All Questions
950 questions
2
votes
1
answer
834
views
Jacobian of changing of variables to singular value decomposition
It is well known that changing variables from a symmetric matrix to its eigenvalue decomposition involves a Jacobian which is just the Vandermonde determinant of the eigenvalues.
Now suppose I have a ...
- 884
2
votes
1
answer
346
views
Relate the solid angle and surface measure of a surface
Let $M$ be a 2-dimensional embedded $C^1$-submanifold of $\mathbb R^3$ with a global chart$^1$ $(U,\phi)$. If $u\in U$ and $x=\phi^{-1}(u)$, let $\nu_M(x)$ denote the unique unit normal vector of $M$ ...
- 167
2
votes
2
answers
185
views
Independence depth of linearly dependent random variables
Suppose, $\Xi$ is a collection of random variables. We call $\Xi$ $k$-independent, iff any $k$ distinct elements of $\Xi$ are mutually independent. For example, $2$-independence is pairwise ...
- 2,618
2
votes
1
answer
161
views
Expected value of global functions in renormalization group
This is related to my previous question. I'm having some problems understanding the local to global program discussed in Brydge's lecture notes. We are assuming $C=C_{1}+\cdots+C_{N}$ is a covariance ...
- 3,515
2
votes
1
answer
235
views
Sum of squares of middle binomial sums or 'Truncated mean' of binomial coefficients under binomial distribution
$\mu=1+\epsilon$ where $\epsilon>0$ holds.
1.Is there a good bound for $$T=\frac{\sum_{i=-\sqrt{\mu n\ln n}}^{\sqrt{\mu n\ln n}}\binom{n}{\frac n2 +i}^2}{2^n}?$$
This quantity can be ...
- 1,826
2
votes
1
answer
81
views
Finding a distribution satisfying uncountably many constraints. Any relevant references?
The problem I'm dealing with has the following form. Let $X$ be some uncountable set, and $Y$ be some finite set. Suppose $f: X \times Y \to [0,1]$, and given $\mathcal{H} \subseteq Y^X$, I'm looking ...
- 33
2
votes
1
answer
386
views
How balanced can abc triples be?
I was looking at the $241$ known "good" abc triples (i.e. with quality $\geqslant1.4$), wondering how frequently $a$ and $b$ would have more or less the same order of magnitude. The outcome is not ...
- 13.4k
2
votes
1
answer
273
views
Two kinds of invariance of full conditional probabilities
Given a field $F$ of subsets of $\Omega$, we can define full conditional probabilities to be a function $P:F\times (F-\{ \varnothing \}) \to [0,1]$ such that:
$P(-|B)$ is a finitely-additive ...
- 2,555
1
vote
2
answers
137
views
Sum and alternating sum of a series of Bernoullian variates
Consider the random variables
$a_i,i=0,1,\ldots,n$ be random variables which take values from $\{-1,1\}$ independently and randomly with equal probability. Let
\begin{align}
S &= a_1+\cdots+a_n , ...
- 826
1
vote
1
answer
84
views
Asymptotic property of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional data matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\top.
...
- 284
1
vote
0
answers
416
views
When does a proper Zariski closed set have measure zero with respect to a conditional measure?
Assume we have a probability measure $\mu$ over $\mathbb{R}^d$ that is absolutely continuous with respect to Lebesgue measure.
Given $m$ polynomials $p_1,\ldots,p_{m}\in \mathbb{R}[x_1,\ldots,x_d]$ ...
- 61
1
vote
1
answer
344
views
Is the Borel-Cantelli Lemma applicable here? [duplicate]
Consider $(X_{n})_{n\in\mathbb{N}}$ a sequence of random variables taking values in the set $\mathbb{Z}_{\geq 0}$ where $\mathbb{P}(X_{n} = i) > 0 $ for every $i\in\mathbb{Z}_{\geq0}$ which are ...
- 161
1
vote
1
answer
1k
views
Predictable quadratic Variation <.> has same intervals of constancy as the process
From
Revuz and Yor - Continuous Martingales and Brownian Motion 1999
Chapter IV Proposition 1.13
it is proven, that for a continuous local martingale $M_t$ the intervals of constancy ...
