All Questions
9,497 questions
2
votes
2
answers
2k
views
Hitting times for an N-dimensional random walk on a lattice with (strictly positive) random integer steps
Please consider a random walk on a finite N-dimensional lattice with vectors $(x_1, ..., x_N)$. We define the origin to be $(0, ..., 0)$ and the target to be at the point in the lattice furthest away ...
- 599
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
6
votes
2
answers
3k
views
Dense inclusions of Banach spaces and their duals
This seems like a really simple question, but I'm struggling with it. Let $X$ be a separable Banach space, $H$ be a separable Hilbert space, and suppose $i : H \hookrightarrow X$ is a dense, ...
- 8,502
28
votes
6
answers
2k
views
Random Alternating Permutations
An alternating permutation of {1, ..., n} is one were π(1) > π(2) < π(3) > π(4) < ... For example: (24153) is an alternating permutation of length 5.
If $E_n$ is the number of alternating ...
- 22.8k
-1
votes
1
answer
545
views
probability mass function fitting [closed]
I have a probability mass function of some experimental data who's log looks like the following: (please ignore the fact that it is not normalized)
![alt text][1]
[image shack image removed]
(...
- 307
4
votes
6
answers
1k
views
Are there nonequivalent randomnesses?
There are nonequivalent geometries, nonequivalent groups finite and infinite, nonequivalent logics ( fregean and nofregean http://www.formalontology.it/suszkor.htm), even nonequivalent logicians;-)
...
- 1,626
1
vote
2
answers
573
views
Exploding Levy processes
Hi,
probably this is a fairly newbie question, but is it possible that the a generic Levy process explodes (i.e. tends to infinity for finite time t with positive probability)? If yes, could you ...
- 667
9
votes
0
answers
2k
views
Has the Lie group preserving a probability distribution been used in Bayesian statistics?
For a (possibly signed) nondegenerate probability measure $\pi$ on $\{1,\dots,n\}$ define
$$\langle \pi \rangle := \{R \in \operatorname{STO}(n): \pi R = \pi \}.$$
Here $\operatorname{STO}(n)$ denotes ...
- 15.4k
14
votes
6
answers
2k
views
Density of numbers having large prime divisors (formalizing heuristic probability argument)
I want to prove that the set of natural numbers n having a prime divisor greater than $\sqrt{n}$ is positive.
I have a heuristic argument that this density should be $\log 2$, which is approximately ...
- 7,320
3
votes
1
answer
320
views
Joint Law with 2 marginals and marginal of the spread
I have a question for you and thank you in advance for your answers and ideas.
Let us suppose that we have the marginal distributions of two r.v X and Y, and also the law of X-Y (or any linear ...
- 375
3
votes
4
answers
2k
views
statistical approach to multinomial distribution
Suppose a dice with $q$ faces is rolled $N$ times, where $N$ is very big.
We define a multinomial variable $X=(X_1,\ldots,X_q)$ which counts how many times any face is occurred ($X_i$ is the number ...
- 31
6
votes
2
answers
360
views
Asymptotics of symmetry types of tensors
Introduction
Let's fix $m\in \mathbb N$. For each n, the unitary group $\mathbf U(m)$ is represented in the space of tensors of rank $n$ over $\mathbb C^m$
$$V_{n,m}=\bigotimes_{k=1}^n \mathbb C^m$$ ...
- 85.6k
7
votes
4
answers
946
views
On operator ranges in Hilbert & Banach spaces
Lemma 1 from Anderson & Trapp's Shorted Operators, II isLet $A$ and $B$ be bounded operators on the Hilbert space $\mathcal H$. The following statements are equivalent:
(1) ran($A$) $\subset$ ...
- 8,502
2
votes
0
answers
1k
views
Problem with Pearson correlation coefficient. [closed]
I have two random variables X and Y. X follows a power law distribution. I know its generating function G(x). I also know the Pearson correlation coefficient of X and Y. How do I find the generating ...
- 31
10
votes
1
answer
567
views
Is this a well-known probabilistic model?
While I was thinking about the Erdős discrepancy problem, the following random walk model arose rather naturally. You fix a positive integer k, and you take a random step of 1 or -1 at each stage,...
- 29k
5
votes
0
answers
536
views
Conditional probabilities in Banach spaces
This is the infinite-dimensional sequel to my question, Conditional probabilities are measurable functions - when are they continuous?.
Let $\Omega = \Omega_1 \times \Omega_2$ be a probability space ...
- 8,502
5
votes
2
answers
1k
views
Is there a way to analytically compute the recurrence time of a finite Markov process?
Let $X_t$ be an ergodic (time-homogeneous) Markov process (in discrete or continuous time) on a finite state space $\{1,\dots,n\}$. Let $T(X_0)$ be the stopping time given by the infimum of times such ...
