Questions tagged [expectation]
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Expectation on a Polish space
I was wondering, if given a Polish space $X$, and given some probability measure $p$ on $X$, can the expectation of an $X$-valued function be taken? In particular, would the integral
$\int_X x dp$ ...
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Approximation for an expectation expression
Let $\mathbf{x} \in \mathbb{C}^M$ is an unknown distributed random vector (certainly not gaussian), and matrix $\mathbf{A}\in \mathbb{C}^{M \times M}$ which is fix (known). Also, assume we know the ...
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Product of three or more independent sub-Gaussian varibles
A random variable $X$ is called subgaussian of order $\sigma^2$ if $\log E[exp\{\theta X\}]\leq \frac{1}{2}\theta^2\sigma^2$ for every $\theta\in\mathbb R$.
Given a sequence of independent subgaussian ...
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Statistically stationary properties of expectations conditioned on the value of an Ornstein–Uhlenbeck process
Consider the modified Ornstein–Uhlenbeck process
$$\mathop{dx_t}=\theta(y_t-x_t)\, dt+{}\sigma\,dW_t$$
for a standard Brownian motion $W_t$ and $\theta,\sigma\in\mathbb{R}_{>0}$. Let's define the ...
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Minimum of exponential distribution
Consider $n$ independent random variables $𝑋_𝑖\sim\exp(𝜆_𝑖)$ for $I=1\ldots,n$. Let $\lambda = \sum_{i=1}^n\lambda_i$. Of course, the minimum of these exponential distributions has distribution:
$...
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Expected value of maximal cycle length in fixed-point free bijections
$\newcommand{\n}{\{1,\ldots,n\}}$
$\newcommand{\FF}{\text{FF}}$
$\newcommand{\lc}{\text{lc}}$
Motivation. A group of my son's peers decided to have a few days of Secret Santa before last year's ...
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The expected value of product of random variables which have the same distribution but are not independent
Given a positive integer $k$, is there a positive real number $c(k)$ such that $\mathbb{E}\left(\prod_{i=1}^k X_i\right)\geq c(k)$ for any $k$-random variables $X_1,X_2,\ldots,X_k$ which all have the ...
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A disc contains many random points. Each point is connected to its nearest neighbor. What is the expectation of average cluster size?
A disc contains $n$ independent uniformly distributed points. Each point is connected by a line segment to its nearest neighbor, forming clusters of connected points.
For example, here are $20$ random ...
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Inequality on conditional variance of a vector
I have a random vector $X$ and an event $\mathcal{E}$ such that $\mathbb{P}(\mathcal{E}) = p$. I am trying to show the following inequality :
\begin{equation}
p\mathbb{E}[\|X - \mathbb E [X \vert \...
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Weighted sum of zero-mean random variables
Let us say we have two independent random variables $X$ and $Y$, with both $E[X] = E[Y] = 0$.
Is it true that for any random weight variable $0 \le W \le 1$ (e.g., $W$ dependent on $X$ and $Y$) we ...
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Jensen-like inequality for random matrix: $\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$
Let $X\in M_n(\Bbb R)$ be a random matrix with iid elements following a continuous distribution.
What are the necessary and sufficient conditions for $$\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$$ to hold? Is ...
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Computing the expectation of a quadratic matrix form involving Bernoulli and Gaussian distributed matrices
I am working with two random matrices, $Z$ and $H$:
$Z$ is an $n \times K$ matrix with entries sampled i.i.d. from a Bernoulli distribution: $Z_{ij} \sim \mathrm{Bernoulli}(p)$.
$H$ is a $K \times K$ ...
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Prove lower collinearity on the tails of Gaussian blob
Let us consider a $n$-dimensional Gaussian blob, i.e. a set of $N$ random vectors $\{\boldsymbol{X}^{(j)}\}_{j=1}^N$, with $n$ independent components, $X_i^{(j)}$, and such that $X_i^{(j)} \sim \...
