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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61
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13answers
12k views

Statistics for mathematicians

I'm looking for an overview of statistics suitable for the mathematically mature reader: someone familiar with measure theoretic probability at say Billingsley level, but almost completely ignorant of ...
58
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9answers
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 $n$ ...
28
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5answers
2k views

You pass X people and Y people pass you: how relatively fast are you?

This question occurs to me every time I go jogging. I suspect every runner probabilist in the world must have thought of it (though I'm no probabilist), but I could not specifically find it online. I ...
25
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3answers
1k views

Why do statistical randomness tests seem so ad hoc?

Wikipedia describes Kendall and Smith's 1938 statistical randomness tests like this: The frequency test, was very basic: checking to make sure that there were roughly the same number of 0s, 1s, ...
21
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2answers
927 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 ...
18
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1answer
4k views

L1 distance between gaussian measures

L1 distance between gaussian measures: Definition Let $P_1$ and $P_0$ be two gaussian measures on $\mathbb{R}^p$ with respective "mean,Variance" $m_1,C_1$ and $m_0,C_0$ (I assume matrices have full ...
17
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2answers
1k views

Calculating the “Most Helpful” review

How would you calculate the order of a list of reviews sorted by "Most Helpful" to "Least Helpful"? Here's an example inspired by product reviews on Amazon: Say a product has 8 total reviews and ...
17
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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 ...
17
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3answers
1k views

What is quantum Brownian motion?

It seems that the current state of quantum Brownian motion is ill-defined. The best survey I can find is this one by László Erdös, but the closest the quantum Brownian motion comes to appearing is in ...
17
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1answer
1k views

Intuitive Proof of Cramer's Decomposition Theorem

Cramer's decomposition theorem states that if $X$ and $Y$ are independent real random variables and $X+Y$ has normal distribution, then both $X$ and $Y$ are normally distributed. I've seen a few ...
16
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2answers
661 views

Persistent homology of Gaussian Fields in Euclidean space

If you generate points in $\mathbb R^n$ via a process that respects a Gaussian normal distribution, then compute the persistent homology / barcodes, to my eye something fairly regular seems to be ...
16
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2answers
1k views

When is the function of a median closer to the median of the function than the mean of the function is to the function of the mean?

Background notation: RV= random variable, $\mu=$ mean $m=$ median Jensen's Inequality considers the relationship between the mean of a function of an RV and the function of the mean of an RV. If ...
16
votes
1answer
715 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 ...
15
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6answers
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 ...
15
votes
1answer
462 views

The Chow & Robbins game ≈ 0.79295350640: improvements could come from simple statistics, or from a continuous version of the game

This question seeks help with improving a numerical estimate of the value of the Chow and Robbins game. Much about this game is unknown, such as whether its value is rational, but there are two routes ...
14
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2answers
387 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 ...
13
votes
7answers
3k views

Correlation and Causation. When can we believe correlation (reasonably, at least) imply causation

We always hear, when reading on correlation, that "correlation does not imply causation." Still, I have never seen any source that tries to answer the question of when can we reasonably conclude a ...
13
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4answers
590 views

Are gaussians with different moments far in total variation distance?

If two Gaussians disagree on one moment, it seems like this should imply that they have a large variation distance--equivalently, if two Gaussians are close in variation distance it's hard for their ...
13
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2answers
596 views

Archaeogenetics

This question is meant to be applied to recover historic information from genetic data. The following model, is (probably) the simplest possible which takes recombinations into account. First, let ...
12
votes
3answers
932 views

entropy and flatness of densities

I was reading C.R Rao's Linear Statistical inference. Rao presents the entropy of a continuous distribution (expectation of -log density) as a measure of closeness to the uniform distribution, and ...
12
votes
1answer
697 views

Error to sum of Euler phi-functions

The number theory identity $\phi(1) + \phi(2) + \dots + \phi(n) \approx \frac{3n^2}{\pi^2}$ can be interpreted as counting relatively prime pairs of numbers $0 \leq \{ x,y \} \leq n$ . Has anyone ...
11
votes
9answers
7k 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 $$\sigma = \sqrt{ {1 \over 5-1} \left( (1-2.6)^2 + (2-2.6)^2 + (3-2.6)^2 + (5 - 2.6^2) \right) } \approx 1.52$$. Why do we need ...
11
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1answer
434 views

Applications of the Giry monad in probability and statistics

In another thread, I asked about the $M$ endofunctor on the category $\operatorname{Meas}$ of measurable spaces, which sends a space $X$ to its space of measures $M(X)$. Will Sawin described the ...
11
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2answers
699 views

Estimate rate of real correct/wrong from 4 answers quiz.

