All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
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183
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Diffuse measure space as a product of $[0;1]$ and another diffuse measure space
The title speaks of itself. How far is an arbitrary finite diffuse measure space from being almost isomorphic to a product of $[0;1]$ with another diffuse measure space? What would be reasonable ...
- 1,959
1
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1
answer
165
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Decomposition of $L^2$-spaces and singular measures
If $\langle \Omega, \mathfrak{F}, \mathbb{P}\rangle$ is a measure space and $L^2$ is the corresponding $L^2$ space and
$$
K\oplus K^{\perp} \cong L^2(\mathfrak{F},\mathbb{P}).
$$
Then let:
$$
\...
1
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1
answer
218
views
Row-stochasticity of the Jacobian matrix of a stationary distribution
Let $P_{\mathbf{p}}$ be a $n \times n$ row-stochastic matrix whose entries are a function of a probability vector $\mathbf{p} \in \mathbf{R}_{> 0}^n$, $\sum_i p_i = 1$ and define the following ...
- 113
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1
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1k
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Prokhorov theorem
Hi there. It is known that on a polish space, if a family of bounded positive measures (no need to be probabilities) is tight, then it is relatively compact in the space of positive measures with ...
- 11
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1
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157
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Is finding the CDF from the Laplace transform well-posed?
In my study of Dynamic Light Scattering, I came across the following inverse problem. Let $F(s):[0,T]\rightarrow[0,T]$ be the Laplace transform of a probability distribution $f(t)$ on the real line ...
- 654
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1
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241
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What is convergence in distribution of random variables taking values in a non-metrizable product space?
Let $F = (F(x) : x \in \mathbf{R}^n)$ be a family of $\mathbf{R}^k$-valued random variables indexed by $\mathbf{R}^n$ (to be clear there is a single probability space $(\Omega,\Sigma,\mathbf{P})$ such ...
- 1,179
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1
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176
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Tight upper-bounds for the Gaussian width of intersection of intersection of hyper-ellipsoid and unit-ball
Let $\Lambda$ be a positive-definite matrix of size $n$ and let $R \ge 0$, which may depend on $n$. Consider the set $S := \{x \in \mathbb R^n \mid \|x\|_2 \le R,\,\|x\|_{\Lambda^{-1}} \le 1\}$ where $...
- 6,853
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1
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185
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Cameron-Martin space of product space
Suppose you have Banach spaces $\mathcal B_\alpha$ where $\alpha$ is in some index set $I$. Let $\mu_\alpha$ be Gaussian measures on $\mathcal B_\alpha$ with Cameron-Martin spaces $\mathcal H_{\mu_\...
- 1,904
1
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1
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113
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Distinction between $\mathcal{C}\left([0,T],\mathcal{P}(\mathcal{X})\right)$ and $\mathcal{P}\left(\mathcal{C}\left([0,T],\mathcal{X}\right)\right)$
Suppose that $\{X^i_t\}_{1\leq i\leq n;\,t\in [0,T]}$ is an interacting particle system prescribed by certain SDEs, with each $X^i \in \mathcal{X}$ (the state space). Define the associated empirical ...
- 730
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1
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161
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Conditional Gaussians in infinite dimensions
I asked this over on cross validated, but thought it might also get an answer here:
The law of the conditional Gaussian distribution (the mean and covariance) are frequently mentioned to extend to the ...
- 379
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1
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172
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A question about pushforward measures and Peano spaces
Specifically my question is the following: Let $P$ be a Peano space. If $(P,\sigma,\mu)$ and $(P,\sigma,\nu)$ are both nonatomic probability measures, does there exist a continuous function $f:P\to P$ ...
- 33
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1
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141
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Does the compactness of parameter of distribution function imply the compactness of the distribution (or probability measure) in Wasserstein space?
For a family of probability measures sharing the same form of distribution function $F(x; p)$ with different parameters (i.e., $p$'s), if the parameter falls in a compact subset of real line, can we ...
- 13
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1
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107
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Convergence of discretized process when its predictable part converges to infinite variation process
This question seems to be related to Theorem IX.7.28 in J. Jacod and A. Shiryaev's Limit theorems for stochastic processes (2013), and it is very important to prove asymptotic properties of my ...
- 284
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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 ...