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Expected number of steps until a queue of $n$ people has passed all $n$ ordered tests consecutively
We are given a queue of $n$ people $\{p_1, \ldots, p_n\}$. They each have to pass $n$ exams $\{t_1, \ldots, t_n\}$. For simplicity we can "draw" the setting in the following way:
$$[t_n,t_{n-...
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Bounding expected maximum via adjacent differences
For $X_i$, $i\in[n]$
be a sequence of integrable random variables.
Is there a universal constant $c>0$ such that
$$\mathbb{E}\max_{i\in[n]}X_i
\le
c\left(
\max_{i\in[n]}\mathbb{E}|X_i|
+
\mathbb{E}\...
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Expectation of a function of two entries of an isotropic unit vector $\mathbb{E}_{\mathbf{w}\sim\mathcal{S}^{p-1}}\![{w_{1}}^{\!4}\,{w_{2}}^{\!4}]$
Problem:
Given a random isotropic unit vector in $\mathbb{R}^p$ for $p\ge2$, we are trying to compute (preferably exactly, otherwise to upper bound):
$$\mathbb{E}_{\mathbf{w}\sim\mathcal{S}^{p-1}}\!\...
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Finding a unique and finite expected value for almost all measurable functions?
Let $(X,d)$ be a metric space. If set $A\subseteq X$, let $H^{\alpha}$ be the $\alpha$-dimensional Hausdorff measure on $A$, where $\alpha\in[0,+\infty)$ and $\text{dim}_{\text{H}}(A)$ is the ...
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Are the extensions of the expected value, below, finite for all functions in only a shy subset of all measurable functions?
This is a follow up to this post, where I wish to verify whether one of the statements (in the post) is true but first let's recap the definitions:
Let $(X,d)$ be a metric space. If set $A\subseteq X$,...
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Expectation of the trace of random matrix with an inverse insided
Consider a $N$-dimensional random complex vector $\mathbf{x} \in \mathbb C^{N \times 1}$ following the complex Gaussian distribution, i.e., $\mathbf{x} \sim {CN}(0,\sigma^2 \mathbf{I})$, where $\...
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Finding examples of functions which are infinite or undefined with current extensions of the expected value?
Preliminaries
Consider the expectations desribed in this paper, which is an extension of the Lebesgue density theorem; this paper which is an extension of the Hausdorff measure, using Hyperbolic ...
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Expectation of the inner product of a subset of two random orthonormal vectors
Setting: Consider sampling two orthonormal vectors $\mathbf{u},\mathbf{v}$ in $\mathbb{R}^p$ (where $p\ge2$) from a "uniform" distribution over the $p$-dimensional sphere (alternatively, ...
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Expected sorting time of random permutation using random comparators
In sorting networks, a comparator of positions $i < j$ is an operator which takes a permutation, checks if $p_i > p_j$, and if it is the case, swaps $p_i$ and $p_j$.
Using this, we can define ...
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Bound the probability that a point belongs to a set
Let $(a_k)_{k \geq 1}$ be random variables taking values on a finite subset $B$. Assume that
$$
(1) \quad \Pr\Big (\lim_{n\rightarrow +\infty}d(\frac{1}{n}\sum_{k=1}^n 1_{[a_k = b]}, [v_\ell(b,\...
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Convergence in expectation of a discontinuous function
Consider a random variable $X\in \mathbb{R}^d$. Let ${\theta_m}$ be a sequence of real numbers that converge to $\theta$. Let $f(x,y)$ be a function that is not continuous. To be specific, fix, $x=a$, ...
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Bound the expectation of an average
Let $(a_n)_{n \geq 1}$ be random variables taking values on a finite subset $B$. Assume that $\nu_l(b) \le P[a_n = b\mid a_1,\ldots,a_{n-1}] \le \nu_u(b)$ almost surely for every $n \ge 1$ and $b \in ...
