All Questions
Tagged with integration pr.probability
133 questions
106
votes
5
answers
10k
views
integral of a "sin-omial" coefficients=binomial
I find the following averaged-integral amusing and intriguing, to say the least. Is there any proof?
For any pair of integers $n\geq k\geq0$, we have
$$\frac1{\pi}\int_0^{\pi}\frac{\sin^n(x)}{\...
- 43.2k
30
votes
4
answers
2k
views
If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are other proofs of this known?
I know a proof of the theorem that if $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. The proof uses an integral representation of the absolute value,
$$\int_0^\...
- 409
25
votes
5
answers
2k
views
Find the area of the region enclosed by $\frac{\sin x}{\sin y}=\frac{\sin x+\sin y}{\sin(x+y)}$ and the $x$-axis (comes from a probability question)
This question resisted attacks at MSE, so I am posting it here.
Here is the graph of $\dfrac{\sin x}{\sin y}=\dfrac{\sin x+\sin y}{\sin(x+y)}$.
Find the area of the region enclosed by the curve and ...
- 3,527
18
votes
0
answers
571
views
Fundamental Theorem of Algebra via multiple integrals
Consider the product of complex linear monic polynomials times polynomials of degree less than $n$, that is $\big( (z-\lambda), p(z)\big)\mapsto (z-\lambda)p(z)$. If we represent a polynomial by its ...
- 60.5k
14
votes
2
answers
1k
views
Expected number of lines meeting four given lines or "what is 1.72..."
Given four random lines in $\mathbb{R}P^3$, how many lines intersect all of those lines?
In the recent paper Probabilistic Schubert Calculus, Peter Bürgisser and Antonio Lerario
discuss this question ...
- 10.7k
14
votes
1
answer
2k
views
Why do we mainly integrate with respect to martingales?
Although my resarch focuses on PDEs (optimal transport, these days), I am currently trying to learn stochastic calculus and integration. I am just beginning in this topics, but I was wondering: why do ...
- 5,380
13
votes
1
answer
761
views
If $(a,b,c)$ are the sides of a triangle, then the probability $P(ax + by \ge c) = \frac{4}{\pi^2}\chi_2(x) + \frac{4}{\pi^2}\chi_2(y)$
Posting this question in MO since it is unanswered in MSE
Let $(a,b,c)$ be the side of a triangle. In its most general linear form, the triangle inequality can be expressed as: Does $ax + by \ge c$ ...
- 5,470
12
votes
1
answer
628
views
A function with unexpectedly simple Legendre transformation
Let $I(x) = \frac{1}{2\pi} \int_{-2}^2 \sqrt{4-y^2}\ln|x-y|dy$. Then $I(x)$ is a concave function and
\begin{equation}
I(x)=
\begin{cases}
\frac{1}{4}x^2-\frac{1}{2}, &\text{if } |x|\leq2 \\
\...
- 1,608
11
votes
1
answer
745
views
Find the area of the region enclosed by $\sin^p x+\sin^p y=\sin^p(x+y)$, the $x$-axis and the $y$-axis (comes from a probability question)
Consider the graph of $\sin^p x+\sin^p y=\sin^p(x+y)$, where $x$ and $y$ are acute, and $p>1$.
Here are examples with, from left to right, $p=1.05,\space 1.25,\space 2,\space 4,\space 100$.
Find ...
- 3,527
9
votes
2
answers
646
views
Rain droplets falling on a table
Suppose you have a circular table of radius $R$. This table has been left outside, and it begins to rain at a constant rate of one droplet per second. The drops, which can be considered points as they ...
- 191
9
votes
1
answer
2k
views
Kullback-Leibler divergence of scaled non-central Student's T distribution
What is the Kullback-Leibler divergence of two Student's T distributions that have been shifted and scaled? That is, $\textrm{D}_{\textrm{KL}}(k_aA + t_a; k_bB + t_b)$ where $A$ and $B$ are Student's ...
- 598
8
votes
3
answers
628
views
Expected distance between two uniform points in distinct rectangles
Are there any good approximations (especially upper bounds) for the quantity $E(\|X_1-X_2\|$), where each $X_i$ is uniformly distributed in a rectangle $[a_i,b_i]\times[c_i,d_i]$? It does not appear ...