- 5,405
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1
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96
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Laguerre convolution truncation error
Suppose i have extended two d-variate functions $f$ and $g$ (two densities: positives and integrate to one) supported on $\mathbb{R}_{+}^d$ into the following (tensorised) Laguerre($\alpha = 0$) ...
- 686
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1
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289
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Maximizing linear function (not necessarily continuous) over a compact, closed and convex domain
I am interested in studying the following problem:
\begin{align}
\sup_{\mu \in \mathcal{D} } \int_{\mathbb{R}} f(x) d\mu(x)
\end{align}
where $\mu$ is a probability measure. Assume that $\mathcal{D}$ ...
- 671
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1
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720
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Question about uniform continuity under Skorokhod Metric
Let $D=D([0,1], \mathbb{R})$ be the space of cadlag functions $x$ with $x(0)=0$ and $x$ is continuous on $1$. If we endow $D$ with Skorokhod Metric, see:
http://en.wikipedia.org/wiki/C%C3%A0dl%C3%A0g ...
- 1,835
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1
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142
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Linear Maps between $L^1$-spaces of singular measures
I posted the following question also here, but thought that I can get more answers in MO.
Let $(\Omega,\Sigma)$ be a measurable space and $\nu_1$, $\nu_2$ two probability measures on it. For $i=1,2$, ...
- 13
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1
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559
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Sum of a Gaussian and an independent second moment constrained random variable
I am studying the (asymptotic) behavior of the p.d.f of the random variable $Y = X + Z$, where $X$ is an r.v. with any distribution function $F(x)$ such that $\int_{-\infty}^{\infty} x^2 \mathrm{d}F(x)...
- 51
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977
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Fourier transform of distributions with non-standard test functions
This might be a quite simple question for function analysis standards, but it has some obstacles. I'll try to improve the readability a bit by not using the full tex code. A short motivation:
Given a ...
- 278
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0
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87
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Supremum of sums of functions in $L^1$ taking random signs
Consider the Banach space $X=L^1([0,1])$, and let $n\gg1$ and $x_1, ..., x_n$ be any points in the unit sphere of $X$.
Is there any reasonable lower bound for $$\sup_{(\epsilon_i)_{i=1}^n \in \{-1,+1\}...
- 393
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0
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72
views
How to understand "sparse graph limits"
For an $n$-vertex graph $G$, we say it is a sparse graph if $e(G)=o(n^2)$. Otherwise if $e(G)=\theta (n^2)$, we say it is a dense graph.
For a sequence of dense graphs $G_1,G_2,\dots,$ we know that it ...
- 359
1
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0
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34
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Discrepancy between probability measures, tested against bounded functions of bounded variance
When studying some concentration inequalities, it became relevant to consider the following discrepancy between two probability measures $\pi$ and $\nu$ (treating $\sigma \in \left( 0, \frac{1}{2} \...
- 801
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0
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59
views
Gaussian Hypercontractivity of Chaos based on Gaussian with value in Hilbert spaces?
The classical Gaussian hypercontractivity is stated as following: Suppose $\xi$ is a Gaussian variable and $H_n(\xi)$ is the space of n-th homogeneous Wiener chaos constructed from $\xi$, then for any ...
- 253
1
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0
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64
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embedding spaces of probability measures to function spaces
Let $X, Y$ be Banach spaces. I'm considering a bounded linear functional $g:X\to Y$ and its lift $g_\sharp: \mathcal{P}(X)\to \mathcal{P}(Y)$.
I want to consider the inverse of $g_\sharp$ in some ...
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0
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92
views
Multilinear non-commutative Khintchine inequality
Let $g_1,\ldots,g_k$ be independent standard Gaussians and for each index $(i_1,\ldots,i_k)\in [n]^k$ let $A_{i_1,\ldots,i_k}$ be a $d\times d$ symmetric matrix.
Question: Is there a known bound for ...
- 156
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0
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64
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The operator $D^{p}\colon \mathcal{S}\subset L^{1}(\gamma)\to L^{1}(\gamma)$ is closable for every integer $p =1,2,\dots$
I am reading Nourdin and Peccati’s textbook (Normal Approximations with Malliavin Calculus From Stein’s Method to Universality). My question is about Lemma 1.1.6. Which says
Lemma 1.1.6:
The operator $...
