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.

learn more… | top users | synonyms

69
votes
13answers
16k 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 ...
66
votes
8answers
12k 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 $n$ ...
30
votes
12answers
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 ...
28
votes
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 ...
26
votes
5answers
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 ...
25
votes
3answers
2k 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
votes
1answer
5k 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 ...
21
votes
2answers
1k 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 ...
19
votes
3answers
1k 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 ...
18
votes
4answers
793 views

Applications of algebraic geometry to machine learning

I am interested in applications of algebraic geometry to machine learning. I have found some papers and books, mainly by Bernd Sturmfels on algebraic statistics and machine learning. However, all this ...
17
votes
3answers
708 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 ...
17
votes
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
votes
3answers
2k 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
votes
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
votes
5answers
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 ...
16
votes
2answers
2k 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
1k 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
votes
1answer
572 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
votes
2answers
424 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
votes
4answers
1k 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
votes
2answers
605 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 ...
13
votes
0answers
335 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 ...
12
votes
3answers
1k 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
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 ...
12
votes
1answer
758 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 ...
12
votes
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 ...
12
votes
0answers
426 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 ...
12
votes
1answer
594 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 ...
11
votes
7answers
1k 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 ...
11
votes
1answer
646 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
votes
2answers
723 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
votes
2answers
526 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
1answer
2k 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, ...
10
votes
3answers
836 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) \, ...
10
votes
1answer
250 views

Normal approximation of tail probability in binomial distribution

My problem: From the Berry--Esseen theorem I know, that $$\sup_{x\in\mathbb R}|P(B_n \le x)-\Phi(x)|=O\left(\frac 1{\sqrt n}\right),$$ where $B_n$ has the standardized binomial distribution and $\Phi$ ...
10
votes
3answers
335 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 ...
10
votes
1answer
164 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 ...
10
votes
1answer
382 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 ...
10
votes
0answers
837 views

Table with the most seated customers in Chinese restaurant process

Suppose we have some initial configuration of people seated at some tables. We start taking new customers and seat them following Chinese restaurant process. Is there some known work on finding the ...
10
votes
0answers
349 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 ...
9
votes
7answers
11k 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: ...
9
votes
3answers
2k views

Mixtures of Gaussian distributions dense in distributions?

It seems that a mixture of Gaussians can approach any probability distribution, as the number of mixture components approaches infinity. Is this true? And if so, is it precise and correct to say ...
9
votes
2answers
1k 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 ...
9
votes
7answers
5k 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 ...
9
votes
3answers
2k 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. ...
9
votes
2answers
1k 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
2answers
541 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} = ...
9
votes
2answers
8k 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
575 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) ...