All Questions
9,498 questions
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Does central limit theorem hold for general weakly dependent variables?
Say I have $X_{ij}$, $j \le i$ with the property that $X_{ij}$ are centered and identically distributed and $E(X_{ij} X_{ij'}) = o(\exp(-i)))$. Then does $\sum_j X_{ij}$ have Gaussian domain of ...
- 4,466
11
votes
2
answers
819
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Estimate rate of real correct/wrong from 4 answers quiz.
I recently read that one in ten students think the first man on the moon was Buzz Lightyear, a Toy story cartoon. I'm not here to discuss the data in itself, rather, this reading got me into a problem ...
- 219
4
votes
1
answer
468
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When is a 1-block factor of a non-Markovian process Markov?
Let $Y$ be a discrete stationary stochastic process. Suppose that $Y$ is not $n$-step Markov for any positive integer $n$. Let $Z$ be a 1-block factor of $Y$. For what condition on $Y$ or the ...
- 325
4
votes
1
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2k
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Stein's method proof of the Berry–Esséen theorem
The relevant paper is "An estimate of the remainder in a combinatorial central limit theorem" by Erwin Bolthausen. I would like to understand the estimate on page three right before the ...
- 4,466
2
votes
1
answer
875
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method of moments and Laplace transform from Shepp and Lloyd
Again from the Shepp and Lloyd paper "ordered cycle lengths in a random permutation", I found this puzzling equality. This one might require access to the paper itself since it's quite a mouthful:
In ...
- 4,466
3
votes
3
answers
568
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Reference request for a "well-known identity" in a paper of Shepp and Lloyd
I ran into a "well-known identity" on page 345 of Shepp and Lloyd's On ordered cycle lengths in a random permutation:
$$\int_x^{\infty} \frac{\exp(-y)}y dy = \int_0^x \frac{1-\exp(-y)}y dy - \log x - \...
- 4,466
6
votes
2
answers
480
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Limit law for the number of local maxima in a square lattice of IID random variables
For $i, j \in \{ 1, \ldots, n \}$, let $X_{i,j}$ be a real-valued random variable uniformly distributed on the interval $[0,1]$. The $X_{i,j}$ are independent.
Let $A_{i,j}$ be the indicator random ...
- 14k
21
votes
5
answers
4k
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Existence of probability measure defined on all subsets
Let $S$ be an uncountable set. Does there exist a probability measure which is defined on all subsets of $S$, with $P({x}) = 0$ for any element $x$ of S ?
If I remove the condition $P({x}) = 0$, then ...
- 581
12
votes
3
answers
8k
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Constructing Bernoulli random variables with prescribed correlation
For which $n \times n$ correlation matrix $C$ can one construct Bernoulli random variables $(B_1, \ldots, B_n)$ with correlation $C$ ?
Following the approach described in this MO thread, one can ...
4
votes
2
answers
679
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Generalized binomial coefficients and Gaussian density
I ran into an expression calculating the expected value of $\exp(i t \sigma)$ where $\sigma$ is the total number of cycles in a uniformly chosen $S_n$ element. The expression is
$$E_n (\exp(i t \sigma)...
- 4,466
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1
answer
400
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Is the average first return time of a partitioned ergodic transformation just the number of elements in the partition?
For some reason my thinking is very fuzzy today, so I apologize for the following rather silly question below...
Let $T$ be an ergodic transformation of $(X,\Omega, \mathbb{P})$ and let $X$ be ...
- 15.4k
21
votes
4
answers
2k
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Motivation for strong law of large numbers
I always find the strong law of large numbers hard to motivate to students, especially non-mathematicians. The weak law (giving convergence in probability) is so much easier to prove; why is it worth ...
- 29.7k
17
votes
5
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Brownian motion and spheres
Consider a Brownian motion on $[0;1]$. A (finite) discrete approximation of this Brownian motion consists of $N$ iid Gaussian random variables $\Delta W_i$ of variance $\frac{1}{N}$:
$$ W\left(\frac{k}...
- 2,133
5
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1
answer
548
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Are there interesting problems involving arbitrarily long time series of small matrices?
Are there well-known or interesting applied problems (especially of the real-time signal processing sort) where arbitrarily long time series of small (say $d \equiv \dim \le 30$ for a nominal bound, ...
- 15.4k
18
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3
answers
8k
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Number of invertible {0,1} real matrices?
This question is inspired from here, where it was asked what possible determinants an $n \times n$ matrix with entries in {0,1} can have over $\mathbb{R}$.
My question is: how many such matrices ...
- 32.1k
3
votes
3
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316
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Finding a distribution family that is preserved under mixture.
Consider the following
$f_{t+1}(z)=p_{12} f_{t}(z/A)+ p_{21} f_{t}(z/B)+p_{22} f_{t}(z/(A+B))$, where $A$, $B$, and the $p$'s are constants and $f_t$ is a probability distribution. Are there any nice ...