- 15.4k
6
votes
3
answers
423
views
Infinite electrical networks and possible connections with LERW
I've been exposed to various problems involving infinite circuits but never seen an extensive treatment on the subject. The main problem I am referring to is
Given a lattice L, we turn it into a ...
- 85.6k
3
votes
1
answer
635
views
Non-existence of integral with respect to Poisson Random Measure
Let $\xi$ be a Poisson Random Measure of intensity $\mu$ (informally $\mathbb E\xi = \mu$).
(For $f \ge 0$, say) when does $\xi f = \infty?$ Kallenberg (Foundations of Modern Probabilility) claims ...
- 2,885
1
vote
1
answer
3k
views
Equality in the union bound.
Lemma: Let $A_1,\ldots,A_n$ are events $n\in\mathbb{N}$ then
$$
\sum_{i=1}^n \mathbb{P}(A_i) = \mathbb{P}(\cup_{i=1}^n A_i)
$$
if and only if $A_1,\ldots,A_n$ are mutually exclusive.
Both ways are ...
- 3,217
4
votes
3
answers
2k
views
Correspondence between Viterbi algorithm and Smith-Waterman
Viterbi is an algorithm for finding the maximum likelihood assignment to the hidden variables of an HMM, given the observed variables (we know the transition and emission probabilities of the HMM). ...
- 233
17
votes
5
answers
3k
views
Conditional probabilities are measurable functions - when are they continuous?
Let $\Omega$ be a Banach space; for the sake of this post, we will take $\Omega = {\mathbb R}^2$, but I am more interested in the infinite dimensional setting. Take $\mathcal F$ to be the Borel $\...
- 8,502
5
votes
3
answers
426
views
How many trial picks expectedly sufficient to cover a sample space?
Consider a sequence of independent events where an $r$ element subset of an $n$ element set is picked uniformly randomly (ie. any of the $\begin{pmatrix}n\newline r\end{pmatrix}$ possibilities being ...
- 119
3
votes
4
answers
22k
views
Football Squares
Dear Colleagues,
This is a math question for people who know the rules of (American) football.
Every year my barber runs a “football squares” game. He finds 100 customers, each put in 20 dollars, ...
2
votes
2
answers
956
views
An Easy Sanov-Type Theorem for Markov Chains?
First, the (simple!) setup:
I have a Markov chain X t on some finite state space Ω with stationary distribution π, and a function f from Ω to R. I'd like to estimate the integral of ...
- 263
3
votes
1
answer
925
views
How to choose $L$ size-$m$ subsets of $\{1,\ldots,n\}$ to maximize expected max overlap with another randomly chosen subset?
GIVEN: Positive integers $n,m,L$ and probabilities $p_1, p_2, \ldots, p_n$.
GOAL: Choose $L$ size-$m$ subsets $S_1, S_2, \ldots, S_L$ of $\{1,2,\ldots,n\}$ to maximize $\displaystyle \mathbb{E}[ \...
- 31
17
votes
13
answers
6k
views
Probability in number theory
I am hearing that there are some great applications of probability theory (or more general measure theory) to number theory. Could anyone recommend some good book(s) on that (or other types of ...
4
votes
3
answers
579
views
Average distance between numbers of the form $2^{a}3^{b}$
I want to order all numbers of the form $2^a3^b$. I need to find the average distance between a random consecutive pair.
For example, in case of a random consecutive pair $2^{n'}$ and $2^{n'+1}$, the ...
- 431
8
votes
1
answer
519
views
devise a joint distribution of $\alpha$ and $\beta$
If we assume probability density distribution functions of random variables $\alpha$, $\beta$ and $\alpha/ \beta$, we would like to devise a joint distribution of $\alpha$ and $\beta$. Although ...
- 81
0
votes
1
answer
347
views
Where can I learn about master equation?
I am reading a paper by Dorogovstev on structure of growing complex networks with preferential linking. I need to learn master equation for this.
I need a reference for the same.
- 9
1
vote
1
answer
188
views
Integral determines function behaviour
Let us define:
$f(t) = t^{-1} \int_{\mathbf{R}^{3}} Exp[-\frac{x^2}{2t}] h(x) dx,$
for a real function h. What can I say about this function if I know that
$f(t) \rightarrow 1$.
I think that the ...
- 1,491
1
vote
2
answers
2k
views
A random variable: is it a function or an equivalence class of functions? [closed]
A random variable: is it a function or an equivalence class of functions?
- 119
9
votes
4
answers
34k
views
limsup and liminf for a sequence of sets
how does limsup and liminf for a sequence of sets, apply to probability theory. any real world examples would be much appreciated
- 237
0
votes
2
answers
595
views
univariate prior corresponding to weighted sum of L1 and L2 penalties?
