All Questions
Tagged with approximation-theory pr.probability
41 questions
5
votes
3
answers
666
views
The relative error of approximating a binomial
Are there any good approximations for a binomial CDF that work well in terms of the relative error, as opposed to absolute? For the usual normal approximation, the absolute error is very well-studied ...
- 4,049
4
votes
0
answers
582
views
Bounds on the expectation of a function of a hypergeometric random variable: A "Jensen gap"
Main Question
Let $f:[0,1]\to [0,1]$ be continuous, let $B_n(f)$ be the $n$-th degree Bernstein polynomial of $f$, and let $r\ge 3$.
Given certain assumptions on $f$, what is an explicit and tight ...
- 697
1
vote
1
answer
223
views
Bound error in approximating $E_x [H(f(x))]$ with random $(1/n) \sum_{i=1}^n \Phi(f(x_i)/h)$ where $H$ is Heaviside function and $\Phi$ is normal CDF
Let $f:\mathbb R^d \to \mathbb R$ be a "sufficiently smooth" function. For simplicity, we may consider $f$ to be an affine function, i.e $f(x) \equiv b-x^\top w$, for some $(w,b) \in \mathbb ...
- 6,853
2
votes
0
answers
111
views
Generalization of the min-entropy that looks at the top $n$ probabilities
The min-entropy of a random variable $X$ can often be much easier to compute than the Shannon entropy. This is because the min-entropy is simply a function of the most probable value, and sometimes, ...
- 4,907
2
votes
0
answers
93
views
Approximating a probability density with a point set
Let $f$ be a "nice" probability density on $\mathbb{R}^2$, let $p=1/k$ for some fixed positive integer $k$, and let $\epsilon>0$. Are there any known statements of the following form?
&...
- 4,049
8
votes
2
answers
486
views
Inductive definition of Bernstein polynomials
For $n\in \mathbb{N}$ let $B_n$ be the linear operator taking a function $f$ on the unit interval $I=[0,1]$ to its $n$-th Bernstein polynomial $B_nf$,
$$ B_nf(x):=\sum_{k=0}^n\binom{n}{k} f\Big(\...
- 60.6k
2
votes
1
answer
199
views
Bounds for the beta CDF
This question is closely related to a previous question that I asked here:
An inequality involving the beta distribution
Let $a,b$ be strictly positive integers, and let $F_{a,b}(x)$ denote the CDF ...
- 4,049
6
votes
2
answers
555
views
An expansion from Ramanujan related to birthday problem
A friend designed a drinking game with a lucky wheel of 30 distinct icons. When playing, each one takes turn to spin the wheel, and write down the items until the first one who gets the item that has ...
- 409
3
votes
2
answers
1k
views
Expected value of a truncated binomial
Let $X\sim B(n,p)$ be a binomial random variable and fix $0<k<n$. Are there any well-known bounds for $\mathbb{E} (X-k)^+$, where $(X-k)^+ =\max\{0,X-k\}$? I am particularly interested in ...
- 4,049
1
vote
0
answers
363
views
Incredibly accurate recursions for the Riemann Zeta function
Last update as of Jan 27, 2021: I posted this as an article for laymen, here. It is very light mathematically speaking, but section 3 is a little more accurate than my post here.
During some ...
- 3,098
4
votes
1
answer
386
views
Lower-bound for $\Pr[X \geq m]$ subject to $E[X]>m$ where $X$ is a binomial random variable
Given an integer number $m>0$ and a real number $\alpha\in [1, 2]$, I am interested in finding a lower-bound for $\Pr[X\geq m]$ subject to $X \sim \text{Binomial}(n, m\alpha/n)$.
For large values ...
- 189
1
vote
1
answer
144
views
A uniform mixture of order statistics
Let $0<k<n$ be integers, and let $X$ be a random variable obtained as follows: sample $n$ points independently and uniformly at random in the unit interval, and select (uniformly) one of the $k$...
- 4,049
3
votes
1
answer
159
views
Tight L2 bound on moments approximation and reference
Consider $f\in L^2(I)$, where $I$ is the unit interval and $L^2$ is w.r.t. Lebesgue measure, and consider an approximation of $f$ denoted by $\tilde{f}\in L^2$.
The error in approximated the moments ...
- 3,574
1
vote
0
answers
103
views
Convergence result on Cornish Fisher expansion of binomial distribution
Since it is known that Cornish Fisher expansion of quantiles does not have guaranteed convergence for all distribution, I wonder specifically if any convergence result is known in literature for CF ...
