**0**

votes

**0**answers

14 views

### Gradient Descent with L2 Norm Regularization [on hold]

So I've worked out Stochastic Gradient Descent to be the following formula approximately for Logistic Regression to be:
$
w_{t+1} = w_t - \eta((\sigma({w_t}^Tx_i) - y_t)x_t)
$
$p(\mathbf{y} = 1 | ...

**4**

votes

**1**answer

80 views

### Negative population variable importance

I asked this question on stats.stackexchange and even elsewhere, but it never received an answer.
I just state the probabilistic problem here. It is about the optimality of the conditional ...

**3**

votes

**1**answer

67 views

### Stochastic Covering Number of a Convex Set

Consider a convex set, say $S = [0,1]^d$. Let $X_1, X_2,\ldots,X_n, \ldots$ be i.i.d. random variables that are uniformly distributed on $S$. Denote the Euclidean ball centered at $x \in \mathbb{R}^2$ ...

**2**

votes

**1**answer

66 views

### Covariance matrix as optimization problem solution?

I have seen the expectation of a random vector expressed as the solution to the optimization problem:
\begin{equation}
\mathbb{E}[X]=argmin_{v \in \mathbb{R}^n}\mathbb{E}[\|X-v\|_{l^2}^2](:= ...

**1**

vote

**2**answers

228 views

### Maximizing the ratio of (weigthed sum)/sqrt(variance_weighted_sum)

I have a weighted sum,
weighted sum = w1*mu1 + (1-w1)*mu2
with
variance weighted sum = (w1^2)*var1 + ((1-w1)^2)*var2 + 2*w1*(1-w1)*cov
in which
mu1 = mean 1;
mu2 = mean 2;
var1 = variance for ...

**-2**

votes

**0**answers

21 views

### AQA A Level Normal Distribution [closed]

The question goes like:
A wholesaler decides to grade such oranges by weight. He decided that the smallest 30% should be graded as small, largest 20% as large and in between as medium.
The ...

**-6**

votes

**0**answers

25 views

### Trouble with an assignment [closed]

Can anyone please be kind enough to help me with this.
On one shelf there are 5 hardcover books and 6 paperbacks and on the other shelf there are 7 hardcover and 4 paperback. From the first shelf ...

**0**

votes

**0**answers

48 views

### continuous vs discrete random walk [closed]

For 1D random walk in discrete case the probability $P_N(X)$ of finding walker at position $X$ after $N$ steps has a binomial distribution, moreover when $N+X$ is odd then probability is 0.
Let's ...

**0**

votes

**0**answers

39 views

### Maximal Correlation with Weak Gaussian Perturbation

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...

**1**

vote

**1**answer

55 views

### Supremum of centered jointly generalized chi-square random variables

Let $\zeta_n$ be a sequence of centered jointly generalized chi-square random variables, i.e. $\zeta_n = \sum_{k=1}^{m_n} a_{k,n}(\xi_{k,n}^2 - E[\xi_{k,n}^2])$, and $\xi_{k,n}$ are centered jointly ...

**5**

votes

**2**answers

104 views

### Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian

This is a question related to the statistical model behind independent component analysis (ICA).
We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...

**1**

vote

**1**answer

563 views

### Null hypothesis test for independent but not identically distributed samples

I'm trying to figure out the best statistical test to use for an edge case I've run into: trying to figure out the likelihood of the null hypothesis for a set of samples that each (potentially) come ...

**4**

votes

**1**answer

405 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 ...

**1**

vote

**0**answers

46 views

### Simulate a graph from a certain distribution

I am wondering if anyone can indicate whether the following is a solved problem. I don't care about time of the algorithm currently.
Consider a general probability distribution F on simple graphs ...

**3**

votes

**1**answer

149 views

### A lottery on coins in a convex set

You play the following game.
You get $4n$ gold coins and have to arrange them in the unit square in general position (no two coins have the same x or the same y coordinate). Call this set of coins ...

**11**

votes

**1**answer

469 views

### Distribution of maximum of random walk conditioned to stay positive

I have an $n$ step random walk which starts at zero $X_0 = 0 = S_0$ where the steps $X_i$ are independent uniform random variates in $[-1,1]$, but the walk is conditioned on the hypothesis that it ...

**10**

votes

**1**answer

152 views

### Probability distribution derived from gamma function - does it have a name?

Consider the complex gamma function, denoted by $\Gamma(\sigma+it)$.
Now, let's fix $\sigma$ and let t vary. Then consider the following expression:
$$|\Gamma(\sigma+it)|^2$$
For any choice of ...

