All Questions
Tagged with measure-theory pr.probability
823 questions
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Marginal distribution of $I$-projection
I am reading this paper by Csiszar. Given a probability measure $R$ and a convex subset $\mathcal{E}$ of probability distributions, it defines ‘I-projection of R on $\mathcal{E}$’ (provided there ...
1
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0
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191
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Almost sure convergence and asymptotic measurability
Let $(\Omega,\mathcal{A}, P)$ be a probability space and $X$ be a Borel measurable and separable map.
(i) $X_{n}\stackrel{\text{ as }}{\rightarrow}X$ and $\left(d\left(X_{n},X\right) \right)$ is ...
1
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1
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137
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Embeddings of spaces of probability measures
What is the relationship between the spaces $X_1\triangleq \mathscr{P}(C([0,1],\mathbb{R}))$ and $X_2\triangleq C([0,1],\mathscr{P}(\mathbb{R}))$; where $\mathscr{P}(\cdot)$ denotes the Borel ...
1
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1
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301
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Definition of Wasserstein distance through cumulative distribution
Let $X$ and $Y$ be random variables on the same probability space. The $\infty$-Wasserstein distance between $X$ and $Y$ is defined as
$$d_{\infty}(X, Y) = \inf \|X_1 - Y_1\|_{L_{\infty}},$$
where the ...
0
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0
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59
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Examples of strongly continuous measure-valued functions
Let $X$ be a compact geodesic metric space and let $P_p(X)$ be the set of all finite Borel measure on X with finite $p^{th}$ moment. We equip $P_p(X)$ with the total variation topology metric. What ...
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71
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Conditions for existence of a semi-martingale representing a system of probability measures
Let $(\nu_t)_{t \in [0,1]}$ be Borel probability measures on a stochastic basis $(\Omega,\mathcal{F},(\mathcal{F}_{t \in [0,1]})_t,\mathbb{P})$.
Does there exist a semi-martingale $(X_t)_{t\in[0,1]}$ ...
0
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1
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268
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Tightness on a set $A$ implies tightness on a set $B$ where $A\subset B$?
From the book Billingsley - Convergence of probability measures, 1999, we have the following definitions of tightness and relative compactness and the Prohorov's theorem:
Tightness: Let $\Pi$ be a ...
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151
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Definition of conditional expectation for singleton
Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability space and let $\mathcal{G} \subset \mathcal{F}$ be a sub-$\sigma$-algebra. Furthermore, let $X, Y$ be two random variables from our probability ...
2
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1
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241
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Weak continuity of law
Let $\mathcal{P}_2(\mathbb{R}^n)$ denote the set of all Borel probability measures on $\mathbb{R}^n$ with finite variance and weak topology. Let $X_t$ be a strong solution to the SDE with initial ...
3
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1
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226
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Expected measure of a ball in a probability space with a metric
Assume we are given a probability space $(\mathbb{X}, \mathcal{X}, \mathbb Q)$ and a measurable distance function defined on it $d:\mathbb{X}\times \mathbb{X}\to \mathbb{R}^+\cup\{0\}$ that conforms ...
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1
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134
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How can we show this estimate for the convolution of two probability measures?
Let $(\delta_k)_{k\in\mathbb N}\subseteq(0,\infty)$ be nonincreasing with $\delta_k\xrightarrow{k\to\infty}0$ and $(\varepsilon_k)_{k\in\mathbb N}\subseteq(0,\infty)$ with $\sum_{k\in\mathbb N}\...
2
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1
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101
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If signed measures $\mu_n$ are such that $\mu_n\to\mu$ and $\|\mu_n\|\to c\in(0,\infty)$, does $\exp^*(\mu_n)/\|\exp^*(\mu_n)\|$ necessarily converge?
$\newcommand{\R}{\mathbb R}$Let $M$ denote the set of all finite signed measures on a separable Banach space $B$. For any $\mu\in M$, let
\begin{equation*}
\exp^*(\mu):=\sum_{k=0}^\infty\frac{\mu^{...
