All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
4
votes
1
answer
311
views
Examples of Borel probability measures on the Schwartz function space?
Let $\mathcal{S}(\mathbb{R}^d)$ be the Frechet space of Schwartz functions on $\mathbb{R}^n$. Its dual space $\mathcal{S}'(\mathbb{R}^d)$ is the space of tempered distributions.
Minlos Theorem as ...
- 3,477
3
votes
1
answer
201
views
Continuity of conditional expectation
Let $X$ be a compact metric space, $\mu$ a Borel probability measure on $X$ and $f: X \to \mathbb{R}$ a continuous function. Consider an increasing sequence of $\sigma$-algebras $A_n$ so that for all $...
- 31
1
vote
1
answer
210
views
Does an uncountable convex combination of elements of a set lie in the convex hull of the set in finite dimension?
Suppose that $\mathcal{F}$ is a finite-dimensional vector space and that $C\subseteq\mathcal{F}$ is a convex subset of $\mathcal{F}$.
Is it true that an uncountable convex-combination of elements of $...
- 199
2
votes
1
answer
93
views
Why do distributional isomorphisms preserve joint distribution?
Let $(\Omega,\mathcal{A},\mu)$ and $(\Omega',\mathcal{A}',\mu')$ be probability spaces and
$$f_1,\ldots,f_n:\Omega\to\mathbb R,\; f_1',\cdots, f_n':\Omega'\to\mathbb{R}$$
be integrable random ...
1
vote
0
answers
90
views
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
1
vote
0
answers
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
vote
1
answer
150
views
Is the Boltzmann entropy continuous in the supremum norm?
We define $U : [0, +\infty) \to [0, +\infty)$ by $U(0) := 0$ and $U (s) := s \log s$ for $s >0$. Then $U$ is strictly convex. Let $D$ be the set of all bounded non-negative continuous functions $\...
- 825
0
votes
0
answers
73
views
Computationally efficient solution for the measure of central tendency minimizing Lp loss for p > 1
We know that the measure of central tendency that minimizes the Lp loss is $\min_c \sum_{i=1}^n |x_i - c|^p$
For $p=1$ (L1 loss), this is the median. For $p=2$ (L2 loss), this is the mean. Both of ...
- 109
3
votes
1
answer
220
views
Conditional expectation as square-loss minimizer over continuous functions
It is well-known that the conditional expectation of a square-integrable random variable $Y$ given another (real) random variable $X$ can be obtained by minimizing the mean square loss between $Y$ and ...
- 463
1
vote
1
answer
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
4
votes
2
answers
378
views
A possible measure-theoretic pathology
Let $S$ be a nonempty closed subset of the open unit square $(0,1)^2 = X \times Y$
that has the following "shadow property":
For any aligned open square $C = A \times B$ that intersects $S$, ...
- 41
8
votes
2
answers
644
views
Uniqueness of the uniform distribution on hypersphere
I'm looking for a uniqueness-type result for the following problem, which is related to the uniform distribution in the hypersphere $\mathbb{S}^{p-1}$. Suppose $f$ is a sufficiently smooth function on ...
- 81
1
vote
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
3
votes
2
answers
102
views
Reference for Wiener type measure on $C(T)$ when $T$ is open
I'm considering Gaussian process on open domain $T$ in $\mathbb{R}^n$ and I tried to follow the abstract Wiener space construction of Gross. Since my sample paths are meant to be continuous, I thought ...
- 163
1
vote
1
answer
195
views
Reference request: Inequalities involving convex sets and Gaussian variables stated in a paper by Talagrand
I'm looking for references for two facts that are stated without proof in the paper:
Talagrand, M., Are all sets of
positive measure essentially convex?, Lindenstrauss, J. (ed.) et al.,
Geometric ...
- 484
1
vote
1
answer
241
views
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
3
votes
1
answer
219
views
Is there a real/functional analytic proof of Cramér–Lévy theorem?
In the book Gaussian Measures in Finite and Infinite Dimensions by Stroock, there is a theorem with a comment
The following remarkable theorem was discovered by Cramér and Lévy. So far as I know, ...
