**11**

votes

**0**answers

234 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 ...

**9**

votes

**0**answers

216 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 ...

**9**

votes

**0**answers

340 views

### Question from an economist: solving a model of traders' behavior with expectations about the future values of the variable they are currently optimizing

Motivation
I am an economist writing a paper for an academic finance journal. My paper is about the behavior of currency traders, who choose the price at which they will sell currency today, based on ...

**8**

votes

**0**answers

256 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 ...

**6**

votes

**0**answers

88 views

### Closure of random rotations

Are matrix Fisher random variables closed under multiplication?
For those unfamiliar with the jargon, let me unpack the terms above and repose my question.
This is a question about probability ...

**6**

votes

**0**answers

219 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 $m$ 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 ...

**6**

votes

**0**answers

221 views

### First Table of Random Numbers

What was the first table of random numbers of any sort?
The best I can do is Tippett and Pearson's Random Sampling Numbers of 1927.
Can anybody identify an earlier table?
Thanks for any ...

**6**

votes

**0**answers

289 views

### Bounding the probability that a random variable is maximal

Suppose we have $N$ independent random variables $X_1$, $\ldots$, $X_N$ with finite means $\mu_1 \leq \ldots \leq \mu_N$ and variances $\sigma_1^2$, $\ldots$, $\sigma_N^2$. I am looking for ...

**6**

votes

**0**answers

926 views

### Blinding a paper : the acknowledgements section

I am about to submit a paper (my first!) to a journal in statistics. There is a requirement to submit a "blinded" version. Should I remove the acknowledgements section too for this? If I do, what are ...

**6**

votes

**0**answers

533 views

### Taylor approximation of a function of a random variable

Suppose we have a random variable $X$ and a smooth function $g$. We want to calculate the expectation value $\mathbb{E}(g(X))$. To be able to write down at least an approximate solution, we perform a ...

**5**

votes

**0**answers

72 views

### Convergence of Maximum Likelihood Estimator

I apologize for the basic question. If $\{p_\theta(x): \theta\in K\subseteq\mathbb{R}\}$ is a smooth family of distributions, then the MLE $\hat{\theta}_n,$ under suitable regularity conditions ...

**5**

votes

**0**answers

136 views

### Inverse moment of the number of inversions of a permutation

Let $\pi$ be a permutation of $\{1,2,...,n\}$. A pair of elements ($\pi_i$,$\pi_j$) is called an inversion if $i$ $>$ $j$ and $\pi_i$ $<$ $\pi_j$. The total number of inversions in $\pi$ is ...

**5**

votes

**0**answers

153 views

### Given that a conditional measure is Gaussian, how bad can the original measure be?

Let $X$ and $Y$ be Banach spaces, and let $\varphi : X \to Y$ be a continuous linear map. Suppose that $\mathbb P$ is a probability measure on $X$ which satisfies the continuous disintegration ...

**5**

votes

**0**answers

119 views

### Positive estimator

Suppose that one knows how to generate (independent) random samples $X_1, X_2, \ldots$ distributed as the random varable $X$ with $\mathbb{E}[X]=\mu \in \mathbb{R}$. It is then easy to construct an ...

**5**

votes

**0**answers

97 views

### Maximum of the norm of k-averages of n iid random d-dimensional vectors

Suppose $X_1, ... X_n$ are i.i.d. random vectors in $d$-dimensional space (i.e., $R^d$) with continuous centrally symmetric density function $f(\cdot)$ (i.e., symmetric with respect to the origin). ...

**5**

votes

**0**answers

486 views

### Multidimensional Berry-Esseen for probability density functions

This is a follow up to this recent question: Berry Esseen type result for probability density functions
There exists a multidimensional version of the usual Berry-Esseen theorem (for cumulative ...

**5**

votes

**0**answers

300 views

### Missing mass estimate

Let $S$ be a finite set with probability distribution $P$. Define the random variable $m_i$ to be the "missing mass" after seeing $i$ iid samples from $S$ under $P$. That is, $m_i$ is the total mass ...

**4**

votes

**0**answers

137 views

### Optimization problem involving Multivariate Normal

I use $\phi(t)$ to describe the standard normal distribution density and $\Phi(t)$ as the normal distribution CDF and would like to prove that for all
$n\geq3$, the function:
...

**4**

votes

**0**answers

113 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 ...

**4**

votes

**0**answers

220 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 ...

**4**

votes

**0**answers

161 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 ...

**4**

votes

**0**answers

273 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 ...

**4**

votes

**0**answers

118 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 = ...

**4**

votes

**0**answers

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 $g:\Bbb R\to \Bbb R$ ...

**4**

votes

**0**answers

172 views

### Has anyone used reflection in bootstrapping methods for one parameter hypothesis tests?

Here's my idea for a bootstrapping method for testing hypotheses about one parameter. Please tell me if you have seen this somewhere before. If not, I'd appreciate pointers for direction of further ...

**4**

votes

**0**answers

1k views

### Using Fisher Information to bound KL divergence

Is it possible to use Fisher Information at p to get a useful upper bound on KL(q,p)?
KL(q,p) is known as Kullback-Liebler divergence and is defined for discrete distributions over k outcomes as ...