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1
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165
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If $\mu_t\to\mu$ weakly, then $\limsup_t|\mu_t|(A)\le|\mu|(A)$ for all closed $A$
Let $E$ be a metric space, $\mathcal M(E)$ denote the space of finite signed measures on $\mathcal B(E)$ equipped with the total variation norm $\left\|\;\cdot\;\right\|$, $(\mu_t)_{t\in I}$ be a net ...
2
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2
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322
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If $(\exp(\mu_n))_{n\in\mathbb N}$ is weakly convergent, is the normalized sequence convergent as well?
Let $E$ be a metric space and $\mathcal M(E)$ denoote the space of finite signed measures on $\mathcal B(E)$ equipped with the total variation norm $\left\|\;\cdot\;\right\|$.
I would like to know ...
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1
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108
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If a sequence of measures is weakly convergent outside each compact ball, the sequence itself is weakly convergent
Let $E$ be a $\mathbb R$-Banach space and $\mathcal M_+(E)$ denote the space of finite nonnegative measures on $\mathcal B(E)$.
If $\lambda\in\mathcal M_+(E)$, let $$\left.\lambda\right|_\delta(B):=\...
0
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2
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167
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Equidistributed sequence wrt exponential/Gaussian measure
For an arbitrary probability space $(X,\mu)$, a sequence $(x_n)$ in $X$ is said to be equidistributed with respect to $\mu$ if the measures $\frac 1 n \sum_{1\le k\le n} \delta_{x_k}$ converges weakly ...
0
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0
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139
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How many moments determine a normal distribution?
I know that a Gaussian distribuion is determined by its moments. I was wondering if there is a result of the form:
if we know that the first thousand moments of a random variable are Gaussian, then is ...
0
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302
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Convergence of characteristic functions vs. weak convergence of measures and the Ito-Nisio theorem
In section 2.6 of Linde's Probability in Banach Spaces: Stable and Infinitely Divisible Distributions the author is pointing out that in infinite-dimensional Banach spaces the convergence of ...
4
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3
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2k
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Duality of finite signed measures and bounded continuous functions
Let $E$ be a metric space, $C_b(E)$ denote the space of bounded continuous functions $E\to\mathbb R$ (equipped with the supremum norm), $\mathcal M(E)$ denote the space of finite signed measures on ...
2
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0
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142
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Radon-Nikodým-like theorem for Radon measures
Let $(E,d)$ be a metric space, $\mu$ be a nonnegative Radon$^1$ measure on $\mathcal B(E)$ and $\nu$ be a finite (signed) Radon measure on $\mathcal B(E)$.
I'm searching for a Radon-Nikodým-like ...
1
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1
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151
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Lower-bound on Sobolev norm of function on $(d-1)$-dimensional sphere, whose sign has been fixed at $n$ points
Let $\mathbb S_{d-1} := \{x \in \mathbb R^d \mid x^\top x = 1\}$ be $(d-1)$-dimensional sphere in $\mathbb R^d$ and let $\sigma_d$ be the uniform distribution on $\mathbb S_{d-1}$. Let $x_1,\ldots,x_n$...
0
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0
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97
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Wigner semicircle law and random measures
tl;dr: the proof of the Wigner semicircle law seems to confuse measures with random measures. I do not understand why. Scroll down until 'QUESTION' if you are fine with the theoretical stuff.
T. Tao ...
3
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1
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278
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Is this statement of the Lévy–Khintchine formula ill-posed?
Please take a look at the following statement of the Lévy–Khintchine formula given in Probability Theory: A Comprehensive Course (2nd edition)$^1$:
Am I missing something or is this an ill-posed ...
2
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1
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183
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Does set of finitely additive probability measures embed linearly into a strictly convex dual Banach space?
I am trying to better understand a condition that appears in Theorem 1 of this paper.