**12**

votes

**0**answers

310 views

### How fast can extreme eigenvalues of the average of random matrices converge to their expectation?

Suppose that $X_1,X_2,\ldots,X_m$ are independent $d\times d$ random matrices and let $\overline{X} := \frac{1}{m}\sum_{i=1}^m X_i$. One of the questions studied under the theory of random matrices is ...

**4**

votes

**1**answer

104 views

### Hellinger integral for the Student/Cauchy family

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral is
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$.
Let now $p$ be ...

**7**

votes

**1**answer

235 views

### A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator

Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as
...

**5**

votes

**0**answers

81 views

### Maximal Correlation versus Correlation Coefficient When one RV is Gaussian

Let a pair of random variables $(X,Y)$ be continuous random variables (i.e., they both have density with respect to Lebesgue measure) with joint distribution $P_{XY}$. The maximal correlation ...

**1**

vote

**0**answers

17 views

### How to find a subset of a matrix that has minimum condition number? [duplicate]

Suppose matrix $A$ is consist of M column vectors, how can we find a subset $B$, consisting of N column of $A$ (N＜M), that has minimum condition number (the ratio of maximum singular value by minimum ...

**1**

vote

**0**answers

89 views

### Monotonicity of the Hellinger integral/distance

Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral and distance are
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$ and ...

**1**

vote

**1**answer

58 views

### “Convergence speed” results for the Langevin process

The Langevin process is defined by the following stochastic differential equation:
$$ \dot X = - \nabla \phi + \sqrt 2 dW_t $$
Its equilibrium distribution is the following:
$$ p_\infty (x) \propto ...

**8**

votes

**2**answers

180 views

### Constructing an independent uniform random variable from two independent ones

Does there exist a continuous (differentiable) function $h:[0,1]\times [0,1] \to [0,1]$ such that if $\alpha,\beta\in [0,1]$ are independent and uniformly distributed on $[0,1]$, the random variable ...

**4**

votes

**1**answer

175 views

### How are the real-space RG transformations defined?

I'm reading Shang-keng Ma's book Modern theory of critical phenomena, and I'm a bit confused as to how the real-space RG transformations are defined. Ma basically says that these transformations are ...

**2**

votes

**0**answers

66 views

### Laplace transform of a integral function of CIR/CEV process

The Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates. Constant elasticity of variance model (CEV) is a stochastic volatility model, which attempts to capture ...

**17**

votes

**3**answers

682 views

### Deceptively simple inequality involving expectations of products of functions of just one variable

For a proof to go through in a paper I am writing, I need to prove the following deceptively simple inequality:
$$(*)\qquad E(X^a) E(X^{a+1}\log X) > E(X^{a+1})E(X^a\log X) $$
where $X>e$ has ...

**6**

votes

**2**answers

486 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

93 views

### Comparison of Parameter estimation using maximum likelihood and Maximum entropy

I am not sure if the question is appropriate but I want to try my luck. One can estimate a parameter using maximum likelihood and we know it is optimal. On the other hand there are methods which uses ...

**4**

votes

**1**answer

157 views

### Random walk with continuously distributed steps on [-1,1]

A simple random walk $S_n = X_1 +\cdots +X_n$, where $P(X_i = 1) = p \not = 0.5$ and $P(X_i=-1)= q \triangleq 1-p$, admits the following probability
$$P(S_n \textrm{ reaches } a \textrm{ before} -b) ...

**5**

votes

**1**answer

83 views

### Rate-Distortion theory: What is the distribution of distortion on an optimal Gaussian encoder?

If we wish to encode a gaussian source, $X\sim\mathcal{N}(0,\sigma^2)$ at rate $R$, then decode it to create an estimate $\hat{X}$, rate-distortion theory tells us that the lowest mean-squared-error ...

**4**

votes

**2**answers

195 views

### Prediction with positive weights?

Consider a covariance function (positive definite function) on $\mathbb{Z}$:
$$
\gamma(k)=(1+|k|)^{-\alpha},\quad \alpha>0.
$$
It is guaranteed to be positive definite by Polya's criterion ...

**0**

votes

**0**answers

35 views

### Calculate the KL divergence between two transition matrices

I want to calculate how different two markov transition matrices are.
For example:
$\begin{pmatrix} .2 & .8 \\ .1 & .9 \end{pmatrix}$
and
$\begin{pmatrix} .3 & .7 \\ .1 & .9 ...

