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Questions tagged [expectation]

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Second moment of ranks

Suppose vector $R$ is a random permutation of the integers 1 through $n$ such that $$ \mathcal{P}\left(R_i = 1\right) = \pi_i, $$ for given vector of probabilities $\pi$. Moreover, assume a '...
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1answer
116 views

Сoincidence of discrete random variables

Let $\xi, \eta$ be a discrete random values and $\mathbb E| ξ |$, $\mathbb E | η | < +\infty$, and any value of these values ​​are accepted with a non-zero probability. How to prove that from $\...
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0answers
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Counterexample in Kolmogorov theorem about existence of almost surely continuous modification

I want to understand this Kolmogorov theorem about existence of almost surely continuous modification: A process $\{\xi_t, \in[0,T]\}$ admits an almost surely continuous modification if there exist ...
4
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3answers
107 views

Expected distance of nearest matching pair in the game of pairs

Recently I was playing several rounds of the game of pairs with my children. I was surprised that almost every time, one matching pair was adjacent (either next to each other in a row, or vertically). ...
4
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1answer
253 views

Expectation of exponential of a function of independent Rademacher r.v.'s involving the error function

Let $Z,Z'\in\{-1,1\}^n$ be two independent vectors of i.i.d. Rademacher r.v.'s, where $1\leq n \leq d$ are two integers ($d\gg 1$). I am trying to get an upper bound on $$ \mathbb{E}_{ZZ'}\left[ \exp\...
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48 views

Upper bound on expectation of product

I want to upper-bound the following quantity: $$\mathbb{E}_Y\left[f(Y)g(Y)\right] $$ The idea would be to get something of the shape: $\mathbb{E}_Y[f(Y)]\cdot h(Y)$ where $h(Y)= j(\mathbb{E}_Y[k(g(Y))]...
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69 views

Expected value of eigenvalue of matrix

Let $A = (X_{ij})_{ij}$ a square matrix of size $n$ where the $X_{ij}$ are (discrete) real random non-negative entries. Denote by $\lambda_1(A) \geq \dots \geq \lambda_n(A)$ the (random) ordered ...
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27 views

Expected value of inverse of complex non-central Wishart matrix

I have a matrix $W$ that abides a complex non-central Wishart distribution. My question is what the expectation of the inverse is, i.e., how to compute $$\mathbb{E}(W^{-1}).$$ I have tried to read up ...
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2answers
118 views

lower bound the probability of at least L collisions

Lets say we get a list $M$ containing $|M|=\sqrt{L\cdot N}$ randomly and independtly drawn elements from a set of size $N$. And lets denote the $i$-th element of the list $M$ by $M[i]$. If we now ask ...
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1answer
55 views

On the eigenvalue of the expectation value of a random matrix in quadratic form

When we handle with some dynamic input-output mappings, there occurs a question as follows: Let $M$ be a random matrix, of which each element contains random terms. Consider the two expectation ...
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0answers
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Mean and correlation of product of two random processes

I have two random process: $$A(at)$$ $$\cos(2\pi f_0t+\Phi)$$ with these hypothesis: $a$ and $f_0$ are constant $\Phi$ is uniformly distributed in $[0,\pi)$ $A(at)$ is WSS I must calculate the ...
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59 views

If $f$ is a measurable random field, then $(ω,x)↦E[f(x)\mid F](ω)$ has a measurable version $g$ and $E[f(X)\mid F]=g(X)$ for all $F$-measurable $X$

Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space $\mathcal F\subseteq\mathcal A$ be a $\sigma$-algebra on $(\Omega,\mathcal A)$ $(E,\mathcal E)$ be a measurable space $f:\Omega\times ...
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1answer
220 views

Approximating the expectation of a matrix inverse

Let $$R := A \Lambda^{-1} A^H + \frac{1}{\gamma} I_n$$ where $A$ is a given $n \times m$ matrix (where $m \gg n$), $$\Lambda := \mbox{diag} \big( \lambda_1, \lambda_2, \dots, \lambda_m \big)$$ ...
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1answer
221 views

Expectation inequality for sampling without replacement

Is the following proposition correct? $X_1, X_2, X_3$ are uniformly at random sampled from a finite set $\mathcal X$ without replacement. $f : \mathcal X^2 \rightarrow \mathbb R_{\ge0}$ is symmetric:...
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1answer
236 views

Expected value of the maximum of the periodogram

Let us suppose that $X_1,\ldots,X_n$ with $n\ge1$ are iid random variables such that $\operatorname EX_1=0$ and $\operatorname E|X_1|^s<\infty$ with some $s>2$ and define the DFT of $X_1,\ldots,...