- 457
0
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1
answer
359
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a unique solution ? iteration involving conditional distributions
consider the following mappings, G and T,
$y(s) = Gx(s)=\exp\left[\sum_{s'}p(s'|s)\log x(s') \right]$
$z(s) = Ty(s)=\sum_{s'}q(s'|s)y(s')e^{-r(s')}$
where $0< x(s)\leq 1$ ,$r(s)<0$ , $s,s'\in ...
- 1
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votes
3
answers
3k
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Is there any finitely-long sequence of digits which is not found in the digits of pi? [closed]
I know it's likely that, given a finite sequence of digits, one can find that sequence in the digits of pi, but is there a proof that this is possible for all finite sequences? Or is it just very ...
- 121
-1
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3
answers
304
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Distribution under operations
Let $X$, $Y$, $Z$, and $W$ be i.i.d. copies of a standard gaussian variable, that is in distribution $\mathcal{N}\left(0,1\right)$, then what is the distribution of $\left|\frac{XY}{Z}-W\right|$?
...
- 65
1
vote
2
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791
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Likelihood function for sequential random variables
Context
Consider the following sequential data generating process for $Y_1$, $Y_2$, $Y_3$. (By sequential I mean that we generate $Y_1$, $Y_2$, $Y_3$ in sequence.):
$Y_1 = X_1^' \beta + \epsilon_1$
...
- 346
3
votes
5
answers
2k
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Probabilities and rolling 2 dice
Suppose you start at position 0. You then roll 2 6-sided dice. You move to the integer, call it z, that is the sum of the two dice. You then roll again. If the result of the roll is z', you move ...
- 325
9
votes
2
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659
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Symmetric groups and Poisson processes
Consider the number of fixed points in a permutation chosen uniformly at random from the symmetric group on $n$ elements - this gives a probability distribution. For $k < n$, the $k$-th moments of ...
- 354
2
votes
1
answer
2k
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Statistical test comparing two relative frequencies
I'm working with four populations consisting of true/false events. They each have a different mean and variance. I have samples from each, with different sample sizes. Call the percentage of observed ...
- 597
0
votes
0
answers
574
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What's the expected number of iterations for this process?
Each step of the process consists of choosing a random integer between 1 and the last number chosen this way. On average, how long does it take to obtain "1" as a result of this process for any given ...
- 25
98
votes
17
answers
123k
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Google question: In a country in which people only want boys [closed]
Hi all!
Google published recently questions that are asked to candidates on interviews. One of them caused very very hot debates in our company and we're unsure where the truth is. The question is:
...
- 1,107
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3
answers
3k
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Monte Carlo method and possible applications to computer poker?
I want to do something about ”games of incomplete information“，like "Computer poker program".I know,Albert university(in canada) have do a lot of things to that field,they write a program called: "...
- 11
1
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3
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246
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Extreme value theory
I have been asked to provide an "approximation at infinity" of an expression that at the end simplifies to $-\frac{b e^{-a t}-a e^{-b t}}{a-b}$, in a course about extreme value theory.
In the course, ...
- 19
2
votes
2
answers
254
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Nice way to parametrize a bunch of non-independent discrete random variables
I'm looking for a "nice" way to parametrize the joint distribution of multiple, possibly correlated discrete random variables on {0,1}. Even for N=2, there doesn't seem to be an obvious way to do it. ...
- 457
20
votes
3
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1k
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The probability for a sequence to have small partial sums
The question
Let $a_1,a_2,\dots,a_n$ be a sequence whose entries are +1 or -1. Let t be a parameter. My question is to give an estimate for the number of such sequences so that
$|a_1+a_2+\dots ...
- 24.7k
7
votes
2
answers
404
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Examples of Slowly Mixing Chains in Statistics
This should probably be community wiki, but I don't know how to set that myself.
I'm looking for examples or Markov chains that are used in statistics or statistical physics, and which are known to ...
- 71
18
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1
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872
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What's the probability that k + n^2 is squarefree, for fixed k?
While playing around with this question (when is the sum of two squares squarefree?), from some experimental computations (and bolstered by the fact that the density of squarefree positive integers is ...
- 14k
2
votes
1
answer
321
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How to show that an infinite sequence is normal if and only if every block of equal length appears with equal frequency?
An infinite sequence is normal if all strings of equal length occur with equal asymptotic frequency.
Formally, let $\Sigma$ be a finite alphabet of $b$ digits. Let $S$ be an infinite sequence and $\...
- 537
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2
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2k
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Big Picture: What is the connection of Malliavin calculus with differential geometry?
I know that Paul Malliavin was heavily influenced by ideas from differential geometry while developing his calculus on Wiener space. But what are the concrete analogies between both areas of ...
- 313
19
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7
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3k
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A geometric interpretation of independence?