- 4,049
8
votes
2
answers
330
views
q-Means and the mode of a distribution
Let $f:\mathbb{R} \rightarrow [0,\infty)$ be a continuous probability density function on $\mathbb{R}$ such that
\begin{equation}
\int_{\mathbb{R}} |x| f(x)\, dx < \infty,
\end{equation}
and ...
- 640
7
votes
3
answers
966
views
Expectation of a simple function of multivariate gaussians iid rvs
I would like to compute analytically the following expected value:
$$ E\left( \frac{X_i^2}{\sum_j \lambda_j^2 X_j^2}\right) $$
where the $X_i \approx N(0,1)$ are iid.
It seems to be an elementary ...
- 461
7
votes
1
answer
621
views
Does every (generalized?) Markov chain admit transition probabilities?
To pose the question let us start by recalling the following notions:
Transition Probabilities. A transition probability matrix between two measurable spaces $(S,\mathcal{S})$ and $(V,\mathcal{V})$ ...
- 486
6
votes
2
answers
3k
views
What's the probability distribution of a deterministic signal or how to marginalize dynamical systems? (functional integrals in probability theory)
Because I still have no idea how it is possible for me to write down seemingly important equations ... that don't make any sense (at least for me) and because I haven't got any helpful comment so far, ...
- 1,026
6
votes
2
answers
3k
views
Weak convergence of random measures
Let $\mu_n,n\in \mathbb N$ be a random probability measures and let $\mu$ be a deterministic probability measure on $\mathbb R$. That is to say, that the $\mu_n$ are measurable maps from a probability ...
- 255
6
votes
1
answer
343
views
Is there a standard way of defining the integral of an extended real function with respect to a finitely additive probability measure?
Let $X$ be a set, and let $\mu$ be a finitely additive probability measure defined on $2^X$. Let $\Phi$ be the set of functions from $X$ to $\mathbb R \cup \{-\infty, \infty\}$.
Is there a standard ...
- 869
6
votes
1
answer
433
views
Triangle inequality for Ito integral?
For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say
$$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$
Now if ...
- 536
6
votes
1
answer
340
views
Law of unconsious statistician: application in characteristic function
Let $g(x)=(x-a)\mathbf 1_{x\ge a}$ for some $a>0$ and let $X$ be a non-negative random variable with cdf $F$ and $E[X]<+\infty$. I want to calculate $$\frac{d}{da}E[g(X)]$$ To do that I thought ...
- 5
6
votes
1
answer
684
views
Differentiable dependence on the initial condition of the solution of a SDE
Let
$b,\sigma:\mathbb R\to\mathbb R$ be differentiable and Lipschitz continuous
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a complete and right-...
- 167
5
votes
3
answers
945
views
An Integral and derived double integral
Suppose that $f\left(x\right)\geq0$ is continuous on $\left[-\infty,\infty\right]$
and $\int_{-\infty}^{\infty}f\left(x\right)dx=1$. Is it true that
$\int_{-\infty}^{\infty}\left|x\right|f\left(x\...
- 65
5
votes
3
answers
475
views
Closed form $\int_{0}^{\frac{r}{2}} {\binom{n}{p} \binom{n-p}{r-2p} 2^{r-2p}}{\binom{2n}{r}^{-1}} \ \text{d}p$
Note: This is exact copy of my Math.SE question, which I am reposting here, as despite bounty it did not receive any answers.
Let there be $n$ pairs of shoes in a box.
The the probability that from ...
- 67
5
votes
1
answer
319
views
Spherical average of $\frac{1}{x}$
Let $X_1,...,X_n$ be points on $\mathbb S^1.$
We then define the expectation value $E(X)=\frac{1}{n}\sum_{i=1}^n X_i.$
Let $\frac{dS(X_1)}{2\pi}$ be the normalized surface measure of $\mathbb S^1,$ i....
- 124
5
votes
1
answer
2k
views
Normal multivariate orthant probabilities
(Previously I posted a similar question on math.SE, hoping that this question would have an easy answer. As the question appears hard, I am hoping I can perhaps get more feedback here.)
Let $\mathbf{...
- 733
4
votes
2
answers
274
views
Is it true that the quantile function of an $L^1$ random variable is $L^2(]0,1[)$?
Let $(\Omega, \mathcal A, P)$ be a probability space. Let $X:\Omega \rightarrow \mathbb R$ be an $L^1(\Omega, \mathcal A, P)$ random variable.
We define the distribution function of $X$ by
$$F(x) = ...
