**answers

63 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.
...

**3**

votes

**1**answer

151 views

### Equivalent method for maximum likelihood estimation of covariance parameters

My goal is to estimate the parameters of a covariance matrix $\Omega$, by maximizing the following log-likelihood function:
$$\log L(\vec\tau, \rho, \sigma \mid W, X) = -m\ln(\left | \Omega \right |) ...

**3**

votes

**2**answers

398 views

### What is the maximum entropy distribution on the natural numbers?

On the reals $\mathbb{R}$, the maximum entropy distribution with a given mean and variance is the Gaussian distribution.
Let $\mu, \sigma > 0$. What is the maximum entropy distribution on the ...

**4**

votes

**3**answers

682 views

### Online estimation of covariance matrix

I am trying to dynamically estimate the (low-dimensional) covariance matrix ${\mathbb E}[{\bf x}_t{\bf x}_t^\top]$ of a stream of data points ${\bf x}_t\in{\mathbb R}^N$ online, without any memory. ...

**1**

vote

**0**answers

126 views

### Uniform Law Of Iterated Logarithm for VC classes

Kenneth Alexander proved a uniform Law Of Iterated logarithm for Vapnik-Chervonenkis classes in the article Probability Inequalities for Empirical Processes and a Law of the Iterated Logarithm (Ann. ...

**1**

vote

**0**answers

65 views

### Small ball probabilities for functions of correlated normals

Let $f : \mathbb{R}^k \rightarrow \mathbb{R}$ and let $X$ be distributed k-dimensional normal with mean $0$ (with "arbitrary" covariance matrix). I am looking for references with bounds of the form: ...

**16**

votes

**1**answer

916 views

### Gini Coefficient and Renyi Entropy

Gini coefficient (aka Gini Index) is a quantity used in economics to describe income inequality. It is 0 for uniformly distributed income, and approaches 1 when all income is in hands of one ...

**2**

votes

**1**answer

154 views

### Concentration rates for the posterior distribution

Sanov's theorem and Dvoretzky–Kiefer–Wolfowitz's inequality tell us how fast the empirical distribution concentrates around the true underlying probabilty distribution.
What is known about the ...

**3**

votes

**2**answers

227 views

### Bounding the tail of an average using the the tail of individual members

Let $X_1,X_2,\ldots,X_n$ be an i.i.d. sequence of $n$ positive random variables with mean $E[X_1]=\mu_X<\infty$ and the second moment $E[X_1^2]=\infty$.
I am interested in upper-bounding ...

**3**

votes

**1**answer

157 views

### Statistical models in terms of families of random variables

A statistical model is a function $P : \Theta \to \Delta(X)$, where $\Theta$ is a parameter space, and $\Delta(X)$ is the set of probability measures on a state space $X$.
Suppose that $\Theta$ and ...

**0**

votes

**1**answer

324 views

### Size of KL-divergence neighbourhoods

I am new here. I was reading another
post
here and this got me wondering what can be said about the size of the following kl divergence neighborhoods.
Consider these two kl-divergence neighbourhood ...

**-2**

votes

**1**answer

122 views

### Forms of multivariate CLT [closed]

I am looking for a good reference for differnt kinds of multivariate central limit theorems. I was wondering how far the i.i.d. condition of the standard multivariate clt can be relaxed, as in can the ...

**4**

votes

**0**answers

118 views

### Pettis Integrability and Laws of Large Numbers

Let $(\Omega, \mathcal F, \mathbb P)$ be a probability space, and let $V$ be a topological vector space with a dual space that separates points. Let $v_n : \Omega \to V$ be a sequence of Pettis ...

**1**

vote

**1**answer

101 views

### Independence of Eigenvalues of Wishart

This question regards a previous post, but it is not immediately obvious the two are related, so I ask it anyways: are the eigenvalues of a Wishart matrix $\mathbf{S}$ $=$ ...

**5**

votes

**3**answers

473 views

### Concentration inequalities for the maximum of the rescaled/normalized sum of iid random variables

I am interested in concentration inequalities for the maximum of the rescaled/normalized sum of iid random variables.
Let $X_1,..., X_n$ be i.i.d random variables, $S_n$ their centered sum and $M_n$ ...

**4**

votes

**0**answers

287 views

### Probability distribution function for singular value sum of Gaussian random matrix

Let $\mathbf{X}$ be an $N \times N$ random matrix with IID Gaussian entries. They can be standard normal, but $N$ is not large: that is $N$ $<$ 6, typically. Call its singular value decomposition ...

**2**

votes

**1**answer

632 views

### Order statistics of independent NOT identically distributed random variables

I want to find the p.d.f of the n-th order statistics from a set of independent, but NOT identically distributed random variables $X_1, \dots, X_n$ (the p.d.f. of the $X_i$'s is at hand)

**2**

votes

**1**answer

296 views

### Is this a closed set?

Let $\Theta$ and $X$ be two (Hausdorff) topological spaces. Let $\mathbb P : \Theta \to \Delta(X)$ be a "statistical model", i.e., a continuous function from parameter space $\Theta$ to the space of ...

**3**

votes

**1**answer

126 views

### Variance of central limit distribution for $P(x) \sim 1/x^{1+\alpha}$ for finite but large $N$?

Is it known what the next-to-leading order term is in the variance of the central limit distribution for the average of $N$ variables each of which is distributed according to $P(x) \sim ...

**2**

votes

**1**answer

371 views

### Central limit theorem for $P(x)\sim 1/x^3$ distribution

I have a random variable $x \in (0,\infty)$ with distribution $P(x)$ falling off slowly $P(x) \sim 1/x^3$ for large $x$. So the expectation value $\bar{x}$ is finite but the second moment $\bar{x^2}$ ...

**2**

votes

**1**answer

265 views

### Maximum of a sequence of $n$ positive random variables where variance is an increasing function of $n$

Suppose I have a sequence of $n$ i.i.d. random variables $X_1,X_2,\ldots,X_n$. Each $X_i$ is positive and has variance $\sigma(n)$ that is an increasing function of the number of variables in the ...