# Questions tagged [gaussian]

The gaussian tag has no usage guidance.

92
questions with no upvoted or accepted answers

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201 views

### Are the ordinates of the non-trivial zeros of $\zeta(s)$ uniformly distributed around the mid points of Gram point intervals they can be mapped to?

Let $\rho_n$ be the $n$-th non-trivial zero of $\zeta(s)$ and $z_n = \Im(\rho_n)$ with $z_n > 0$ and $z_{n+1} \ge z_n$.
A well known method to establish that all $\rho$s reside on the critical line ...

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96 views

### Which orthant probabilities are the largest? (For a multivariate normal distribution)

I have a $k$-dimensional multivariate normal distribution $X∼N(0,\Sigma)$ with covariance matrix $\Sigma$. $\Sigma$ has two distinct eigenvalues, say $\lambda_1 > \lambda_2$, with orthogonal ...

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575 views

### Anti-concentration inequality for Gaussian random vector

I am trying to obtain an explicit expression for $C$ in terms of $b$ in the following inequality.
Suppose that $Y$ is a centred Gaussian random vector in $\mathbb R^p$ such that $\operatorname EY_j^...

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171 views

### anti-concentration of multi-linear polynomials in Gaussian variables

A Gaussian variable $X_i\sim {\cal N}(0,1)$ is anti-concentrated in the following sense: for any $\epsilon>0$ we have:
$$
\mathbf{P}( |X_i| \leq \epsilon ) = O(\epsilon).
$$
Hence if we consider a ...

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votes

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110 views

### L^1 maximal inequalities for the Ornstein-Uhlenbeck semigroup in infinite dimension

For an infinite-dimensional Gaussian random vector $X$ consider the Ornstein-Uhlenbeck maximal operator:
$M f(X) := \sup_{\rho \in [0,1]} \mathsf{E} [f(\rho X + (1-\rho^2)^{1/2} X^\prime) \mid X]$
(...

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262 views

### envelope function for a linear combination of gaussian distributions

Given a distribution $F$ defined as a linear combination of Gaussian distributions:
$F = \sum_{i=1}^n C_i*N(\mu_i,\sigma_i)$ with $\sum_{i=1}^n C_i = 1$
I want to find a Gaussian function $Q = a*e^{\...

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2k views

### Hubbard-Stratonovich Transformation

Hello,
The Hubbard-Stratonovich transformation
$\exp(x^2) = \frac{1}{\sqrt{4 \pi}} \int_{-\infty}^{+\infty} du \exp(-\frac{u^2}{4} - xu)$
allows one to wirte the exponential of a the square of a ...

**4**

votes

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147 views

### Approximation of integral of gaussian function over a parallelepiped

Remark: I posted this question in math stackexchange here and computer science stackexchange https://cs.stackexchange.com/ few weeks ago but obtain no answer.
Given a multi-dimensional gaussian ...

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votes

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81 views

### Max / Argmax of a function which includes sums of Gaussian CDFs and PDFs can surprisingly be approximated by a power law

Given $N\in\mathbb{N}$, I have been trying to calculate $m_N=\text{max}_{x\in\mathbb{R}^{+}}\chi_N(x), d_N=\text{argmax}_{x\in\mathbb{R}^{+}}\chi_N(x)$ for the function:
$$\chi_N(x)=\frac{\sum_{i\in ...

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votes

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73 views

### How well does an estimator perform on another dataset?

Suppose $X \sim N(0, \Sigma)$ is a $d$-dimensional Gaussian random vector. And we have $2n$ $i.i.d$ sample $X_1, \ldots, X_{n}, \ldots, X_{2n}$.
Let $\hat{\Sigma}_1 = \frac{1}{n}\sum_{i=1}^nX_i X_i^\...

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votes

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153 views

### Level sets of linear combinations of Gaussians

I am trying to work out whether level sets of linear combinations of Gaussian functions are unique.
For a given integer $n\ge 1$, fix $n$ points $x_i\in\mathbb{R}^d$ and $\sigma>0$. Let $\mathcal{...