- 143
4
votes
1
answer
424
views
An exercise on log-concave random variable on the real line
Let $X$ be a real random variable with log-concave density $f$. Assume that $E(X) =0$ and $E(X^2)=1$.
Show that there is a universal (independent of $X$) constant $c>0$ such that:
$$P(X\in[-1/2;0])\...
- 245
4
votes
1
answer
205
views
Show that $\frac{1}{2 \pi i} \oint_{\mathbb{S}^1} \frac{1-\hat{f}(\xi)}{1-\xi}\cdot \frac{\mathrm{d} \xi}{\xi^{n+1}} \to 0$ as $n \to \infty$
Let $f = (f_0,f_1,\ldots,f_n,\ldots) \in \mathcal{P}(\mathbb N)$ be a probability distribution on $\mathbb N$ and denote by $$\hat{f}(z) = \sum_{n\geq 0} z^n f_n$$ for its probability generating ...
- 730
4
votes
1
answer
268
views
An inequality concerning convexity and expectation
Assume $f$ and $g$ are nonnegative with
$$\int_0^\infty f(x)dx=1=\int_0^\infty g(x)dx
$$
and
$$\int_0^\infty xf(x)dx<\infty > \int_0^\infty xg(x)dx
$$
Is it true for nonnegative numbers $p$, $q$ ...
- 24.8k
4
votes
1
answer
740
views
Integral wrt probability measure
Let $\Theta\subseteq\mathbb{R}^d$ is open set and $(\cal X, \cal A)$ be a measurable space . For every $\theta\in\Theta$, suppose that $P_\theta$ is a probability measure on $(\cal X, \cal A)$. ...
- 133
4
votes
2
answers
316
views
Average value of $\frac{x'A^2x}{x'A^3x}$ over surface of $n$-dimensional sphere
Suppose $A$ is a diagonal matrix with eigenvalues $1,\frac{1}{2},\frac{1}{3},\ldots,\frac{1}{n}$ and $x$ is drawn from standard Gaussian in $n$ dimensions. Define $z_n$ as follows
$$z_n=E_{x\sim \...
- 2,442
4
votes
1
answer
697
views
Numerical evaluation/approximation of non-central high-order moments of high-dimensional Gaussian measures?
I need to numerically evaluate/approximate non-central high-order moments of high-dimensional Gaussian measures/distributions with given mathematical expectations and covariance matrices.
The Gaussian ...
- 1,026
4
votes
1
answer
136
views
Decreasing tail integrals for nonnegative random variable $X$
Let $X$ be a nonnegative random variable with density function $f(x)$, distribution function $F(x)$, survival function $S(x)=1-F(x)$ and finite first and second moments. Let also
$$\ell(x):=\frac{1}{...
- 5
4
votes
1
answer
96
views
Estimate of $\frac{\int x^{2p}\,e^{-x^{2n}\,+\,\omega(x,y)}\;dx}{\int e^{-x^{2n}\,+\,\omega(x,y)}\;dx}$
For every $x,y\in\mathbb R$ let
$$ V(x,y) \,\equiv\, a\,x^{2n} + b\,y^{2m} - \omega(x,y)\,$$
where $a,b>0$, $n,m\in\mathbb N$, $n\geq m\geq1$, and $\omega$ is such that $\omega(x,y)/(x^{2n}+y^{2m})...
- 311
4
votes
1
answer
213
views
Practical way to check for geometric convergence
Target distribution is multimodal, 24 dimensions, continuous state space. For MCMC integration (MH sampler) I use a manually tuned proposal distribution.
When I measure the convergence rate ...
- 101
4
votes
1
answer
562
views
Time-integral of a smooth, vector-valued function of a planar Brownian bridge
I'm looking for information on how to compute the distribution of the random vector
$$Z = \int_0^t f(B_s) ds$$
where $t>0$ is fixed, $B_s$ is a 2D Brownian bridge with $B_0 = 0$, $B_t=b \in \...
- 43
4
votes
0
answers
75
views
Marginalization of Wishart distribution
Consider the following Wishart distribution
$$
f({\bf W}) = \frac{ |{\bf W}|^{(n-p-1)/2} \exp\big[-\frac{1}{2}\text{tr}({\bf V}^{-1}{\bf W} ) \big] }{2^{np/2} |{\bf V}| \Gamma_p(\frac{n}{2})} \tag{1}
$...
