All Questions
18,176 questions
-2
votes
0
answers
7
views
Convergence of measures in the Lévy–Prokhorov metric and weak convergence of measures
How to prove that over R the convergence of measures in the Levi-Prokhorov metric is equivalent to the weak convergence of measures
- 1
1
vote
0
answers
43
views
Measurability of a map involving probability measures
Let $X$ be a metrizable topological space and $\mathscr B_X$ the Borel $\sigma$-algebra on it. Let $\Delta X$ denote the set of probability measures on $(X,\mathscr B_X)$, and let $\mathscr B_{\Delta ...
- 405
2
votes
0
answers
32
views
Order of $\mathbb{E}[ \max_i |x_i + z_i| - \max_i |z_i|]$
Let $z_1, \dots, z_n$ be iid standard Normal, and let $x \in \mathbb{R}^n$. Put $\|u\|_\infty = \max_i |u_i|$.
Define
$$
F(x) = \mathbb{E}\Big[\|x + z\|_\infty - \|z\|_\infty\Big]
$$
If $\|x\|_\infty \...
- 400
1
vote
1
answer
311
views
Proof of the Dunford-Pettis theorem in the context of probability spaces
I'd like to know if there's a proof of the Dunford-Pettis theorem without using relatively advanced theorems of functional analysis such as Eberlein–Smulian Theorem. Since I'm only interested in ...
CommunityBot
- 1
0
votes
0
answers
16
views
A question on Ibragimov's theorem on strong unimodality
I am not a mathematics student and unfortunately have some confusion about a (well-known) theorem about strong unimodality of distributions. First of all let me clarify some terminologies and then ask ...
- 51
25
votes
6
answers
15k
views
Does every distribution define a Radon measure?
On the one hand, Wikipedia suggests that every distribution defines a Radon measure:
http://en.wikipedia.org/wiki/Distribution_(mathematics)#Functions_as_distributions (revision from February 2010, ...
- 12.9k
9
votes
1
answer
292
views
What are the points of the algebra of polynomial functions on an arbitrary vector space?
Let $V$ be an arbitrary vector space over some field $\mathbb{K}$ (UPD: of characteristic 0), $V^*=\mathrm{Hom}(V,\mathbb{K})$ its linear dual. Let $\mathrm{Sym}_\mathbb{K}(V^*)$ be the free ...
- 480
1
vote
0
answers
35
views
Square-integral involving Brownian bridge
Let $B(t)$ be a standard Brownian bridge on $[0,1]$. Let $x>0$ be a (small) parameter. What is the distribution of
$$
\int_0^{1-x} \left( B(t + x) - B(t) \right)^2 dt?
$$
As noted I am interested ...
- 2,207
-3
votes
0
answers
66
views
Exercise generalizing (related to) Hölder's inequality
I came across this exercise and feel absolutely stuck:
Let $p, q, r \in (1, \infty]$ be such that $1/p + 1/q = 1 + 1/r$. Suppose that $F : \mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}$ satisfies ...
- 12.9k
-1
votes
0
answers
25
views
Estimate the value of the PDF $P(f)$ at the minimal $f_0$ of the random-variable function $f(\mathbf{x})$
Let $f(\mathbf{x})=f(x_1,x_2,\dotsc,x_N)$ with $N>2$ be a real and continuous function and $f(\mathbf{x})\ge f_0$ for any $\mathbf{x}\in\mathbb{R}^N$. Now let $x_1,x_2,\dotsc,x_N$ be the i.i.d. ...
- 12.9k
1
vote
0
answers
90
views
+100
Inequalities for norm of centered Gaussian and uncentered Gaussian
Let $g$ denote a standard Gaussian vector in $\mathbb{R}^n$, and $\|\cdot\|$ a norm.
Let $x \in \mathbb{R}^n$ and define
$$
F(x) = \mathbb{E}[\|x + g\| - \|g\|].
$$
I am wondering if it is possible to ...
- 400
3
votes
0
answers
67
views
Effective action of unbounded operators on subspaces outside their domains of definition
Consider a densely defined, self-adjoint operator
$$
H: \mathcal{D} \rightarrow \mathscr{H}.
$$
Assume for simplicity that $H$ is nonnegative.
We want to effectively restrict this operator $H$ to a ...
- 133
5
votes
1
answer
361
views
Moment Bounds on Hölder norms of stochastic processes
It is relatively easy to show that a stochastic process is Hölder continuous using Kolmogorov continuity theorem link text. But how does one obtain a bound $\mathbb{E} \left\Vert u\right\Vert _{\gamma}...