- 657
4
votes
0
answers
119
views
Is the range of a probability-valued random variable with the variation topology (almost) separable?
Let $X$ and $Y$ be uncountable Polish spaces, $\Delta(Y)$ be the space of Borel probability measures on $Y$ endowed with the Borel $\sigma$-algebra induced by the variation distance, and let $g:X\to \...
2
votes
0
answers
164
views
Log Sobolev inequality for log concave perturbations of uniform measure
Suppose $\Omega$ is a convex bounded open set of $\mathbb{R}^n$ (I would be happy with just $\Omega$ as the $n$-dimensional cube). Let $\mu$ be the uniform measure on $\Omega$ and consider the ...
- 873
2
votes
1
answer
199
views
Gaussian Poincare inequality in $1$ dimensions together with localization issue
Let $d\mu$ be a Gaussian measure on $\mathbb{R}$ with the center $a \in \mathbb{R}$ and variance $1$.
Let $B(a,r) \subset \mathbb{R}$ be the interval $[a-r,a+r]$.
Then, for any smooth mapping $f : \...
- 3,477
1
vote
1
answer
83
views
Integral of $M^\text{*} - M$ with respect to $M^\text{*}$ is zero for $M^\text{*}$ the running maximum of $M$ a continuous local martingale
Given $M$ a continuous local martingale, and $M^\text{*} = \sup_{0 \leq s \leq t} M_s$ its running maximum, we consider the finite variation integral
$$
I_T:= \int_0^T (M^\text{*}_s - M_s) \, \text{d}...
- 113
5
votes
0
answers
159
views
Log Sobolev inequality uniform in parameters
Fix a positive integer $N$. For $\theta \in [0,2\pi]$, set $\sigma_k(\theta) :=(\cos(k\theta),\sin(k\theta)) \in S^1$ for each integer $1\leq k\leq N$. Now for vectors $x_1,\ldots,x_N\in \mathbb{R}^2$,...
- 873
0
votes
1
answer
51
views
Convergence of Gaussian measures $\{ d\mu_a \}$ whose variances depend smoothly on the index $a$
Let $f: \mathbb{R} \to \mathbb{R}$ be a smooth function such that $f(x)$ is positive in a small punctured neighborhood of $x=0$ but $f(0)=0$.
Now, define a collection of centered Gaussian measures on $...
- 3,477
-1
votes
2
answers
407
views
Conditional expectation: commuting integration and supremum
Let $X$ and $A$ be compact Polish spaces endowed with Borel $\sigma$-algebras. Let $\mathcal{A} = X\times \mathcal{B}(A)$ be the $\sigma$-algebra consisting of cylinders whose projections on $A$ are ...
- 109
4
votes
1
answer
161
views
For centered Gaussian measures, is $E[\lVert X\rVert^2] \lesssim E[\lVert X\rVert ]^2$ true in infinite dimensions as well?
In the proof of Corollary 5.7 in the following link:
https://arxiv.org/pdf/1610.05200.pdf
the author claims that $E[\lVert X\rVert^2] \lesssim E[\lVert X\rVert ]^2$ for the standard normal ...
- 3,477
1
vote
0
answers
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
2
votes
1
answer
375
views
Radon-Nikodym derivative in a compact Hausdorff space
Let $X$ be a compact Hausdorff space where $X$ have infinitely many points and the topology is non-discrete, $m$ be a regular probability measure defined on the Borel $\sigma$-algebra of $X$, and $g$ ...
- 307
2
votes
0
answers
57
views
Regularity on $\mathbb{T}^3$ of the "functional average" of a map $S : C^\infty(\mathbb{T}^3, \mathbb{R}) \to L^2(\mathbb{T}^3, \mathbb{R})$
For simplicity, let $C^\infty(\mathbb{T}^3, \mathbb{R})$ be the real Frechet space of periodic smooth functions on $\mathbb{R}^3$. Here, $\mathbb{T}^3$ is the $3$-dimensional torus.
For a fixed ...