**4**

votes

**0**answers

323 views

### A Local CLT with large variance

For n an even integer, $0 \leq i \leq$ ${n} \choose{j}$, $1 \leq j \leq n$ let $X_{i,j}$ be a
random variable taking values $\frac{n}{2}-j,0,j - \frac{n}{2}$ with equal probability. Let $S_{n}$ be ...

**3**

votes

**0**answers

170 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 ...

**3**

votes

**0**answers

113 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 ...

**3**

votes

**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 ...

**3**

votes

**0**answers

133 views

### Find a minimum entropy code for a simple gibbs random field.

Just to make precise what I am talking about, I will include the definition of a minimum entropy code. I will then define the precise markov random field I am asking about.
In the rest of this ...

**3**

votes

**0**answers

94 views

### Is a parametric family which is universally consistent for multiple quantiles impossible?

Suppose I am dead-set on using Bayesian inference on independent and identically distributed data, but I'm lazy and insist on using a parametric likelihood function come what may. I'd be reassured to ...

**3**

votes

**0**answers

271 views

### Another generalized coupon collector's problem

Suppose there are $L$ types of coupons, the probabilities that they appear are $a_1,a_2,\ldots,a_L$ respectively, $\sum_i^La_i=1$. Each of them is associated with a constrain number ...

**3**

votes

**0**answers

453 views

### On error probability bounds in Bayesian hypothesis testing

In the Bayesian version of (binary) hypothesis testing one has to decide which of two hypotheses $A$ and $B$ holds true. The two hypotheses are given prior probability $p(A)$ and $p(B)$, summing up to ...

**3**

votes

**0**answers

184 views

### representing vine copulas

Vine copulas is a way to represent multidimensional distributions (n-densitys)
as a product of the n 1-marginal densities and a product of (n choose 2) bivariate copulas, where som of them are ...

**3**

votes

**0**answers

146 views

### Iterated Kumaraswamy distributions

The Kumaraswamy distribution has cdf $F(x;a,b) = 1-(1-x^a)^b$.
Does anyone know any formulas or properties relating to iterations of this on itself, meaning
$$ F_i(x;a,b) = 1-(1-F_{i-1}^a)^b$$
If ...

**3**

votes

**0**answers

484 views

### A combinatorial bound involving Stirling numbers of the second type

My previous question was solved in a very elegant way, hopefully this (seemingly more complicated) case is also easy for experts.
I need the inequality
...

**3**

votes

**0**answers

136 views

### The plane cut by grids

Suppose that one has an infinite two-dimensional regular grid of spacing one. When laid on the plane it cuts it into unit squares. Now take a second (identical) grid and place it with random shift ...

**3**

votes

**0**answers

699 views

### Compressed Sensing with an Unusual Basis

I'm wondering if compressed sensing can be applied to a problem I have in the way I describe, and also whether it should be applied to this problem (or whether it's simply the wrong tool).
I have a ...

**3**

votes

**0**answers

479 views

### Has the Lie group preserving a probability distribution been used in Bayesian statistics?

For a (possibly signed) nondegenerate probability measure $\pi$ on $\{1,\dots,n\}$ define
$$\langle \pi \rangle := \{R \in \operatorname{STO}(n): \pi R = \pi \}.$$
Here $\operatorname{STO}(n)$ denotes ...

**2**

votes

**0**answers

52 views

### Weighted Kaplan-Meier estimator

Let two samples $(T_1, \ldots ,T_n)\sim F$ and $(C_1, \ldots ,C_n)\sim G$ are given, but not observed. Instead we observe $\tilde T_i = \min (T_i, C_i)$ and $\Delta _i = \mathbf{1}(T_i \leq C_i)$, ...

**2**

votes

**0**answers

33 views

### Where to read about this kind of “measure of irredundancy” of a set from a family of sets?

Studying a very practical problem from psychometrics, I encountered the following construction.
Let $(X,\mu)$ be a measure space; if preferred, you can presume $\mu$ is a probability measure. In any ...

**2**

votes

**0**answers

104 views

### Hilbert Schmidt Operators and the Conditional Expectation Operator

Consider the function $\text{E}_W: L_2(\mathbb{R},P_X) \mapsto L_2(\mathbb{R},P_W)$ where $P_X$ and $P_W$ are two different probability measures. They are related in such a way that if $f_X$, $f_W$ ...

**2**

votes

**0**answers

21 views

### How to get the Expectation of the normalization of some log-normal-distributions?

Problem Definition:
Suppose that a random variable of multivariate Gaussian distribution $X \sim N(\Sigma,\mu)$, $\Sigma$ is the covariance matrix, and $\mu$ is the mean. For each $x_i$ from $X$, $x_i ...

**2**

votes

**0**answers

58 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 ...

**2**

votes

**0**answers

105 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 ...

**2**

votes

**0**answers

70 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?

**2**

votes

**0**answers

105 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} ...

**2**

votes

**0**answers

344 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 ...

**2**

votes

**0**answers

183 views

### Is connected correlation/cumulant expansion additive?

Say X is a free field or a Gaussian random variable.
Then I want to analyse the connected correlation, $<(X + a (X^2 - \langle X^2 \rangle))^n>_c$
I think that for $n \geq 4$ there are no ...