- 53
6
votes
2
answers
565
views
Probability of at least two of $n$ independent events occurring subject to some conditions
Given a set of independent Bernoulli random variables $\{x_1, \dots, x_n\}$, let $p = \sum_{0<i\leq n}\Pr[x_i = 1]$ and $X=\sum_{0<i\leq n} x_i$. We know that for any $i$, we have $\Pr[x_i = 1]\...
- 189
10
votes
2
answers
5k
views
Approximate a probability distribution by moment matching
Suppose we want to approximate a real-valued random variable $X$ by a discrete random variable $Z$ with finitely many atoms. Suppose all moments of $X$ is finite. We want to match the moments of $X$ ...
- 1,839
1
vote
0
answers
96
views
Relationship between Wasserstein projections and metric projections in a linear space
Let $(X,d)$ be a metric space, $x\in X$, and $Y\subset X$ is a closed set. Assume that $X$ is also a real vector space, so that we can form linear combinations over $\mathbb{R}$, but I do not assume ...
- 13
2
votes
1
answer
437
views
Best approximation of a compactly supported density by a single Gaussian
Note: This is a follow-up question inspired by a previous (more difficult) question I asked on MathOverflow.
Let $f:\mathbb{R}\to\mathbb{R}$ be a (sufficiently regular, e.g. smooth) probability ...
- 710
11
votes
1
answer
1k
views
What are some of the surprising results of finite sample statistical estimation?
I'm trying to familiarize myself with the latest results in finite sample statistics. It seems to me that these results can be classified into two categories:
Unsurprising results confirm that the ...
- 395
-1
votes
1
answer
122
views
Approximation of function in general measure space
Let $\mu$ be a $\sigma$-finite measure on $R^n$ ($n\geq 1$) and $(E,d)$ be a complete metric space. For any measurable function $f: R^n\to E$ with
$$
\int_{R^n}d(f(x),f(x_0))\mu(dx)<\infty,\quad \...
- 411
3
votes
1
answer
1k
views
Normal approximation to the pointwise/Hadamard/Schur product of two multivariate Gaussian/normal random variables
Let $X \sim \mathcal{N}\left( {{\mu _x},\sigma _x^2} \right)$ and $Y \sim \mathcal{N}\left( {{\mu _y},\sigma _y^2} \right)$ be two univariate and independent Gaussian/normal random variables and let $...
- 1,026
2
votes
1
answer
154
views
How far away is $\max_{x: x \in \{0, \ldots, N\}} |W(x/N)|$ from $\max_{0 \leq t \leq 1} |W(t)|$ ($W(t)$ a Wiener process)?
How far away is
$$\max_{x: x \in \{0, \ldots, N\}} \left|W\left(\frac{x}{N}\right)\right|$$
from
$$\max_{0 \leq t \leq 1} |W(t)|$$
In other words, if you simulate a Wiener process over a finite ...
- 277
0
votes
1
answer
254
views
Does log-concave approximable distribution satisfy transportation-cost inequality?
Definition: Recall that a distribution $\mu$ on $\mathbb R^d$ is said to be log-convave with constant $c > 0$, if density $d\nu \propto e^{-V}dvol$ satisfying the curvature condition
$$
\...
- 6,853
3
votes
2
answers
2k
views
Empirical estimator for total variation distance between two product distributions
Let $X = (X_1, X_2, \ldots , X_n)$ be an $n$-dimensional random variable, where each $X_i$ is a random variable on finite discrete set $S$. In addition, $X_i$ are independent of each other (but not ...
- 35
1
vote
1
answer
196
views
Giving Uniform Bound on Differences of Sums of Converging Polynomials
The title does not quite capture the essence of the difficulty, please allow me to be more explicit here.
I thought of this question when I was trying out an open problem by Ovidiu Furdui(See problem ...
- 99
0
votes
0
answers
268
views
Taylor series expansion of quantile function
Suppose $Y$ and $Z$ two random variables, $\lambda \in \mathbb{R} $.
We note $F^{-1}_{Y}(\alpha)$ the quantile function of the variable $Y$ at the quantile level $\alpha \in (0,1)$.
Do you have any ...
- 250
6
votes
2
answers
967
views
Approximating Uniform Distribution with Mixture of Gaussians
Let $T$ be a compact, connected, proper subset of $\mathbb{R}^3:\quad T \subset \mathbb{R}^3$.
Further let $\left\{ \boldsymbol{\mu}_i \right\}_{i=1}^n$ be a given finite set of $n$ point in $T$:
$$
\...
- 181
2
votes
1
answer
5k
views
Smooth Approximation of Indicator Function of Convex Sets in $\mathbb{R}^n$
Let $( \mathbb{R}^n, \| \cdot \|_P)$ be the $n$-dimensional Euclidean space equipped with $\ell_p$-norm $\| \cdot \|_p$ for some $p\in [1, + \infty]$. Let $A$ be a convex set in $\mathbb{R}^n$ and ...