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votes

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111 views

### Seeking a precedent – two-stage Gaussian integration?

Sometimes, by iteration, linear algebra can be used to solve non-linear equations. For example, consider the system
$$Ax=a \qquad B(x)y=b(x), $$
where $a$ is a vector with scalar entries, $A$ is a ...

**3**

votes

**1**answer

107 views

### Gaussian process kernel parameter tuning

I am reading on gaussian processes and there are multiple resources that say how the parameters of the prior (kernel, mean) can be fitted based on data,specifically by choosing those that maximize the ...

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80 views

### Pedestrian proof of Gaussian chaos for order-two polynomial?

Let $\ell \geqslant 1$. Let us consider $(g_n)_{n \in \mathbb{N}}$ identically distributed independent real gaussian variables and real number $(a_{n_1,\dots n_{\ell}})_{(n_1, \dots, n_{\ell}s)\in\...

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votes

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118 views

### Regularity of optimal transport of Gaussian mixtures

In one of the problems that I am working on, I came across the topic of smoothness of optimal transport for Gaussian mixtures. In particular, let $P=P_\theta=\sum_{i=1}^k \frac{1}{k}\mathcal{N}(x| \...

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votes

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125 views

### an inverse problem related to gaussian integral

Suppose we have a function $\rho(x,t)$ defined over $[-1,1]\times[0,1]$.
Define the integral
$
f_T(x)=\int_{[0,1]} (\rho(.,t)*K_{T-t})(x) dt
$
for $x\in R$ and $T>1$, where $*$ is the convolution, ...

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votes

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216 views

### Small rectangle probability

Let $H$ be a Hilbert space and $\mu$ be a centered Gaussian measure on it. Also, let the eigenpair corresponding to $\mu$ be $(i^{-\alpha} , e_i)$ with $\alpha > 1$. Assume we have a ball of radius ...

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votes

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262 views

### Equivalence of Gaussian measures on Hilbert space

Suppose we have 2 nondegenerate Gaussian measures given by N(0,T) and N(0,S) supported on a separable Hilbert space H. T and S are such that eigenbasis of S lies in the cameron martin space of N(0,T)....

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votes

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2k views

### distribution of integral of exponential of wiener process

I am absolute newbie to stochastic calculus and have to solve a weighted hazard rates integral, where the hazard rates are stochastic, their logarithm governed by arithmetic Ornstein-Uhlenbeck (OU) ...

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votes

**1**answer

41 views

### Identity for Hilbert-valued Gaussian random vectors

Let $X$ be a zero-mean Gaussian random element in a separable Hilbert space $\mathcal{H}$ with covariance operator $\Sigma$. Let $f:\mathcal{H} \to \mathbb{R}$ be a real-valued function. Can we show ...

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votes

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38 views

### The optimality of Kalman filtering

It is known that the Kalman filter estimates the state of the following system recursively.
$$x_{k+1}=Ax_k+w_k, \ \ w_k \sim \mathcal{N}(0,Q)$$
$$y_k=Cx_k+v_k, \ \ v_k \sim \mathcal{N}(0,W)$$
In the ...

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votes

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125 views

### Slepian's Lemma for Range?

Let $\vec{x}$ and $\vec{y}$ be zero mean $n$-variate Gaussian variables with covariances $\Sigma^x, \Sigma^y$. Suppose they have identical marginals ($\sigma_{i,i}^x = \sigma_{i,i}^y$ for all $i$), ...

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votes

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124 views

### Reference: hitting time of Gaussian process

Let $X_t$ be an OU process and $Y_t$ be the Gaussian process defined by
$$
Y_t = y+\int_0^t X_s ds + W_t,
$$
for some Brownian motion independent of $X_t$. Let $y,a>0$; is there a large deviation ...

**2**

votes

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178 views

### Measure change bound for function of subgaussian r.v

Let $X$ be a (sub)gaussian r.v. on $\mathbb{R}^d$; say $X\sim\mathcal{N}(\mathbf{0},\mathbb{1}_d)$; and let $a\colon\mathbb{R}^d\to [0,1]$ be a function with $\mathbb{E}[a(X)] > 0$.
It is not hard ...