- 257
1
vote
1
answer
918
views
Pros and cons of probability model for permutations
I am studying probability model of random permetuation
Let $b(n; k)$ denote the number of permutations of {1,...,n} with precisely k
inversions ($inv(\pi)$). The analytic approach was considered by L....
1
vote
1
answer
247
views
Arc Sine law for Random Walk conditioned to non-absorption or not?
Let $S_n$ be simple symmetric Random walk on the integers in $[-N,N]$ with states $N$ and $-N$ absorbing. Let $\tau$ be the time to absorption when $S_0 = 0$.
Is the $E(S^{2}_{n}| \tau \geq n)$ known?...
- 61
1
vote
1
answer
124
views
References: error and stability estimates for information projection
$\newcommand\SS{P}\newcommand\TT{Q}$I will call a Gaussian probability measure $\SS$ on $\mathbb{R}^d$ isotropic if its covariance matrix is diagonal with non-vanishing determinant; i.e. $\Sigma_{i,i}&...
- 364
1
vote
0
answers
133
views
Does the Gaussian Poincare inequality hold for infinite dimensional measure metric spaces?
This is a question subsequent to the one:
Does the Gaussian Poincare inequality hold for $p=1$ as well as $p=2$?
There, I received a very helpful answer that the Gaussian poincare inequality for any ...
- 3,477
1
vote
1
answer
694
views
Rademacher complexity of a Lipschitz class: Are the boundedness constraints necessary?
Consider the following function class: $F={f:R^d\rightarrow [a,b], f(x)=\sigma(w^Tx)}$ where $\sigma(.)$ is Lipschitz, and $w\in R^d$ is a parameter vector. The problem I'm working on is a machine ...
- 517
1
vote
1
answer
208
views
Extreme confusion with the exact meaning of Gaussian measure with "translation-invariant" covariance
In physics literature, the covariance of a Gaussian measure $\mu$ on a function space is denoted as $C(x,y)$. Moreover, they say that if the covariance is translation-invariant, then actually $C(x,y)=\...
- 3,477
1
vote
1
answer
342
views
Mutual information staying constant under composition of channels
Consider the following scenario: one has 2 communication channels $C_1$ and $C_2$. Denote by $p(x)$ the input probability distribution.
The mutual information between the input and the output of $C_1$...
- 163
1
vote
0
answers
99
views
Expectation of $B_u \operatorname{argmax}_t B_t$
This question is a repost from math.stackexchange. The question turned out to be harder than I initially thought, so I decided to try my luck here.
Yesterday I asked a question about the joint law of ...
- 620
1
vote
1
answer
227
views
Does the Gaussian Poincare inequality hold for $p=1$ as well as $p=2$?
Let $X$ be a real-valued standard normal variable. Then, for any differentiable function $f: \mathbb{R} \to \mathbb{R}$ such that $E[f(X)^2] < \infty$ and $E[\bigl( f'(X) \bigr)^2] < \infty$, it ...
- 3,477
1
vote
1
answer
147
views
Stochastic order on weighted sum of iid random variables
$X_i$ are n iid random variables with CDF $1_{[0,+\infty[}(x) \Phi(x)$, i.e. it is a mixture between a half Gaussian and a delta in $0$, both with weight $1/2$.
I would like to show that, $\forall a \...
- 65
1
vote
1
answer
121
views
Characterization of Fellerian kernels
This question concerns Feller Markov kernels, similar to Vanessa's question.
Terminology
By 'Markov kernel' $N:E\to F$, we adopt exactly the same definition as Vanessa, with the exception that $E,F$ ...
- 235
1
vote
1
answer
237
views
Poisson kernel, expectation, an absolute value comes in
See here.
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. We see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\...
- 13
1
vote
0
answers
463
views
How far away is the maximum of $n$ i.i.d. chi-squared random variables from the rest of the sequence as $n$ gets large?
Suppose that I have a sequence of $n$ i.i.d. chi-squared random variables with $k$ degrees of freedom $X_1, X_2, \ldots, X_n$, and denote $X_{\max}=\max(X_1, X_2, \ldots, X_n)$. Let $k$ be increasing ...