I recently read that one in ten students think the first man on the moon was Buzz Lightyear, a Toy story cartoon. I'm not here to discuss the data in itself, rather, this reading got me into a problem ...
11
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2answers
2k views

Bounding sum of multinomial coefficients by highest entropy one

When does the following hold? $\sum_{(i_1,\ldots,i_k)\in E} \frac{n!}{i_1! \ldots i_k!} \le \exp(n H^*)$ Where $H^*=\max_{(i_1,\ldots,i_k)\in E} -(\frac{i_1}{n}\log \frac{i_1}{n}+\ldots ...
11
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0answers
249 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 ...
11
votes
2answers
491 views

Covariance of INID order statistics [closed]

In the IID case, it is known that all order statistics are positively correlated.* Thus, we know that $$\text{Cov}(X_{(i)},X_{(j)}) \geq 0.$$ Is this known in the INID (independent, non-identically ...
10
votes
7answers
986 views

Probabilistic (and other mathematical) methods of physics without the physics?

Many of the methods of physics are vastly more general than their use in that discipline. For example, information theory overlaps with a lot of statistical mechanics, and the latter actually ...
10
votes
4answers
1k views

How long for a simple random walk to exceed sqrt(T)?

Let {R_n} be a simple random walk with R_0 = 0, and let T be the smallest index such that k * sqrt(T) < |R_T| for some positive k. What is an expression for the probability distribution of T?
10
votes
3answers
466 views

Rapid evaluation of multivariate normal integral

I'm implementing a model that requires me to numerically evaluate a multivariate normal integral of the following form $$\int_{-\infty}^\infty \phi(z)\displaystyle\prod_{i=1}^N \Phi(a_iz+b_i) \, ...
9
votes
2answers
989 views

How would you compute that “average” ?

I created a DJ-ing application that allows you to mix your MP3s with a real turntable. So I generated an audio timecode to burn on a CD, left channel is the absolute position, right channel is a ...
9
votes
1answer
373 views

(almost) statistical independence of nodes degrees in a graph

Wireless networks are typically modeled as random geometric graphs. The number of nodes $N$ in the network is drawn from a Poisson distribution with intensity $\lambda$ $$P(N = n) = \frac{\lambda^n ...
9
votes
1answer
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 ...
9
votes
2answers
272 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 ...
9
votes
2answers
564 views

Small crown probabilities (and infinite dimensional margin assumption)

My question is: How do I find sharp upper bounds on $P(|q|\leq \epsilon)$ uniformly over a set of gaussian polynomes $q$ of degree two. Notations and definitions (to make the question rigorous) ...
9
votes
3answers
325 views

disconnected or poorly connected graphs in sport ratings systems

I've briefly read about rating systems that provide rankings to players based only on their performance wrt other players, in the context of chess. (for example, elo). When there is a lot of ...
9
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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 ...
9
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0answers
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
7answers
8k views

Why isn't Likelihood a Probability Density Function?

Hi everyone, first post here... I've been trying to get my head around why a likelihood isn't a probability density function. My understanding says that for an event X and a model parameter m: ...
8
votes
4answers
2k views

Eigenvalues of Laplacian-Beltrami operator

I am interested in the first non zero eigenvalue of the Laplace-Beltrami operator in a 2D compact manifold, and if there is a geometric characterization of its value. I am interested in the case when ...
8
votes
4answers
2k views

How to teach introductory statistic course to students with little math background?

Next semester I will teach an elementary statistic course for the first time (which I am actually quite excited about). A brief description can be found here. I am told to expect very little math ...
8
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2answers
618 views

Random Voronoi Diagrams

I'm interested in what research has already been done with regards to the statistics of random voronoi diagrams. I have had a look on google scholar and results are a little inconclusive. I'm ...
8
votes
7answers
4k views

Lower bound for sum of binomial coefficients?

Hi! I'm new here. It would be awesome if someone knows a good answer. Is there a good lower bound for the tail of sums of binomial coefficients? I'm particularly interested in the simplest case ...
8
votes
2answers
664 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 ...
8
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3answers
1k views

Bayesian statistics for pure mathematicians

Could someone please recommend reading on Bayesian statistics presented from a pure mathematical point of view? That is, works that start assuming a good knowledge of measure theoretic probability. ...
8
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2answers
350 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 ...
8
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4answers
709 views

What m minimizes E(|m-X|^3) for a random variable X?

Let X be a random variable. Then E(|m-X|^1) is minimized when (as a function of m) when m is the median of X, and E(|m-X|^2) is minimized when m is the mean of x. A couple weeks ago in a technical ...
8
votes
2answers
588 views

Notions of “independent” and “uncorrelated” for subsets of the natural numbers

In probability/statistics, there is a notion of two things being "independent", which would basically mean that any information we can get about one thing has no effect on our (probabilistic) ...
8
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1answer
908 views

What's the maximum entropy probability distribution given bounds [a,b] and mean?

What is the continuous probability distribution that maximizes entropy, given only the bounds of the random variable [a,b] and the mean mu of the probability distribution? For example: if a=0, b=1, ...
8
votes
2answers
382 views

Rescaling positive definite matrices to force a unit eigenvector

Hello, Let $X'X$ be a positive definite matrix and let $\mathbf{1}$ denote the vector of ones. I'm hoping to construct a positive, diagonal matrix $W$ such that $$(W X'X W) \mathbf{1} = ...