Consider the set of random variables with zero mean and finite second moment. This is a vector space, and $\langle X, Y \rangle = E[XY]$ is a valid inner product on it. Uncorrelated random variables ...
- 415
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2
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Convergence of Gaussian measures
Let $X$ be a separable Banach space with its Borel $\sigma$-algebra $\mathcal F$. Let $x_n \to x$ in $X$. Fix a Gaussian covariance operator $K$, and let $\mathbb P_n$ and $\mathbb P$ be Gaussian ...
- 8,512
3
votes
1
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295
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Finitarily Markovian Finite Factors of Bernoulli Schemes
By processes, I mean discrete, stationary stochastic processes, that is $(X,\mathcal{U},\mu,T)$ where $X$ is the set of doubly infinite sequences of some alphabet $A$, $\mathcal{U}$ is the $\sigma$-...
- 325
6
votes
1
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Minimum Hamming Distance Distribution in a Random Subset of Binary Vectors+
Select $K$ random binary vectors $Y_i$ of length $m$ uniformly at random.
Let the following collection of random variables be defined: $X_{i,j}=w(Y_i \oplus Y_j)$ where $w(\cdot)$ denotes the Hamming ...
- 10.4k
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3
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2k
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Binomial distribution parity
Let $X \text{~} \text{Binomial}(n, p)$.
What is $\text{P}[X \mod 2 = 0]$? Is it of the form $1/2 + O(1/2^n)$?
- 265
4
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1
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862
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Generalized Cox Theorems, valuations on boolean sets, bayesian probabilities and posets
Bayesian probabilities are usually justified by the Cox theorems, that can be written this way:
Under some technical assumptions (continuity, etc, etc...), given a set $P$ of objects $A, B, C, \ldots$...
1
vote
1
answer
783
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Probability of n k-sided dice showing exactly m different faces
I found the following closed form solution for the abovementioned problem:
$${1\over k^n}\cdot{k!\over (k-m)!}\cdot{\{{n\over m}\}}$$ with ${\{{n\over m}\}}$ being the Stirling Number of the second ...
- 5,935
11
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2
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836
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Quantum analogue of Wiener process
The Wiener process (say, on $\mathbb{R}$) can be thought of as a scaling limit of a classical, discrete random walk. On the other hand, one can define and study quantum random walks, when the ...
- 3,323
6
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3
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13k
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Probability of one binomial variable being greater than another.
I need to calculate (or bound) the probability that one binomial variable is greater than other. Specifically, if $x \leftarrow B(n,p)$ and $y \leftarrow B(n,q)$, what is the probability that $y \...
- 73
15
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3
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Disintegrations are measurable measures - when are they continuous?
This is a sequel to another question I have asked.
The notion of disintegration is a refinement of conditional probability to spaces which have more structure than abstract probability spaces; ...
- 8,512
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4
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When does a probability measure take all values in the unit interval?
Let $\mathbb{P}$ be a probability measure on some probability space $(\Omega,\mathcal{A})$. Are there conditions on the $\sigma$-algebra $\mathcal{A}$ such that for every real number $c\in [0,1]$ we ...
- 313
4
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2
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Can we extract information about how fast a function decay from its Laplace transform?
My question is whether we can extract information about how fast an integrable function converges to zero by looking at the asymptotics of its Laplace transform.
More concrete case, let $f:\mathbb{R} ...
- 1,839
3
votes
2
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324
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How to fill a simplex with almost disjoint cuboids?
There is an algorithm that give us cuboids in $\mathbb{R}^3$, say $Q_1,Q_2,\ldots$, such that $\cup_{i=1}^{\infty} Q_i$ is the simplex with vertices $(0,0,0), (1,0,0) , (0,1,0), (0,0,1)$, and the $Q_i$...
- 33
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3
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511
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MicroArray, tesing if a sample is the same with high variance data.
I'll explain the problem but what I am looking for is a few suggested methods to approach this problem.
You don't need to know what a microarray but if you are interested look here link text
The info ...
- 83
11
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2
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758
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Notions of "independent" and "uncorrelated" for subsets of the natural numbers
In probability/statistics, there is a notion of two things being "independent", which would basically mean that any information we can get about one thing has no effect on our (probabilistic)...
- 7,320
2
votes
3
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2k
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Distribution of the sum of the $m$ smallest values in a sample of size $n$
Let $\mathbf X = [X_1, X_2, \ldots, X_n]^\mbox{T}$ be a vector random variable drawn from a known distribution with CDF $F(x)$. The CDF for the minimum value in $\mathbf X$ is clearly $P[\min_{i=1\...
- 183
6
votes
1
answer
836
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Peakedness of multimodal distributions
In Probability theory, does there exist some measures of peaked-ness for multi-modal distributions. I guess kurtosis as such would not be a good measure of peaked-ness for multimodal distributions. ...
- 99