- 907
1
vote
2
answers
1k
views
Probability spaces involved in using Bayesian Inference
I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...
- 119
1
vote
2
answers
121
views
How to solve the optimization problem $\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$?
I am looking for an algorithm to solve the following optimization problem
$$\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$$
where $\mathbf{w}$ and each $\mathbf{x}_i\in\mathbb{R}^d$.
...
- 175
1
vote
1
answer
377
views
Order statistics of iid uniform RV and Pólya's urn model. Question about a.s. convergence
Let $U_1,U_2,U_3,\dots$ be IID uniform on $[0,1]$. For each $n\geq 1$ let
$$U_{1:n}<U_{2:n}<\dots<U_{n:n}$$
be the order statistic of $(U_1,\dots,U_n)$. Independent of the $U$ process there ...
- 265
1
vote
1
answer
352
views
Double Markovity
Suppose we have a double Markov relation for three random variables $X$, $Y$ and $W$ as follows
$$X\to W\to Y,$$ and $$X\to Y\to W.$$
How to prove that there exist functions $f$ and $g$ such that
$$...
- 1,109
1
vote
0
answers
100
views
Conditions on a measure to satisfy certain relation on moments.
Suppose we have a measure $\mu$ on $\mathbb R_+$ such that $\forall s>-1$ $t^s\in L^1(\mathrm d\mu(t))$.
I'd like to impose some conditions on $\mu$ so the function
$$f:p\to \frac{\int_0^\infty t^...
- 173
1
vote
1
answer
166
views
Question abouth Skorokhod representation of random variables (II)
This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ \...
- 1,835
1
vote
1
answer
341
views
Form of minimax estimator
Let $\Delta$ be the set of all probability distributions over $\mathbb{N}=\{1,2,\ldots\}$ and fix some $\mathcal{P}\subseteq\Delta$.
Suppose additionally that $\Delta$ is endowed with some norm $||\...
- 6,541
1
vote
0
answers
83
views
Tracy Widom type results for asymptotic distribution of the $k$-th largest eigenvalue of the sample covariance when $n, p \to \infty$?
Earlier I asked a question: Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?, but I forgot to mention that I'd like results for asymtotic regime. So, I'm posting here ...
- 1,467
1
vote
1
answer
151
views
If $f(x_1,x_2)=f(x_2,x_1)$, $f(x_1,x_2)=\sum_k \lambda_k f_k(x_1)f_k(x_2)$? [closed]
Consider a symmetric function
$$
f(x_1,x_2):R^n \times R^n \to R
$$
satisying $f(x_1,x_2)=f(x_2,x_1)$. Are there functions $f_k:R^n \to R$ such that
$$
\int_{x\in R^n}f_k(x)f_l(x)dm=\delta_{kl},
$$
...
1
vote
2
answers
190
views
PDF of $g = \frac{1}{n} \sum_{k=1}^{n}{|h_k|\exp\left( j \theta_k \right)}$?
Given the following function of random variables
$$g = \frac{1}{n} \sum_{k=1}^{n}{|h_k|\exp\left( j \theta_k \right)},$$
where $h_1, \cdots, h_n$ are i.i.d. random variables following the complex ...
1
vote
0
answers
103
views
Confusion optimal control abuse notation
I'm currently reading this paper describing a numerical scheme for the approximating optimal policy of a stochastic control problem. However, I run into a confusion directly on the first page where ...
- 5,405
1
vote
0
answers
63
views
Properties of a kernel convolution $K'(x,y) = \int_X\int_X K_0(x,a)K(a,b)K_0(b,y)d\mu(a)d\mu(b)$ where $K$ and $K_0$ are kernels on $(X,\mu)$
Let $(X,\mu)$ be a probability measure space and $K:X \times X \to \mathbb R$ be a (psd) kernel on $X$. Let $K_0$ be another kernel on $X$ and defined a new kernel $\widetilde K$ on $X$ by
$$
\...