CommunityBot
- 1
2
votes
0
answers
104
views
Uncertainty principle: minimize $\int_{-\infty}^\infty |t| |\widehat{f}(t)|^2 dt$ for $f$ of compact support
This is a question of uncertainty-principle type stemming from Eigenvalue of a convolution and a restriction?
Let $f:\mathbb{R}\to \mathbb{R}$ be even, absolutely continuous and supported in $[-\frac{...
- 20.2k
0
votes
0
answers
64
views
$L_1$ norm of $f\in L^1(\mathbb{R}^n)$ compactly supported and its change of variable
Let $M\in\mathbb{R}^{n\times n}$ be an invertible matrix, denote its induced linear map on $\mathbb{R}^n$ also by $M$, and let $f\in L^1(\mathbb{R}^n)$ be compactly supported.
I am wondering if we can ...
- 91
3
votes
1
answer
353
views
Sequential separability on $C_p(X)$
Definition. Let $E$ be a topological space. Suppose that $E$ contains a sequence $\{x_n\}$ such that for every $x\in E$, there exists a subsequence $\{x_{n_k}\}$ of $\{x_n\}$ with $x=\lim x_{n_k}$. ...
- 4,713
2
votes
1
answer
803
views
On Riemann integration of stochastic processes of order $p$
Let $x:[a,b]\times\Omega\rightarrow\mathbb{R}$ be a stochastic process, where $\Omega$ is the sample space from an underlying probability space. Let $L^p$ be the Lebesgue space of random variables on $...
CommunityBot
- 1
1
vote
1
answer
160
views
Given iid $w_1,\dotsc,w_N \sim N(0,1/d)$ iid, find a simple matrix $A$ s.t $\|aa^T-A\|_\text{op}\to0$, where $a_i := E_{G \sim N(0,1)}[f(\|w_i\| G)]$
Let $d$ and $N$ be two large comparable integers, for example assume
$$
N,d \to \infty, \quad d/N \to \gamma \in (0,\infty).
$$
Let $w_1,\dotsc,w_N$ be iid from $N(0,(1/d)I_d)$ and let $f:\mathbb R \...
- 12.9k
1
vote
0
answers
38
views
Can conditional distributions with respect to a sufficient sub-$\sigma$-algebra be represented by a single Markov kernel?
Let $(\Omega, \mathcal{F})$ be a measurable space, and let $\mathcal{P}$ be a collection of probability measures on this space. A sub-$\sigma$-algebra $\mathcal{G} \subset \mathcal{F}$ is said to be ...
- 111
4
votes
1
answer
273
views
Eigenvalue of a convolution and a restriction?
Let $\epsilon>0$ be small. Let $\eta(t) = \frac{2\epsilon}{\epsilon^2+(2\pi t)^2}$ (the Fourier transform of $x\mapsto e^{-\epsilon |x|}$). Let $V$ be the space of integrable, bounded functions $f:\...
- 20.2k
3
votes
1
answer
139
views
Surjectivity of pushforward on image
Let $\mathcal X\subseteq\mathbb R^m$ be a Borel measurable set. $\Phi:\mathcal X\to\mathbb R^n$ be a continuous mapping and $\mathcal Y = \Phi(\mathcal X)\subseteq\mathbb R^n$ its image. Let $\mathcal ...
3
votes
0
answers
82
views
+50
Tight upper bound for $m[Q^k - Q^{k+1}]$ for completely positive linear maps
Let $m: \mathcal{L}(\mathbb{R}^{d \times d}) \to \mathbb{R}$ be the function
$$
m[H] = \frac{\lambda_{\max}(H[\mathbf{I}])}{\lambda_{\max}(H)},
$$
where $\lambda_{\max}$ denotes the largest eigenvalue....
- 673
0
votes
1
answer
115
views
Bounding $(\int_{S^1}\left|\partial_r u(r\omega)\right|^2 d\omega)^{1/2}$ with $(\iint \frac{|u(x)-u(y)|^2}{|x-y|^{2+2s}} dxdy)^{1/2} $?
The following inequality is trivially true
$$\left(\int_{S^1}\left|\frac{\partial u}{\partial r}(r\omega)\right|^2 d\omega\right)^{1/2} \le \left(\int_{S^1}\left|\nabla u(r\omega)\right|^2 d\omega\...
CommunityBot
- 1
34
votes
3
answers
2k
views
Intrinsic significance of differential entropy
Many commentators (e.g. Jaynes, Rota) argue that the notion of "differential entropy" is problematic (as commonly defined by $ h(X) = \int ( \log\frac{1}{p(x)} ) p(x) \, dx $, where $X$ is a random ...