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0
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70
views
On calculating the second quantization operator $\Gamma(A)$ of the Ornstein-Uhlenbeck operator $A$
Let $A$ be a self-adjoint operator on a Hilbert space , and let $d\Gamma(A)$ be the generator of the second quantization of $A$. Consider the following theorem from Segal's "Non-Linear Quantum ...
- 90
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87
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$f \in L^2(X\times Y,\mu \times K)$ for Kernel $K$, is the map $X \ni x \mapsto (f(x,\cdot),x) \in \bigsqcup_{x \in X}L^2(Y,\Sigma_Y,K_x)$ measurable?
Let $(X,\Sigma_X)$ and $(Y,\Sigma_Y)$ be two measurable spaces, let $\mu$ be a measure on $(X,\Sigma_X)$, and let $(K_x)_{x \in X}$ be a transition kernel from $(X,\Sigma_X)$ to $(Y,\Sigma_Y)$, that ...
- 309
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0
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90
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What do $\gamma$-radonifying operators radonify?
In the second volume of their Analysis in Banach Spaces, Hytönen et al. introduce the notion of $\gamma$-radonifying operator more or less as follow.
Let $(\gamma_j)_{j\in\mathbf N}$ be a sequence of ...
- 407
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0
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55
views
functional resembling random variable norm
Let $N\subset\mathbb{R}$ be finite
and define
$$
A(N)
=
\sum_{i
\in\mathbb{Z}
}\min\{
2
^i,
|N\cap[2^i,2^{i+1})|
\},
$$
where
$\mathbb{Z}=\{0,\pm1,\pm2,\ldots\}$
and
$|\cdot|$ denotes set cardinality.
...
- 6,541
1
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1
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100
views
Does convergence of Radon transforms of a sequence of probability distributions implies convergence of the distributions themselves?
Let $P_1,P_2,\ldots $ be a sequence of absolutely continuous probability measures on $\mathbb R^n$, and let
$f_j:\mathbb R^n\to\mathbb R$ be their PDFs. Assume that $\operatorname{E}P_j = 0$ and $\...
- 13
1
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0
answers
144
views
Estimator for the conditional expectation operator with convergence rate in operator norm
Let $X$ and $Z$ be two random variables defined on the same probability space, taking values in euclidian spaces $E_X$ and $E_Z$, with distributions $\pi$ and $\nu$, respectively.
Let $L^2(\pi)$ ...
- 111
1
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0
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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
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0
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64
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Sequential Hölder-norm for functions in $H_{\alpha}([0,1]^{d})$?
I have come across a nice result attributed to Ciesielski (Ciesielski, Z. (1960). On the isomorphisms of the spaces $H_{\alpha}$ and m. Bull. Acad. Pol. Sci. Ser. Sci. Math. Phys. 8, 217–222.), even ...
- 149
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0
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177
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Building random homeomorphisms of the torus $\mathbb T^2$
In https://arxiv.org/abs/0912.3423, a family of random homeomorphisms of the circle is constructed. Main Question: Can the construction be generalized to higher space dimensions, e.g. to $\mathbb T^2$?...
- 101
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0
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96
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Building random homeomorphisms of the circle
Given a positive Borel measure without atoms $\tau$ on the circle $\mathbb T =\mathbb R /\mathbb Z =[0,1)$ , in https://arxiv.org/abs/0912.3423 a homeomorphism $h:[0,1)\to [0,1)$ is defined as
\...
- 101
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0
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99
views
Density of Lipschitz functions in Bochner space with bounded support
Let $X$ and $Y$ be separable and reflexive Banach spaces with Schauder bases. Let $\mu$ be a non-zero finite Borel measure on $X$ and let $L^p(X,Y;\mu)$ denote the (Boehner) space of strongly p-...
- 21
1
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0
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37
views
If $(\kappa_t)_{t\ge0}$ is a Markov semigroup with invariant measure $μ$, under which assumption is $t\mapsto\kappa_tf$ measurable for $f\in L^p(μ)$?
Let
$(E,\mathcal E)$ be a measurable space;
$(\kappa_t)_{t\ge0}$ be a Markov semigroup on $(E,\mathcal E)$;
$\mu$ be a finite measure on $(E,\mathcal E)$ which is subinvariant with respect to $(\...