Is there a univariate probability distribution $p_{\lambda,\alpha}(\beta)$ over the reals, parameterized by $\lambda > 0$ and $1 >= \alpha >= 0$, such that $p_{\lambda,\alpha} \propto \exp(-\...
- 103
0
votes
1
answer
207
views
Correlation of Statistical Tests
Suppose I have a sequence $\{x_i\}_{i=1}^\infty$ of zeros and ones. I want to test if they are randomly generated according to a conjectured scheme (the example to keep in mind is that they are ...
- 1,588
1
vote
1
answer
333
views
Extension of some feature of SDE Ornstein-Uhlenbeck type
Hi everyone,
I am looking for some ideas (or references) in order to get an explicit SDE (if it exists) which would have a stylised property extending in some sense the mean-reversion property of SDE ...
- 1,334
4
votes
6
answers
751
views
Reconstructing an ordering of a multiset from its consecutive submultisets
We have a multiset $S$ of size $t$ with $r$ distinct elements, where $t$ is much larger than $r$. We want to reconstruct an ordering $s_1, s_2, ... s_t$ of the elements of $S$ given the values of $t$ ...
- 599
7
votes
2
answers
232
views
Local view of setting p*n out of n bits to 1
For p a constant in (0,1) and n going to infinity such that pn is an integer,
consider the distribution on n bits that selects a random subset of pn bits, sets those to 1, and sets the others to 0.
...
- 393
4
votes
5
answers
1k
views
probability puzzle - selecting a person
there are n people on a round table. one of the them is the head and he plans to make another person from the rest the new head. he has a coin. he flips the coin. if he gets a head he gives the coin ...
- 149
44
votes
5
answers
7k
views
Heuristically false conjectures
I was very surprised when I first encountered the Mertens conjecture. Define
$$ M(n) = \sum_{k=1}^n \mu(k) $$
The Mertens conjecture was that $|M(n)| < \sqrt{n}$ for $n>1$, in contrast to the ...
4
votes
1
answer
2k
views
When does the ratio X/Y of two random variables have a finite moment-generating function?
Let $X$ and $Y$ be two positive random variables with $Y < X$; these may be highly correlated. I would like a reasonable condition on $X$ and $Y$ so that the ratio $X/Y$ has a finite moment-...
- 8,502
11
votes
3
answers
30k
views
What is the probability distribution function for the product of two correlated Gaussian random variable?
Suppose we have pair $(X,Y)\sim Normal([\mu_x,\mu_y],{{\sigma_x^2\atop\rho \sigma_x\sigma_y } {\rho \sigma_x\sigma_y \atop \sigma_y^2} }] $
How is $U=X\cdot Y$ distributed?
I've tried to compute this ...
- 231
48
votes
7
answers
12k
views
What's the use of a complete measure?
A complete measure space is one in which any subset of a measure-zero set is measurable.
For what reasons would I want a complete measure space? The only reason I can think of is in the context of ...
- 481
18
votes
3
answers
3k
views
Deciding membership in a convex hull
Given points $u, v_1, \dots,v_n \in \mathbb{R}^m$, decide if $u$ is contained in the convex hull of $v_1, \dots, v_n$.
This can be done efficiently by linear programming (time polynomial in $n,m$) in ...
- 667
75
votes
11
answers
28k
views
Does War have infinite expected length?
My question concerns the (completely deterministic) card game known as War, played by seven-year-olds everywhere, such as my son Horatio, and sometimes also by others, such as their fathers.
The ...
- 236k
7
votes
1
answer
449
views
Brownian Approximation of Downswings of Walks with Positive Drift
I'm interested in the downswings of discrete walks w(t) whose steps are IID, bounded, and have positive mean. A simple example might have steps which are +1 with probability 2/3, and -1 with ...
- 28k
5
votes
2
answers
5k
views
Sample from uniform distribution vs. Sample from random distribution
I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ ...
- 107
-1
votes
1
answer
502
views
Name for probabilistic version of Pascal's identity and differentiation formula for binomial distribution
I'm trying to find a standard name or standard reference for two simple-to-prove relations involving binomial distributions.
Define:
$b(n,r,p) := \binom{n}{r}p^r(1 - p)^{n-r}$
i.e., it is the ...
- 7,320
1
vote
4
answers
3k
views
Differential Entropy of Random Signal
Prove that the Normal (Gaussian) Distribution with a given Variance $ {\sigma}^{2} $ maximizes the Differential Entropy among all distributions with defined and finite 1st Moment and Variance which ...
- 115
5
votes
1
answer
339
views
How to estimate the growth of the probability that $G(n, M)$ contains a $k$-clique
Let $k\geq 3$ be a fixed positive integer. Define
$t_k(M)=\Pr[G(n, M) \text{contains a}\ k-\text{clique}]$, where $G(n, M)$ is the random graph uniformly distributed on all $n$-vertex graphs with $m$...
- 363