4
votes
0
answers
428
views
Inverse of matrix-valued function
Given $c>0$. Let $\gamma_c:{\cal M}_{k \times k}^+\mapsto {\cal M}_{k \times k}^+$ is a function defined by
\begin{equation}
\gamma_c(\Omega)=\frac1{\sqrt{(2\pi)^{k}|\Omega|}}\int_{\mathbb{R}^k}\{(-...
- 133
3
votes
3
answers
593
views
An integral involving hyperbolic functions
I am wondering if it is possible to obtain a closed-form formula for
$$
f(\alpha) = \frac{1}{{\sqrt{2 \pi } \; \alpha }} \int^\infty_{-\infty} x^2 \cosh(x) \; e^{-\frac{\sinh ^2(x)}{2 \alpha ^2}} \...
3
votes
2
answers
994
views
measurability of integrated functions
DISCLAIMER: I'm not a mathematician, but a computer scientist, so I hope the question is not trivial (or perhaps I hope so, in order to get a definitive answer). Anyway it's not a homework, as ...
user11618
3
votes
2
answers
1k
views
Is there a corresponding Hahn decomposition theorem for the real-valued Radon measures?
Hello,
As we know that a signed measure $\mu$ on $R$ can be decomposed to the positive part $\mu_+$ and negative one $\mu_-$ by the Hahn decomposition theorem.
My question is whether each real-...
- 1,649
3
votes
2
answers
168
views
A definite integral related to sample variances of bivariate Gaussians
This integral is needed to obtain the joint
distribution of the sample variances of a random sample from a bivariate
Gaussian distribution. For details on the joint distribution of the sample
means, ...
- 984
3
votes
1
answer
942
views
Cumulative integral of the Marchenko-Pastur density for Wishart eigenvalues
I can't find any work on the cumulative density function of the well-known Marchenko-Pastur density for the eigenvalues of a standard Wishart Matrix as its dimension goes to $\infty$, i.e.
$$F(\beta)=...
- 51
3
votes
1
answer
271
views
Expectation on a Polish space
I was wondering, if given a Polish space $X$, and given some probability measure $p$ on $X$, can the expectation of an $X$-valued function be taken? In particular, would the integral
$\int_X x dp$ ...
- 291
3
votes
1
answer
2k
views
From Lebesgue Integral to Stieltjes Integral, and integration by parts
Let $X$ be a real random variable with c.d.f function $F$.
Let $g$ be an increasing measurable real function and assume that $\mathbb{E}\left[g(X)\right]$ exists (and is finite).
What additional ...
- 591
3
votes
1
answer
205
views
Bound on an integral representing a difference of two relative entropies
Let $ f : [0,1] \to \mathbb{R} $ be a function satisfying: 1.) $ |f(x)| \leqslant a $ for some $ a < 1 $, and 2.) $ \int_0^1 f(x) {\mathrm d}x = 0 $. I would like to know whether the following ...
- 503
3
votes
1
answer
146
views
Convolution between normal distribution and the maximum over $m$ Gaussian draws
$\DeclareMathOperator\erf{erf}$
Let's consider the Gaussian distribution $P_X(x)= \frac{1}{\sqrt{2 \pi \sigma^2}} e^{- \frac{x^2}{2 \sigma^2}}$. Now consider the random variable $W \equiv \max \{ X_1, ...
- 305
3
votes
1
answer
311
views
An integral by rough path.
If $(b, \mathbb{b})\in \mathcal{D}^{\alpha}[0,T],\ \alpha\in (\frac{1}{3}, \frac{1}{2})$. $\mathcal{D}^{\alpha}[0,T]$ is the space of those rough paths $(b,\mathbb{b})$
such that
$$ \|b\|_\alpha=...
- 515
3
votes
0
answers
105
views
Maximal-type inequality for a Borel probability measure supported on a subset of $L^2(\mathbb{R}^d)$
Let $\mu$ be a Borel probability measure on $L^2(\mathbb{R}^d)$ for $d\ge 1$ which is moreover supported on the unit sphere
$$S=\{\phi\in L^2(\mathbb{R}^d): \| \phi\|_{ L^2(\mathbb{R}^d)}=1\}.$$
Let ...
- 840
3
votes
0
answers
176
views
What is the meaning of big-O of a random variable?
I encountered this problem in a book "Pattern Recognition and Machine Learning" by Christopher M. Bishop. I excerpt it below:
screenshot of the book
In the excerpt, the big-O notation $O(\xi^...
- 31