**0**

votes

**2**answers

51 views

### A way to possibly calculate one Binomial CDF function from another closely related one?

Let $y < z$ be two numbers between $0$ and $1$, is there a way to relate the CDF functions $F_{n,y}(s)$ and $F_{n,z}(s)$... or approximate one from another, without just saying $F_{n,z}(s) \le ...

**5**

votes

**1**answer

108 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 ...

**1**

vote

**1**answer

74 views

### An inequality for Maximal Correlation over a Markov Chain

Let a pair of random variables $(X,Y)$ be defined over finite alphabet $\mathcal{X}\times \mathcal{Y}$ with joint distribution $P_{XY}$. The maximal correlation $\rho(X;Y)$ between $X$ and $Y$ is ...

**1**

vote

**0**answers

53 views

### A variance-preserving Boolean function [closed]

Let a random variable $X$ be given with $P_X$ supported over $\mathcal{X}$. What are the necessary conditions for the existence of a boolean function $f:\mathcal{X}\to \{0,1\}$ such that ...

**5**

votes

**1**answer

278 views

### Hypothesis test beyond simple hypotheses (mathematical statistics)

In mathematical statistics, the following problem (simple hypothesis test) is considered: given a data sample, test the hypothesis $H_0$ stating that all sampled values are values of a random variable ...

**27**

votes

**12**answers

11k views

### Why is it so cool to square numbers (in terms of finding the standard deviation)?

When we want to find the standard deviation of $\{1,2,2,3,5\}$ we do
$$\sigma = \sqrt{ {1 \over 5-1} \left( (1-2.6)^2 + (2-2.6)^2 + (2-2.6)^2 + (3-2.6)^2 + (5 - 2.6)^2 \right) } \approx 1.52$$.
Why ...

**25**

votes

**5**answers

4k views

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

After having read Gunnar Carlsson's Topology and Data I feel enthusiastic to use some topological data analysis (TDA) methods in my current research, mostly in social sciences. We often handle huge ...

**2**

votes

**2**answers

504 views

### Multinomial transformation for matrices

Suppose we have a vector of probabilities $\mathbf{p}=(p_1,...,p_n)$, where $p_i>0$ for $i=1,...n$ and $\sum p_i=1$. Define new vector $\mathbf{r}=(r_1,...,r_{n-1})$ in a following way:
...

**1**

vote

**0**answers

36 views

### Relation between Aitchison Distance on a Simplex and Geodesic distance on the multinomial manifold [closed]

I am trying to understand the difference/relation between the Aitchison distance on a simplex
$$\left[ \sum^D_{k=1} (\log{\frac{x_{ik}}{g(\mathbf{x}_i)}} - \log{\frac{x_{jk}}{g(\mathbf{x}_j)}})^2 ...

**0**

votes

**0**answers

76 views

### Hoeffding's lemma for unbounded r.v with bounded exponential map

Let $X$ be a real r.v with $E[e^{\lambda X}] < \infty $ for all $\lambda \in [-c,c]$.
Is it possible to get an Hoeffding's lemma like bound on $E[e^{\lambda(X-EX)}]$. That is, an upper bound: ...

**1**

vote

**0**answers

102 views

### Chain Rule for Maximal Correlation

Let a pair of random variables $(X,Y)$ be defined over finite alphabet $\mathcal{X}\times \mathcal{Y}$ with joint distribution $P_{XY}$. The maximal correlation $\rho(X;Y)$ between $X$ and $Y$ is ...

**1**

vote

**0**answers

50 views

### Monte Carlo Simulation - efficient simulation of tail outcomes [closed]

When running Monte Carlo type simulations in situations where you're only interested in tail outcomes, do you know of a way to only simulate those outcomes, so that you can come up with more reliable ...

**1**

vote

**1**answer

111 views

### Independence of two random variable

Let $W$ and $S$ are two positive valued continuous random variable. Suppose
$g: [0,\infty)\rightarrow [0,\infty)$ is a convex function with a constraint that $g$ can't be of the form $g(x)=cx$, $c$ ...

**7**

votes

**4**answers

692 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 $M_n$ ...

**1**

vote

**4**answers

5k views

### Is it alright for STD error bars to be below zero?

I have some statistical data from which I want to graph the means and use the standard deviations as error bars. However this produces a graph with some of the error bars passing below zero. A ...

**5**

votes

**1**answer

270 views

### An Inequality of KL Divergence

Given two probability distributions $P$ and $Q$ defined over a finite set $\mathcal{X}$, one can define the KL divergence between $P$ and $Q$ as
$$D(P||Q):=\sum_{x\in ...