- 17k
1
vote
1
answer
54
views
Proving bound on expectation of likelihood ratio involving mixtures
Let $p$ be a Lebesgue density function with infinite support (i.e. $p(x)>0 \forall x\in \mathbb{R}$ and $\int p(x) dx = 1$). Moreover, assume that $p$ is even (i.e. $p(x) = p(-x)$) and unimodal: $p(...
- 128k
0
votes
1
answer
546
views
Orlicz–Sobolev spaces
Let $A$ be an N-function and suppose that
$$\int^{+\infty}_1\frac{A^{-1}(\tau)}{\tau^{1+\frac{1}{n}}}d\tau=+\infty. $$
We denote by $\widehat{A}$ an N-function equal to $A$ near infinity and $\widehat{...
CommunityBot
- 1
0
votes
1
answer
68
views
Convergence of edge eigenvalues for Gaussian matrices
I am reading this lecture note.
I have a difficulty in understanding the third section in chapter 6. Particularly, in Theorem 4.1, they claimed that
Let $X$ be a Gaussian Wigner matrix satisfying ...
- 63.9k
2
votes
1
answer
431
views
Density of $w^*$-support points
I am looking for a simple proof of the following theorem — wasn't able to come up with one myself. Should be a use of the Bishop–Phelps theorem, in some way:
Let $X$ be a Banach space, $D \subset X^*$ ...
CommunityBot
- 1
3
votes
0
answers
90
views
About BMO space on smooth open bounded domain
Let $\Omega$ be any open domain in $\Bbb R^d$.
Define the $\text{BMO}(\Omega)$ space as
$$ \text{BMO}(\Omega)= \big\{u\in L^1_{loc}(\Omega)\,\,:\,\, |u|_{\text{BMO}(\Omega)} <\infty \big\},
$$
...
- 1,101
20
votes
3
answers
1k
views
How can I randomly draw an ensemble of unit vectors that sum to zero?
Inspired by this question, I would like to determine the probability that a random knot of 6 unit sticks is a trefoil. This naturally leads to the following question:
Is there a way to sample ...
- 747
1
vote
0
answers
70
views
Exponential decay for Bernoulli percolation with a ghost field
Background on Bernoulli percolation:
Consider the hypercubic lattice $\mathbb{Z}^d$ as a graph with vertices as point of integer coordinates and edges between points of distance 1.
Now, delete every ...
- 1,054
14
votes
1
answer
1k
views
Berry Esseen type result for probability density functions
Let $X_1, X_2, \cdots$ be i.i.d. random variables with $E(X_1) = 0, E(X_1^2) = \sigma^2 >0, E(|X_1|^3) = \rho < \infty$.
Let $Y_n = \frac{1}{n} \sum_{i=1}^n X_i$ and let us note $F_n$ (resp. $\...
- 103
1
vote
0
answers
55
views
Quantitative multivariate CLT from quantitative CLT of linear combinations
Suppose $Z_1, \ldots, Z_k$ are random variables with mean $0$ and variance $1$ that are "approximately jointly Gaussian" in the sense that for any scalars $c_1, \ldots, c_k$, we have that $\...
- 111
2
votes
0
answers
224
views
A deceptively simple regularity problem for functions on the plane
By various meanderings and toying with simpler problems, my current research has lead me to the following quite straightforward question, which I am wholly unable to answer:
Consider a twice ...
- 989
2
votes
0
answers
77
views
Function that is (essentially) a self-convolution but not a multiple of a self-convolution
Call a function $F:\mathbb{R}\to C$ nice if it is of the form $F = f\ast \tilde{f}$, where $\tilde{f}(x) = \overline{f(-x)}$. (Of course nice functions are precisely those whose Fourier transform is ...
- 20.2k
0
votes
0
answers
24
views
Characterisation of a family of continuous martingales
I look for a full characterisation of the continuous martingales $X=(X_t)_{0\leq t\leq T}$ (defined on some filtered probability space as nice as possible) such that
$$X_0=0\quad \mbox{ and } \quad\...
- 63.9k
2
votes
2
answers
215
views
How to analyze the value of convergence of functions of random matrices?
Consider a random i.i.d matrix $\mathbf{A}_{m\times n}$ with entries generated from a complex Gaussian distribution with zero mean and unit variance. I am interested in the large dimension analysis of ...