Let $K$ be a convex and compact subset of a locally convex tvs. The condition is:
$K$ embeds linearly into a ...
0
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0
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150
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Define the convolution root of probability measures on a measurable group
Let $(G,\mathcal G)$ be a measurable group and $\nu^{\ast k}$ denote the $k$th convolution power of a probability measure $\nu$ on $(G,\mathcal G)$ for $k\in\mathbb N$.
Remember that a probability ...
0
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0
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85
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If $W$ is a Markov chain and $N$ is a Poisson process, then $\left(W_{N_t}\right)_{t\ge0}$ is Markov
Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space, $(E,\mathcal E)$ be a measurable space, $(W_n)_{n\in\mathbb N_0}$ be a time-homogeneosu Markov chain on $(\Omega,\mathcal A,\...
3
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179
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Probability terminology
This is strictly a low-level terminology question. If I have a probability space $\Omega$ and a measurable space $S$, then a random variable $X:\Omega\rightarrow S$ gives rise via pushforward to a ...
2
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1
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329
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Projective limit of spaces of probability measures
Consider a projective system $\dots X_{n+1} \to X_n \to \dots \to X_1$ of completely regular Hausdorff spaces with projective limit $X$. Then the linking mappings $f_n$ induce a projective system (in ...
1
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1
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1k
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Closed-form upper-bounds for Wasserstein distance between finite measures
Let $x_1,\dots,x_n,y_1,\dots,y_n\in \mathbb{R}$ and such that $x_i\neq x_j$ and $y_i\neq y_j$ if $i\neq j$. Let $a,b$ be elements of the probability n-simplex. Define the measures $\mu\triangleq \...
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1
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92
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Is the distribution of a Banach space valued Lévy process uniquely determined by its characteristic function?
Let $E$ be a $\mathbb R$-Banach space. Remember that if $\mu$ is a finite measure on $\mathcal B(E)$ then $$\Phi_\mu:E'\to\mathbb C\;,\;\;\;\varphi\mapsto\int\mu({\rm d}x)e^{{\rm i}\varphi(x)}$$ is ...
1
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1
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154
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If $L_t=\sum_{i=1}^{N_t}Y_i$ is a compound Poisson process, then $\left|\left\{s\in[0,t]:\Delta L_s\in B\right\}\right|=\sum_{i=1}^{N_t}1_B(Y_i)$
Let $H$ be a $\mathbb R$-Hilbert space, $\mu$ be a finite measure on $\mathcal B(H)$ with $\mu(\{0\})=0$ and $(L_t)_{t\ge0}$ be a $H$-valued càdlàg Lévy process on a probability space $(\Omega,\...
3
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3
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244
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Example of a (strictly) proper scoring rule on a general measurable space?
Most of the literature on scoring rules that I know of deals with discrete measurable spaces, but in this paper by Gneiting and Raferty a very general definition of a scoring rule is given. I don't ...
4
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0
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160
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Can we show equivalence of two distributions based on their statistics?
Let $p,q$ be two distributions on $\mathbb{R}^d$. Let $f:\mathbb{R}^d\times\mathbb{R}^d\rightarrow\mathbb{R}$. Under what conditions does $\mathbb{E}_{x\sim p}f(x,z)=\mathbb{E}_{x\sim q}f(x,z)\ \...
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2
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222
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Induced probability measure on a finite orbit under a group action
Suppose we have a discrete group $G$ acting on a compact set $X \subseteq \mathbb{R}^d$
via measure-preserving homeomorphisms, and suppose we have a point
$x$ whose orbit $Gx$ is finite (say $|Gx| = n$...
6
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1
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343
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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 ...
1
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1
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193
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Compute limit of $\mathbb P(Y \le X_n)$ using limiting information on the sequence of random variables $X_n$
Let $Y$ be a symmetric random variable, $(X_n)_n$ be a sequence of nonnegative random variables, and set $p_n = \mathbb P(Y \le X_n)$. It is known from Slutsky's theorem that, if $c$ is a constant ...