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votes

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184 views

### Optimal transport between Gaussian mixtures and their centers

I have a question about bounding the Wasserstein loss between a continuous Gaussian mixture and a discrete uniform distribution of its centers. In particular, let $P=\frac 1 k \sum_{i=1}^k \mathcal{N}(...

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148 views

### Sum of Gaussian matched by Brownian Motion?

Given independent Gaussian $d$ dimensional vectors $G_i$,
If $\mathbb{E}(\sum_{i \le n} G_i) \cdot (\sum_{i \le n} G_i)^T=n \cdot I_{d \times d} + o(n^{1-\epsilon})$.
there exists Brownian motion $...

**2**

votes

**2**answers

334 views

### Quantifying the effect of noise on the posterior variance in Gaussian processes / multivariate Gaussian vectors

Consider a real-valued Gaussian process $f$ on some compact domain $\mathcal{X}$ with mean zero and covariance function $k(x,x') \in [0,1]$ (also known as the kernel function). This question concerns ...

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182 views

### Moments of a Normal-Wishart distribution

Do known expressions exist for the moments of a gaussian-wishart (aka normal wishart) distribution?
$$NW(\mu,K\mid\mu_0,\lambda_0, v, W) =
\frac{|\lambda_0K|^{1/2}}{(2\pi)^{d/2}}e^{-0.5([\mu - \mu_0]...

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votes

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192 views

### Gaussian integrals and Showing $ \int f({\vec {x}})e^{\left(-{\frac {1}{2}}\sum \limits _{i,j=1}^{n}A_{ij}x_{i}x_{j}\right)}d^{n}x=e^{D}f|_{x=0}$

This is related to my other question on tackling a gaussian integral for $f(w,u)=\frac{1}{w-u}$.
Q1 Suggestions on evaluating gaussian integrals with "nice" functions (not necessarily polynomials)
...

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78 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)\...

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votes

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97 views

### Calculate sample mean confidence interval of noisy logistical distribution

I have $n$ samples which follow a logistic distribution with unknown $u$ and $s$; it is affected by a Gaussian noise with 0 mean.
I would like to estimate its average $u$ with a confidence interval (...

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votes

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66 views

### Covariance of censored/clipped Gaussians

I am interested in the covariance of two clipped (or censored) Gaussian variables.
More precisely, let $g_1 \sim N(0,\sigma_1^2)$ and $g_2 \sim N(0,\sigma_2^2)$ be two (dependent) Gaussians with $\...

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votes

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172 views

### Maximum-likelihood estimation for univariate responses from multivariate data

I am new in the field of machine learning, so I hope I will be able to formulate my question in a clear way...
I have some data represented by vectors $\mathbf{x}_1,\mathbf{x}_2,\ldots,\mathbf{x}_n \...

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votes

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334 views

### What is the concentration of measure for Gaussian random variables which are independent, but are transformed?

This might be a too easy question for Mathoverflow, but Googling led to similar questions and answers here (though not the one I was looking for).
The question is split into two:
I have a matrix $X \...

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134 views

### Angular distribution for Gaussian vector with non-zero mean

The angular central Gaussian distribution (ACG) is the distribution of $\frac{\mathbf{x}}{\|\mathbf{x}\|}$, when $\mathbf{x}\sim\mathcal{N}\left(\boldsymbol{0},\mathbf{A}\right)$, where $\mathbf{x}$ ...

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472 views

### Gaussian measure on Banach spaces

Given any separable Banach space $B$ and a centered Gaussian measure $Q$ on it with Cameron-Martin space $H$, does there exist a Hilbert space $G$ and a Gaussian measure $W$ on it such that following ...

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532 views

### Expectation involving the ratio of normal pdf to normal cdf?

i need to calculate some expectations which involving the ratio of normal pdf to normal cdf.
Specifically, they are $E\{\phi(x)/\Phi(x)\}$ and $E\{x\phi(x)/\Phi(x)\}$ where $x\sim N(0,1)$.
Written ...