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Tossing a coin around $\mathbb{Z}/n\mathbb{Z}$ [closed]
Motivation. With my younger son I played the following game on a big (dysfunctional) clock which can be modelled as $\mathbb{Z}/12\mathbb{Z}$ : Put the clock hands at number $12 ( = 0)$. Toss a coin, ...
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Expected (maximum minus minimum) of Laplacian random variables
Suppose there are $n$ IID random variables denoted as $X=(X_1,\dots, X_n)$, they follow Laplace distribution with parameter $\lambda$, denoted as $Lap(\lambda)$. That is,
$$f(x)=\frac{1}{2\lambda}\exp ...
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On the mean value taken by Bernoulli random variables with joint distribution constraints
We are given a vector $n$-dimensional random vector $\mathbf{X}$ whose components are the Bernoulli random variables $X_1, X_2, \ldots X_n$, such that the probability $\mathbb{P}(X_1=X_2=\ldots=X_n=0)$...
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On average, how many uniformly random real numbers $u$ are needed for their sum to exceed $1$, if $u_1$ is in $(0,1)$ and $u_k$ is in $(0,eu_{k-1})$?
A well-known question is: on average, how many uniformly random real numbers in $(0,1)$ are needed for their sum to exceed $1$? The answer is $e$.
Let's tweak this question by making each random ...
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How to prove emprical risk converges to expectation risk as $n\to \infty$?
For example, for a classical binary classification:
$x \in \mathbb{R}^d$ and $y \in\{0,1\}$
let empirical risk be
$R_{\ell}^n(f):=\frac{1}{n} \sum_{i=1}^n \ell\left(f\left(X_i\right), Y_i\right)$
and ...
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can we get a family of classifiers $\left\{f_n\right\}_{n \in N}$such that $\lim_{n->∞} (E_{(X_1, Y_1), ...,(X_n, Y_n) \sim \rho}[R(f_n)]-R(f_B))=0 $
For a given classifier $f: \mathbb{R}^d \mapsto\{0,1,2\}$, let
$$
R(f):=\mathbb{E}_{(X, Y) \sim \rho}\left[\mathbb{1}_{f(X) \neq Y}\right]
$$
$f_B$ the Bayes classifier.
can we get a family of ...
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Maximum distance from origin of simple random walk
Let $\epsilon_1, \dots, \epsilon_n$ be random signs, equiprobably in $\{-1, 1\}$, independently.
Let $S_k = \sum_{j=1}^k \epsilon_j$. I am wondering what is known about the expectation
$$
\mathbb{E}\...
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Expectation of inverse of complex Gaussian variables
If we consider a complex Gaussian random variable as $h\sim\mathcal{CN}(0,\gamma)$, where $\gamma$ is the variance. Is there any closed-form solution with $\gamma$ for $\mathbf{E}\left[\frac{1}{\lVert ...
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Probability of multivariant gaussian random variables in different areas
$\newcommand{\sgn}{\operatorname{sgn}}$Let $X_i$ is a gaussian random variable correlated with others. we want to find the probability of each possible case to find the expectation of following ...
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How many elements have a "small" order in a finite field?
I'm hoping that this is an easy question for someone.
How many elements can we expect to have multiplicative order at most $n^{1/c}$ in one of the finite fields $\mathbb{F}_p$ with $p$ prime with $n \...
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Are there arbitrarily large families of lines in $\Bbb R^3$ with average angle $\ge \pi/3$?
Question: Can I have an arbitrarily large finite family of lines $\ell_1,\dotsc,\ell_n\subset\Bbb R^3$ so that the average angle between two (distinct) lines is $\ge \pi/3$?
We can assume that all ...
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Is there a tight lower bound for the expectation of the product of two positive valued random variables?
Let $X,Y$ be two (dependent) random variables with $\mathbb{P}(X\ge 0)=\mathbb{P}(Y\ge 0)=1$.
