All Questions
72 questions
7
votes
0
answers
549
views
Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
- 931
7
votes
1
answer
624
views
Expectation involving maximum of Gaussian variables
Let $X\sim N(0, I_d)$ be a $d$-dimensional Gaussian random vector. Let $W_1, \ldots, W_k \in \mathbb{R}^d$ be $k$ fixed vectors in general positions. It is clear that $w_i^\top X, \ldots, w_k^\top X$ ...
- 1,127
2
votes
0
answers
86
views
when is the average of a function with Gaussian inputs bounded away from zero
Define a function $\phi(x):\mathbb{R}\rightarrow\mathbb{R}$. Consider the expected value function defined as follows
\begin{align*}
\mu(\beta)=E[g\phi
(\beta g)]\quad with \quad g\sim\mathcal{N}(0,1)\...
- 363
4
votes
1
answer
225
views
Multivariate Zero-Bias Transform
The zero-bias transform for a univariate random variable $W$ is defined as a random variable $W^*$ satisfying
\begin{align}
\mathbb{E} [ W \cdot f(W )] = \mathbb{E} [ f' (W^*)]
\end{align}
for any ...
- 1,127
0
votes
1
answer
217
views
Reproducing Kernel Hilbert Spaces with positive kernels
In my research I'm dealing with the following question.
Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...
- 11
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
5
votes
2
answers
429
views
Does the truncated Hausdorff moment problem admit absolutely continuous solutions?
Let $\mu$ be a (Borel) probability measure on $[0,1]$ and define $m_j(\mu) = \int x^j\,\mu(dx)$. Let $k$ be a positive integer and consider the set $\mathcal C_{\mu,k}$ of probability measures $\nu$ ...
- 311
2
votes
1
answer
268
views
Monotonicity of the Hellinger integral/distance
Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral and distance are
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$ and $\...
- 128k
1
vote
2
answers
270
views
Fourier transform localisation (still unanswered, but apparently off-topic?) [closed]
In the context of Pólya's theorem I was reading these notes here on p. 19. In the last paragraph the authors claim (it is the sentence starting like "standard Fourier theory shows...") that the ...
- 19
2
votes
1
answer
186
views
Does $\int \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \to \Phi(u)$ imply that $f_t \to \delta_1$?
I'm looking at a family $(f_t)$ of densities of some continuous random variables and know that
$$\int_{-\infty}^{\infty} \Phi \left( \frac{u}{\xi} \right) f_t(\xi) \mathrm{d} \xi \xrightarrow{t \to \...
- 235
1
vote
0
answers
260
views
Generating the sigma algebras on the set of probability measures
I was wondering if somebody could help me see/provide a reference to the following fact: Let $X$ be a metrizable set, $\mathcal{F}$ the corresponding Borel sigma-algebra on $X$, and $\triangle\left(X,\...
- 11
0
votes
1
answer
195
views
Existence of bounded $n-$th derivative of the solution of differential equation
This question is the copy from mat.stackexchange.com here. I requestioned here due to the very limited responses there.
Let $\phi:\mathbb{R}\mapsto\mathbb{R}$ be the standard normal density, $$\phi(x)...
- 133
4
votes
1
answer
1k
views
For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?
I am trying to characterize all measures on $\mathbb{R}$ such that
$$
\sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty,
$$
where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...
- 1,649
4
votes
1
answer
1k
views
Can't figure out "standard application" of the Garsia-Rodemich-Rumsey Lemma
I'm currently reading the paper http://arxiv.org/abs/0908.2473 and can't figure out what they call a "standard application" of the Garsia-Rodemich-Rumsey lemma (see p.8). Summed up, they have a ...
- 617
1
vote
0
answers
57
views
Looking for CDFs that I can integrate a particular transformation of
I need two CDFs $G$ and $\lambda$ with unbounded support such that I can integrate
$$ \int_{-\infty}^t \lambda(a(x+b))dG(x), $$$a>0,b\in\Re$. As far as I can tell, there exist no functions that ...
- 11
3
votes
1
answer
171
views
Characterization of a set in $\mathbb{R}^d$
Let $X= (X_1,\dots, X_d)$ be a fixed vector of random variables on the space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the following set.
\begin{equation}\label{main12}
C= \{x\in \mathbb{R}^d ~|~ ...
- 57
1
vote
2
answers
226
views
Smooth but non-analytic kernel functions
Does there exist a (stationary) covariance kernel function which is $C^\infty$-smooth but not real analytic? If so, could you please provide an example?
- 8,512
4
votes
1
answer
280
views
Approximation of an integral over the unit ball of L_1
For every $\varepsilon>0$ find a piecewise continuous function $q:[0,1]\rightarrow \mathbb{R}$ such that $\int_0^1 q(x)dx=1$ and
$$\int_{0}^1 \int_{0}^{s} \left|\frac{q(s)q(t/s)}{s}- \frac{q(t)q((s-...
- 4,705
2
votes
0
answers
263
views
A strange Weakly Compactness in $L^1 ( \Omega, \mathcal{F}, \mathbb{P})$
Hi to everyone,
The ingredients of my problem are the following:
I have a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, a set (continuum cardinality) $\mathcal{Q}$ of probability measures on $...
- 21
2
votes
1
answer
469
views
If two probability distributions have the same weak limit and one of them satisfies Large Deviation Principle, what can we say about the other?
If the probability distribution function of two sequences of random variables have the same weak limit and one of the sequences satisfies a Large deviation principle, then does it imply that the other ...
- 3,245
7
votes
3
answers
4k
views
Is a semicontinuous real function Borel measurable?
Let $f(x,u): [0,1]^2 \mapsto \mathbb{R}$ be a continuous
function.
[Q] Is $g(x) = \inf_{u\in [0,1]} f(x,u)$ always Borel measurable?
If not, can one find a counter-example?
Note that, for any $c$,
...
- 1,399
5
votes
1
answer
781
views
Does a log-concave function on a convex set extend continuously to the boundary?
Let $U$ be an open convex set in a locally convex space $X$, and let $f : U \to [0,1]$ be a log-concave function on $U$ (i.e., bounded and real-valued). Under what conditions does $f$ have a ...
- 8,512