- 6,853
1
vote
1
answer
412
views
Exit time estimate for a simple continuous-time random walk
Let $S = (S_t, t \geq 0)$ be a simple one-dimensional continuous-time random walk with total jump rate one, $S_0 = 0$. Denote by $T_k$ the time when $S$ exits the interval $I_k = [-k,k] \cap \...
- 724
1
vote
0
answers
80
views
Large deviations estimate for arbitrary continuous function
Fix $\epsilon>0$ and let $(\Omega,\mathcal{F},\mathcal{F}_t,\mathbb{P})$ be a stochastic base, and let $f:\mathbb{R}^n\to \mathbb{R}^n$ be a continous function with $f(0)=0$. Is there a family of ...
- 5,405
1
vote
3
answers
173
views
Is $\sum_{\substack{s\:\ge\:0\\\Delta X_s\:\ne\:0}}1_B(s,\Delta X_s)$ measurable for fixed $B\in\mathcal B([0,\infty)\times\mathbb R)$?
Let $(X_t)_{t\ge0}$ be a càdlàg Lévy process on a filtered probability space $(\Omega,\mathcal A,(\mathcal F_t)_{t\ge0},\operatorname P)$ and $B\in\mathcal B([0,\infty)\times\mathbb R)$.
How can we ...
- 167
1
vote
1
answer
216
views
Rademacher complexity of function class $(x,y) \mapsto 1[|yf(x)-\alpha| \ge \beta]$ in terms of $\alpha$, $\beta$, and Rademacher complexity of $F$
Let $X$ be a measurable space and let $P$ be a probability distribution on $X \times \{\pm 1\}$. Let $F$ be a function class on $X$, i.e., a collection of (measurable) functions from $X$ to $\mathbb R$...
- 6,853
1
vote
1
answer
230
views
VC dimension of a certain derived class of binary functions
Let $X$ be a measurable space and let $P$ be a probability distribution on $X \times \{\pm 1\}$. Let $F$ be a function class on $X$, i.e., a collection of (measurable) functions from $X$ to $\mathbb R$...
- 6,853
1
vote
1
answer
89
views
Correlation between r.v.'s following a distribution that is the ration between complex Gaussian and Chi-square r.v.'s
Given the following two R.V.s
$$z_{1} = \frac{x_{1}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
and
$$z_{2} = \frac{x_{2}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
where $x_{i} \sim \mathcal{CN}(...
1
vote
1
answer
183
views
Expectation of edge weights on the complete graph
Let $n,k \geq 3$ be positive integers with $n$ much larger than $k$ and consider a random assignment of weights to the edges of the complete graph $K_n$. On each vertex of $K_n$ we attach a random ...
- 26.9k
1
vote
2
answers
237
views
Fair partitioning of a set - Weighted sums of Bernoullis
For $n$ an integer, let $a_n$ be the number of ways in which one may partition the set $\{1, \ldots, 2n \}$ in two parts with:
the same number of elements: $n$
and the same sum: $2n(2n+1)/4$.
...
- 468
1
vote
2
answers
889
views
Simplify Wasserstein distance between Gaussians with binary cost function
Let $\mu_1$ and $\mu_2$ be 1D gaussian distributions with means $m_1$ and $m_2$ respectively and common variance $\sigma$. Let $\Omega$ be a closed subset of $\mathbb R^2$, and consider the cost ...
- 6,853
1
vote
3
answers
3k
views
Any reference on Brownian Motion continuity
Hi,
I've started studying brownian motion, and gathered some books on the subject but
something looks odd to me : All of the presentations I've seen this far consider the continuity of the brownian ...
- 244
1
vote
0
answers
291
views
Incremental computation of a conditional entropy
Is it possible to compute a conditional entropy (see the two following formulas) in an incremental manner ? That is, the sets C and K are not fix: each time we have a new element c, set K may increase ...
- 123
1
vote
1
answer
119
views
Comparison of hitting probability of two Markov chains both with only one absorbing state
Let $N_n:=\{1,2,\cdots,n\}$. Given two finite states Markov chains $\big(X^{(j)}_i\in N_n\}\big)_{i=0}^\infty$ for $j\in\{1,2\}$, both of which have one absorbing state $1$.
Pr$(X^{(1)}_{i+1}=1|X_i=1)...
- 2,239