I want to find a tight lower bound of $\mathbb{E}(XY)$ when $X,Y$ are non-negative, almost surely.
...
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Does $E(XU)\neq 0$ imply $E(f(X) U)\neq 0$ "almost always"?
Consider two non-orthogonal random variables
$$
(1) \quad E(XU)\neq 0,
$$
where $X$ can be a vector.
Can we claim that (1) implies that $U$ will be "generically" non-orthogonal to any ...
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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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Is this expectation $\mathbb E\big[{\bf 1}_{\{x+\inf_{0\le t\le 2}W_t>0\}}(W_{\tau}-y)^+\big]$ strictly positive?
Let $(W_t)_{t\ge 0}$ be a standard Brownian motion and $\tau$ be a stopping time lying in $[1,2]$. For $x, y>0$, can we show
$$\mathbb E\big[{\bf 1}_{\{x+\inf_{0\le t\le 2}W_t>0\}}(W_{\tau}-y)^+\...
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Expected matrix created from two random orthogonal-projection matrices
Consider an arbitrary finite set of orthogonal-projection matrices (symmetric, idempotent, etc.) in $\mathbb{R}^{n\times n}$.
We draw two matrices $Q,P$ uniformly and i.i.d. from this set.
Question: ...
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Union Bound of two events?
Inequality 1
\begin{align}
\mathbb{P}\left(\frac{1}{n} \sum_{i=1}^{n}\left(f\left(x_{i}\right)-\mathbb{E}[f]\right) z_{i} \geq \frac{\epsilon}{8}\right) \leq 2 \exp \left(-\frac{\epsilon^{2} n d}{9^{4}...
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The maximum trace of a covariance can be achieved by a discrete random vector?
Given a random variable $X$, satifying $P(0\leq X \leq 1)=1$, and $\mathsf{E}[X^2] = \alpha$. We know its maximum variance $\text{Var}(X) = \alpha(1-\alpha)$ achived by a binary random variable $P(X =...
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Is $\lim_{s \rightarrow 1} E(f(X_s)) = \lim_{N \rightarrow \infty} \frac{1}{N} \sum_{k=1}^N f(k)$?
Let $s>1$ be a real number. We look at the zeta probability function / Zipf probability function defined as:
$$P(X = n) = \frac{1}{n^s \zeta(s)}$$
Suppose $f: \mathbb{N} \rightarrow \mathbb{R}$ is ...
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Сonditional characteristics with respect to a discrete random variable [closed]
160 asymmetrical coins participate in the first roll. In the second roll, only those coins on which the "eagle" fell out in the first roll participate. It is known that the probability of an ...
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Integral form of expectation with respect to complex random variables [closed]
Let $h$ be a random variable and $g(h)$ be a real-valued function of $h$.
We know that if h is a real-random variable then:
$E_h[g(h)] = \int_{-\infty}^{\infty} f(h) g(h) dh$ where f(h) is the PDF of ...
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Partial derivative of expectation and Stein's lemma
Currently, I am reading a paper about the Gaussian Process in Neural Network [1]. In the solution of the main result in this paper, the author applied Stein's lemma and claimed an equation about the ...
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Expected value of ceiling of a random variable
I have a continuous non-negative random variable $X \ge 0$ defined by a black-box cumulative distribution function $F(x) = \Pr [ X \le x ]$. In other words, I have an algorithm to calculate $F(x)$ for ...
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A tricky integral equation
In the context of reconstruction of climate data from ice cores (see related question at MSE) I came about the following problem. (More background and motivation can be given on demand.)
Let $f:\...
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A lower bound for the expectation of $\min\{X,n-X\}$ when $X$ follows a $\mathrm{Binomial}(n,p)$ distribution
Let $X$ be a random variable following a $\mathrm{Binomial}(n,p)$ distribution, and let $$Y=\min\{X,n-X\}.$$ Ispired by the problem posed by C. Clement on https://math.stackexchange.com/questions/...
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