- 1,127
1
vote
0
answers
63
views
Approximation of measured-valued function by continuous functions
For each $x\in R^d$, let $\nu(x,dz)$ be a L\'evy measure, i.e.,
$$
\int_{R^d}(|z|^2\wedge1)\nu(x,dz)<\infty.
$$
Let $\mu$ be a probability measure on $R^d$ such that
$$
\int_{R^d}\int_{R^d}(|z|^2\...
- 411
2
votes
1
answer
295
views
The asymptotics of $\int_{-\infty}^{\infty} \phi(x) {\Phi(\frac{x}{a})}^{qa} dx $ for normal distribution using saddle point approximation
In my probability and numerical analysis research I have come across the following predicament:
If we have a standard normal random variable X with CDF $ \Phi $, and PDF $ \phi $ I am interested in ...
- 620
2
votes
0
answers
100
views
Reference Request: Total Variation Between Dependent and Independent Bernoulli Processes
Let $X$ be a random variable taking values in $\{0,1\}^n$ with the following distribution. For each coordinate $i$, we have $p_i = P(X_i = 1) = c/\sqrt n$, where $c$ is a (very small) constant. ...
- 560
1
vote
0
answers
109
views
Bounding quantiles of the noncentral chi distribution
I need to bound the empirical quantiles for a noncentral chi distribution (not chi-squared) $\chi_\nu(\lambda)$, where $\nu$ is the number of degrees of freedom and $\lambda$ the non-centrality ...
- 162
4
votes
0
answers
269
views
Algebras and $\sigma$-algebras associated to random variables
Let $\{v_\lambda:~\lambda\in\Lambda\}$ be a family of real-valued random variables on a (complete) probability space $(\Omega, \sigma, \mathbb{P})$. Assume the variables lie in $\bigcap_{p=1}^\infty L^...
- 1,411
1
vote
1
answer
324
views
Averaged geometric series with floor function
Given a value $p\in[0,1]$ (a probability of occurrence), I would like to bound the following expression:
$$ s\frac{1-(1-p)^{k+1}}{p(k+1)} + (1-s)\frac{1-(1-p)^{k}}{pk},\ \ \ \text{where $k=\lfloor 1/...
5
votes
2
answers
155
views
Approximate Moment Conditions
It is known in classical probability that if two random variables $X$ and $Y$ obeys
$$\mathbb{E} X^k = \mathbb{E}Y^k, \ \forall \ k \geq 1$$
with additional condition that $\mathbb{E}X^k$ does not ...
- 773
3
votes
0
answers
968
views
$\epsilon$-covering number of a set of rank-2 matrices
Suppose that two unit-norm vectors $\boldsymbol{a}\in \mathbb{R}^m$ and $\boldsymbol{b}\in\mathbb{R}^n$ are given with $m\leq n$. Furthermore, let $\boldsymbol{F}_{m,n}$ denote the first $m$ rows of ...
- 215
6
votes
1
answer
1k
views
Low degree polynomial approximation for the entropy function
Let $X$ be a discrete random variable with possible values
$\{x_1,\ldots,x_n\}$, and let $p$ denote the probability mass function of
$X$. In addition, denote $p_i=p(x_i)$.
The entropy of $X$ is ...
user17253
2
votes
1
answer
1k
views
Probability of system failure in a distributed network
I am trying to build a mathematical model of the availability of a file in a distributed file-system. The system works like this: a node $x$ stores a file $f$ (encoed using erasure codes) at $rb$ ...
- 121
1
vote
1
answer
502
views
nonnegative series expansion of nonnegative functions
The title says it all! When using orthogonal series expansions like the Gram-Charlier expansion to approximate probability density function, a big problem (making this approach less usefull and less ...
- 2,600
0
votes
0
answers
160
views
Two Different Representations of Multivariate Bernstein Polynomials
In the literature the multivariate Bernstein polynomial of a function $f:[0,1]^m\rightarrow\mathbb{R}$ is often defined as the following:
$$B_{f,n}(x_1,\dots,x_m)=\sum_{\mathbf{k}\in \{0,\dots,n\}^m}...
- 103
-1
votes
1
answer
129
views
How to compute the expectation of $\frac{Y^L}{Y^L + (N-Y)^L}$ where Y is Binomial(n,p)
How to compute the expectation of $\frac{Y^L}{Y^L + (N-Y)^L}$ where $Y$ is Binomial(n,p)? If it is not exactly computable, then are their ways to approximate this qty?
- 1