CommunityBot
- 1
1
vote
1
answer
294
views
Regarding subspace generated by the polynomial multiples of outer functions
Let $\mathbb{D}$ and $\mathbb{T}$ denote the open unit disk and unit circle in $\mathbb{C}$ respectively. We write $Hol(\mathbb{D})$ for the space of all holomorphic functions on $\mathbb{D}.$ The ...
CommunityBot
- 1
0
votes
1
answer
82
views
Median of cardinality of set union
Let $U$ be an arbitrary finite universe (you can just think of it as $[N]=\{1,2,\ldots,N\}$), and $\mathbf{S} = (S_i)_{i \in [n]}$ ($S_i \subseteq U$) be the sets that we are drawing from. Define a ...
- 29
3
votes
1
answer
84
views
What (continuous) stochastic processes have path measures that are absolutely continuous w.r.t. Wiener measure?
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having ...
- 1,904
12
votes
1
answer
394
views
Is $X\times X$ homeomorphic to $X$ for a space of probability measures?
Let $\mathcal M_1(S)$ be the (compact, metrizable) space of probability Borel measures on the circle $S=\{z\in\mathbb C: |z|=1\}$ with its weak $*$ topology, so $\mu_n\to\mu$ if and only if
$$
\int_S ...
- 4,461
0
votes
0
answers
46
views
Amenability of locally convex algebras
Let $A$ be an amenable Banach algebra, and let $A_w$ denote $A$ with the weak topology. Clearly, $A_w$ is a Hausdorff locally convex algebra (l.c.a.).
Q0: Is $A_w$ amenable as a l.c.a. in the sense ...
- 2,605
0
votes
1
answer
157
views
Weak convergence of $f(x,e^{itx})$
This is the desired result (what I want to prove):
$$f(x,e^{itx})\overset{t\to\infty}{\rightharpoonup}\frac{1}{2\pi i}\oint_{|z|=1}\frac{1}{z}f(x,z)dz \tag{1}$$
Given that $f\in C([a,b]\times\{e^{i\...
- 233
4
votes
1
answer
195
views
Asymptotic spectrum of a complex Sturm-Liouville differential operator
Let $\varepsilon > 0$ and consider the (complex) Sturm–Liouville differential operator on $[0,1]$ given by
$$
\mathcal{L}_\varepsilon f(x) = \varepsilon^2 f''(x) + i V(x) f(x),
$$
with Neumann ...
CommunityBot
- 1
1
vote
0
answers
85
views
Density of a subset of Schwartz space in the fractional Sobolev space
It is known that the Schwartz space $\mathcal{S}(\mathbb{R}^N)$ is dense in the fractional Sobolev space $H^s(\mathbb{R}^N)$, (where $0<s<1$), as $C_{c}^{\infty}(\mathbb{R}^N) \subset \mathcal{S}...
4
votes
2
answers
871
views
Decay of eigenfunctions for Laplacian
Consider the discrete second derivative with Dirichlet boundary conditions on $\mathbb C^n$.
Its eigendecomposition is fully known:
see wikipedia
It seems like the largest eigenvalue $\lambda_1$ is ...
CommunityBot
- 1
0
votes
0
answers
37
views
Bounding the error of a truncated moment problem
Let $\{x_{i}\}_{i=1}^{\infty}$ be a non-increasing sequence of non-negative real numbers, and let $\{y_{j}\}_{j=1}^{B}$ be a non-increasing sequence of non-negative real numbers, where $B$ is a finite ...
- 433
5
votes
1
answer
240
views
Asymptotic distribution of the extreme, standardized order statistics of uniform distribution?
Let $\{U_{k, n}\}_{k=1}^n$, denote the order statistics of a sample of $n$ iid uniform $[0, 1]$ variates.
Note that, marginally $U_{k, n}$ is distributed $\mathrm{Beta}(k, n+1 -k)$.
Therefore, let us ...
CommunityBot
- 1
4
votes
0
answers
90
views
Hölder stability of the PDE $\partial_t u (t, x) = \operatorname{div} \{ a (t, x) \nabla u(t, x) \}$
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\bT}{\mathbb{T}}
\newcommand{\bP}{\mathbb{P}}
\newcommand{\bF}{\mathbb{F}}
\newcommand{\cF}{\mathcal{F}}
\newcommand{\eps}{\...
- 835
1
vote
1
answer
151
views
Is smoothness preserved under an isometric isomorphism?
Let $(X, \|.\|_1)$ is isometrically isomorphic to $(X, \|.\|_2)$ and $\|.\|_2\leq \|.\|_1$. Assume that $x_0$ is a smooth point of $(X, \|.\|_1)$ and $\|x_0\|_2=1$. According to the definition of a ...
- 128k