- 167
1
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0
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417
views
Conditions for equivalence of RKHS norm and $L^2(P)$ norm
Let $K$ be a psd kernel on an abstract space $X$ and let $H_K$ be the induced Reproducing Kernel Hilbert Space (RKHS). Let $P$ be a probability measure on $X$ such that $H_K \subseteq L^2(P_X)$ and ...
- 6,853
1
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0
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135
views
Description of state space of $C(K,M_n)$?
Edit: closed convex hull added.
I am trying to understand the state space of $C(K,M_n)=C(K)\otimes M_n$ for $K$ a compact space.
My guess would be that these are the closed convex hull of states on $C(...
- 598
1
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1
answer
329
views
Hölder continuity of Radon transform of smooth function
Given an integrable function (e.g a probability density function) $f:\mathbb R^n \to \mathbb R$, let $R[f]$ be its Radon transform defined by
$$
R[f](w,b) := \int_{\mathbb R^n} \delta(x^\top w - b)f(x)...
- 6,853
1
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0
answers
254
views
Sobolev variant of Wasserstein space
Let $\mathcal{P}(\mathbb{R}^n)$ be the set of Borel probability measures on the Euclidean space $\mathbb{R}^n$ and consider thereof consisting of all probability measures $\mathbb{P}$ satisfying $\int\...
- 5,405
1
vote
0
answers
152
views
Poisson Kernel and solution formula for fractional elliptic problem
$$
k (-\Delta)^s u + u = 0, \qquad x \in U, \\
u(x) = f(x), \qquad x \in \mathbb R^n \setminus U,
$$
with $f \in L^\infty(\mathbb R^n)$, $k>0$, and $(-\Delta)^s$ is the singular integral ...
- 839
1
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0
answers
100
views
$L_1$ convergence rates for multivariate kernel density estimation
Let $X$ be a random variable on $\mathbb R^d$ with probability density function $f$, and let $X_1,\ldots,X_n$ of $X$ be $n$ iid copies of $X$. Given a bandwidth parameter $h=h_n > 0$ and a kernel $...
- 6,853
1
vote
1
answer
186
views
The central limit theorem in the subgaussian Orlicz norm
A real random variable $X$ is said to be subgaussian if there exists an $a > 0$ such that $\mathbb{E}[e^{\lambda X}] < e^{a^2 \lambda^2}$ for all $\lambda \in \mathbb{R}$. The space of such ...
1
vote
0
answers
63
views
Properties of a kernel convolution $K'(x,y) = \int_X\int_X K_0(x,a)K(a,b)K_0(b,y)d\mu(a)d\mu(b)$ where $K$ and $K_0$ are kernels on $(X,\mu)$
Let $(X,\mu)$ be a probability measure space and $K:X \times X \to \mathbb R$ be a (psd) kernel on $X$. Let $K_0$ be another kernel on $X$ and defined a new kernel $\widetilde K$ on $X$ by
$$
\...
- 6,853
1
vote
0
answers
143
views
$\newcommand\v{\operatorname{vol}_d(C}$Compact subsets of $ℝ^d$ which maximize $\inf_{|v|\le1}\dfrac{\v\cap(𝜀v+C))}{\v)}$ for fixed $\v)$ and $𝜀>0$
Let $\operatorname{vol}_d$ be the volume measure on $\mathbb R^d$ and let $B_d$ be the unit-ball. For $\varepsilon \ge 0$ and a compact subset $C$ of $\mathbb R^d$ with $\operatorname{vol}_d(C)>0$, ...
- 6,853
1
vote
0
answers
65
views
Intuition behind bound of second moment of Greens function by fractional moment
Consider the Hilbert space $ \mathcal{H} = l^2(\mathbb{Z}^d)$ for some dimension $d$ with basis given by the basisvectors $\{ \vert {x} \rangle \}_{x \in \mathbb{Z}^d} $.
Let $A$ be an either self-...
- 1,054
1
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0
answers
239
views
Expected value of the quotient times quotient of the expected values
I am looking for a reference -if there is any- about how to control the following expression:
$$\mathbb{E}\left[\frac{f(X)}{g(X)}\right]\cdot\frac{\mathbb{E}[g(X)]}{\mathbb{E}[f(X)]},$$
where $f$ and $...
- 11