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vote

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36 views

### Generalization of a Gaussian measure continuity result from Hilbert to Banach space

Da Prato/Zabczyk "Second Order Partial Differential Equations in Hilbert Spaces" states the following lemma (this is a reformulation of proposition 1.3.11 in their book):
Let $\mu = \mathcal ...

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25 views

### What is the distribution of determinant of multi multiplication of some Gaussian matrices?

I have a square matric $H = (ABC)(ABC)^H$ where $A$ and $C$ are complex Gaussian matrices with some correlation matrices and $B$ is a diagonal matrix with entries $e^{j \theta}$ on the diagonal such ...

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53 views

### Law of OU process with time-dependent dynamics

Fix a non-negative integer $k$ and let $M^1:\mathbb{R}^n\rightarrow \mathbb{R}^n$ and $M^2,\Sigma:\mathbb{R}^n \rightarrow \mathbb{R}^{n\times n}$ be $k$-times continuously differentiable functions, ...

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vote

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89 views

### Gaussian order statistics

Setup. Let $\alpha\in(0,1)$ fixed; and $\tau\in[0,1]$ (think of it very close to one).
Suppose $X_1,\dots,X_n$ are i.i.d. standard normal.
Let $Y_1,\dots,Y_n$ be another sequence of standard normals ...

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46 views

### Explicit growth rate estimation of Gauss-Laguerre quadrature

The $n$-th Gauss-Laguerre quadrature scheme aims to approximate integral of exponentially decreassing function over $[0;+ \infty[$ by a finite sum, according to:
$ \displaystyle { \int _0 ^{+ \infty} ...

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vote

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30 views

### How to characterize the variance of a linear Gaussian system with switching?

Consider a random process described by the following linear dynamics:
$$
x_{k+1} = a x_k + n_k,
$$
where $|a|<1$ and $n_k$s are i.i.d. standard normal distributed.
It is quite easy to prove that $...

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115 views

### Relation satisfied by a Gaussian random variable

I want to prove the following relation for $X\sim \mathcal{N}(0,1)$, $x\in \mathbb{R}$ and $f(x)=\mathbb{E}[\max(X,x)]$:
$$f(\frac{f(x+1)+f(x-1)}{2})\leq \frac{f(f(x)-1)+f(f(x)+1)}{2}$$
It seems that ...

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54 views

### Bayesian inference of stochastically evolving model parameters

I have a question related to self-calibration in radio interferometry, but I will try to phrase it as generic as possible. I have a set of data points, $D = \{ d_{0, t_0}, d_{1, t_0}, ..., d_{M, t_0}, ...

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29 views

### Decomposition of Gaussian spaces with respect to covariance function

Let $K(t,s):T^2 \to \mathbb{R}$ be a kernel symmetric and type positive (for every $n$ $\sum^n_{i,j}u_iu_jK(t_i,t_j) \geq 0$ and $(u_1,\dots,u_n) \in \mathbb{R}^n$) where $T$ is any set. Thus, it is ...

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vote

**1**answer

316 views

### Explicit constant for Carbery–Wright inequality

The Carbery-Wright is a seminal result about the anti-concentration of polynomials of Gaussian random variables.
See e.g. Meka, Nguyen, and Vu - Anti-concentration for polynomials of independent ...

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36 views

### Convolve a 4D Gaussian function along a plane?

There is a 4D Gaussian function $G(u,s)=G(x|c,\mu,\Sigma )$ where $x=\begin{bmatrix}u\\ s\end{bmatrix}$,$u$ and $s$ is all 2D vector.
Now I want to blur (convolve) it along with $u$ by another 2D ...

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96 views

### Gaussian-weighted area of triangle

I'm trying to find how to generalise the calculation of the Gaussian-weighted area to triangles for convolution purposes. Let's start with how that works when there's only one line. If there's a line ...

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57 views

### Distances between up and down crosses in Gaussian Processes

Given a gaussian process $g := \mathcal{GP}\left(\mu, \Sigma \right)$,
where $\mu$ is the mean and $\Sigma$ is the covariance function, I am interested in estimating the mean value $L_m$ of the ...