All Questions
15 questions
8
votes
0
answers
422
views
Non-affine smooth transformation of Gaussian is Gaussian
Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...
- 399
4
votes
1
answer
1k
views
General version of Skorokhod representation of random variables
Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...
- 941
4
votes
0
answers
95
views
Approximating martingales given marginal distributions
Let $(\mu_0,\mu_1)$ be a vector of probability measures on $\mathbb R$ that are of finite first moment, i.e.
$$\int_{\mathbb{R}}|x|\mu_i(dx)~<~+\infty \mbox{ for } i=0,1$$
and increasing in ...
- 1,835
3
votes
1
answer
304
views
Question abouth Skorokhod representation of random variables
It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...
- 1,835
2
votes
1
answer
838
views
Does $\int_{\mathbb R^d} (1+|x|^{1 + \alpha}) \ell (x) \, d x < \infty$ imply $\int_{\mathbb R^d} (1+|x|) |\ell (x)|^{1-\alpha} \, d x < \infty$?
$
\newcommand{\bR}{\mathbb{R}}
\newcommand{\bE}{\mathbb{E}}
\newcommand{\diff}{\mathop{}\!\mathrm{d}}
$
We fix $\alpha \in (0, 1)$. Let $\ell : \bR^d \to \bR_+$ be a continuous function such that
$$
\|...
- 835
2
votes
2
answers
600
views
Uniqueness of the limit sequence of discrete probability measures
Let $N_n$ be a sequence of natural numbers increasing to infinity, and suppose we have a sequence of finite sets of distinct points
$X_n = \{x_1^{n},x_2^{n},\ldots,x^{n}_{N_n}\} \subset[0,1] \subset \...
- 401
2
votes
1
answer
231
views
Is Boltzmann entropy well-defined for arbitrary probability density function?
$\newcommand{\bR}{\mathbb{R}}\newcommand{\diff}{\mathop{}\!\mathrm{d}}$ We define a continuous function $\varphi : \bR_+ \to \bR$ by
$$
\varphi (s) :=
\begin{cases}
0 &\text{if} \quad s =0 , \\
s \...
- 835
2
votes
1
answer
469
views
If two probability distributions have the same weak limit and one of them satisfies Large Deviation Principle, what can we say about the other?
If the probability distribution function of two sequences of random variables have the same weak limit and one of the sequences satisfies a Large deviation principle, then does it imply that the other ...
- 3,245
2
votes
0
answers
174
views
Product of marginals absolutely continuous with respect to a Borel probability measure
Let $\mu$ be a Borel probability measure on $\Bbb{R}^{m+n}=\Bbb{R}^m\times\Bbb{R}^n$. Consider its marginal measures $\mu_1(A):=\mu(A\times\Bbb{R}^n)\, (A\in\mathcal{B}(\Bbb{R}^m))$ and $\mu_2(B):=\mu(...
- 3,599
2
votes
0
answers
192
views
Convergence of Gibbs distribution to Dirac measure [closed]
Consider the probability density function on $R^d$ for a continuous function $F: R^d \to R$:
$$
q_{\varepsilon}(x) = \frac{1}{Z} \exp\left(-\frac{1}{\varepsilon} F(x)\right).
$$
Denote $x^* = \arg \...
- 31
2
votes
0
answers
63
views
Sensitivity of a function against its random arguments
Let $g:R^{n+m} \to R$ be a deterministic function of some independent random variables $x_1,\ldots,x_n$ with distributions $f_{x_1}(x),\ldots,f_{x_n}(x)$ and some deterministic variables $z_1,\ldots,...
- 482
2
votes
0
answers
160
views
Is it possible to improve the order of convergence of averages of random variables if they are not identically distributed?
Let $X_n$ be a sequence of independent random variables (but not necessarily identically distributed)
taking values in $[-1,1]$ that have the following property:
1) The average $A_n := \frac{(X_1+ \...
- 3,245
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
0
votes
1
answer
105
views
Transforming two smooth densities to the same density
I am looking for an example of the following:
Find a bijective, differentiable function $f$ and continuous probability density functions $q_1\ne q_2$ such that $f_*q_1=p=f_*q_2$, where $f_*$ is the ...
- 5
0
votes
0
answers
146
views
Derivatives in unusual support domains
Originally posted on Math.StackExchange, here, but I was advised to post it on MathOverflow as it is a research question. Now two final, great answers have been posted, see on Math.StackExchange.
I ...
- 3,098