2
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1
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156
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Covering of discrete probability measures
Let $\mathcal{P}_{n:+}(\mathbb{R})$ denote the set of probability measures on $\mathbb{R}$ for the form $\sum_{i=1}^n k_i \delta_{x_i}$ where $k_i>0$. Then any measure in $\mathcal{P}_{n:+}(\...
3
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1
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77
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Continuous selection parameterizing discrete measures
Let $\mathcal{P}_n(\mathbb{R})$ denote the set of probability measures on $\mathbb{R}$ for the form $\sum_{i=1}^n k_i \delta_{x_i}$. Then any measure in $\mathcal{P}_n(\mathbb{R})$ is in the image of ...
1
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0
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52
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A local base for space of probability measures with Prohorov metric
Let $S$ be a Polish space. Let $P(S)$ denote the space of probability measures on $(S,\mathcal{B})$, where $\mathcal B$ is the Borel-$\sigma$-algebra over $S$. Equip $P(S)$ with the Prohorov metric. I ...
8
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4
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775
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Self-contained formalization of random variables?
I have not been able to find any formalization of random variables that supports construction of new random variables dependent on previously constructed ones. In what I have found, a random variable $...
2
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1
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95
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Is the set of almost surely continuous points dense?
Denote by $D(0,T)$ the space of right continuous functions with left limits defined on $[0,T]$. Let $\mathbb P$ be a probability measure on $D(0,T)$. Define
$$cont(\mathbb P):=\Big\{t\in [0,T]:~ \...
5
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1
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774
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Question/References on the Skorokhod M1 topology
Let $D(0,T)$ be the space of right continuous functions with left limits defined on $[0,T]$. Consider the Skorokhod M1 topology on $D(0,T)$, see e.g. S. Ledger, Skorokhod’s M1 topology for ...
0
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1
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115
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Average over spheres finite
Let $X_1,...,X_N$ be random variables that are iid with the uniform distribution over $\mathbb S^n.$
I am curious how to see that $f(X_1,..,X_N):=\left \lvert \sum_{i=1}^N X_i \right\rvert^{-1}$ has ...
5
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1
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319
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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....
1
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2
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113
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If a joint density factorizes on a square, does this imply that the marginal random variables are locally independent?
Let $Z=(X,Y) : \Omega\rightarrow\mathbb{R}^2$ be a Borel-measurable random vector and $U\subset\mathbb{R}$ be open. Suppose that $Z$ is absolutely continuous with Lebesgue density $\zeta$.
I was ...
1
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2
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194
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Continuity of the densities of a stochastic process
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...
1
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1
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164
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Is this (somewhat specific) moment problem treated somewhere?
Suppose I have a measure $\mu$ over $\mathbb R_+$ given by its moments $\mu_0,...,\mu_n$, defined as :
$$\mu_k = \int x^{k} \partial\mu(x),\; k \in 1,...,n$$
Using Faà di Bruno's formula, I can ...
3
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0
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77
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Reference Request: Is every interval-valued probability measure consistent?
Short version: Does every interval-valued probability measure contain a conventional probability measure? I have a sense that this is a basic result about an obscure topic but I am having trouble ...
0
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1
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187
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Does the finitely additive integral preserve convergence for non-negative measurable functions?
Let $(X, \mathcal X)$ be a measurable space. Say that a net $(\mu_\alpha)$ of finitely additive probability measures converges to a finitely additive probability measure $\mu$ if and only if $\mu_\...
2
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1
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181
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Conditional entropy - solve example
Given a random variable $X$ that is uniformly distributed on $[-b,b]$ and $Y=g(X)$ with
$$g(x) = \begin{cases} 0, ~~~ x\in [-c,c] \\ x, ~~~ \text{else}\end{cases}$$
Now I want to compute the ...