- 3,477
1
vote
1
answer
319
views
Total variation distance
Let $\mathcal{X}$ be the input or feature space, let $\mathcal{B}$ be Borel $\sigma$-algebra on $\mathcal{X}$ and $P(\mathcal{X})$ denotes the set of all probability measures on $(\mathcal{X},\mathcal{...
- 23
2
votes
0
answers
62
views
On a real smooth version of white noise distribution theory
In white noise analysis, one starts with a real Gelfand triple $\mathcal{N}\subset \mathcal{H} \subset \mathcal{N}^{*}$ and produces out of it, using complexifications along the way, the complex ...
- 505
3
votes
0
answers
214
views
Implicit function theorem in Riemannian manifold and Wasserstein space
My question is about to what extent can we extend the implicit function theorem to Riemannian manifolds. In the Euclidean space, consider a bivariate function $F \colon \Theta \times \mathcal{X} \...
- 1,127
0
votes
0
answers
78
views
Different measurability of Hilbert-space valued random variable
My question is motivated by this link.
Let $(\Omega,\mathcal{F})$ and $(Y,\mathcal{B})$ be measurable spaces, a measurable map $T:\Omega\to Y$ is called a $Y$-valued random variable.
Now let $H$ be a ...
- 503
3
votes
1
answer
498
views
Spectral Radius and Spectral Norm for Markov Operators
My question concerns differences between the spectral radius $\rho$ and norm $\| \cdot \|$ of Markov operators in infinite-dimensional Banach spaces. This is far from my area of expertise, that is ...
- 560
4
votes
1
answer
951
views
Lipschitz function of subgaussian random variable
The similar and more general question is asked here, whose setting is random vectors.
Let $X$ be $\sigma$-sub-Gaussian and $f$ is a Lipschitz function w.r.t. constant $L$. How to prove can the ...
- 81
2
votes
1
answer
77
views
Measurability of random function with values in $C(K,E)$
Let $K \subset \mathbb{R}$ be compact, and let $E$ be a separable Banach space. Further, let $(\Omega, \mathcal{F},\mathbb{P})$ a probability space. I would like to show that a certain a random ...
3
votes
1
answer
100
views
Vague Topologies induced by $C_c$ and $C_0$ are the same on a closed ball of finite Radon measures?
Let $X$ be a locally compact Hausdorff space. Denote $C_c(X)$ and $C_0(X)$ the space of continuous functions with compact support and vanishing at infinity respectively. By Riesz representation ...
- 315
1
vote
0
answers
64
views
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
0
votes
0
answers
128
views
When is the image of $T \colon \ell^2 \to \ell^2$ a Gaussian random variable?
In finite dimensions, if $T$ is a linear operator and $x$ is a (centered) Gaussian random variable, then $Tx$ is again a (centered) Gaussian random variable.
Now suppose that $x$ is a (say, centered) ...
- 420
0
votes
2
answers
101
views
Minimal set of functions to characterize a distribution
In probability theory, there are a number of equivalent ways to characterize a distribution on $\mathbb R^n$. For example, the distribution of a random vector $X\in\mathbb R^n$ may be characterized by:...
- 109
0
votes
1
answer
59
views
Given positive $\epsilon$ and $c$, find a density $\phi$ such that $t\phi(\epsilon/t) \ge c \|\phi'\|_\infty$ for all positive $t$
A nice density (on $\mathbb R$) is function $\phi:\mathbb R \to \mathbb R$ such that
(1) $\phi(x) \ge 0$ for all $x \in \mathbb R$,
(2) $\int_{-\infty}^\infty \phi(x) \mathrm{d}x = 1$,
(3) $\phi$ is ...
- 6,853
4
votes
2
answers
374
views
Vague convergence: confusion about the regularity of a signed Radon measure and that of its variation
I'm reading a proof of below theorem from this paper.
Theorem A.3. Let $\Omega$ be a locally compact normal Hausdorff space. Let $\left\{\mu_n\right\} \cup\{\mu\} \subset \mathcal{M}(\Omega)$ and ...
- 657
2
votes
2
answers
228
views
Minimal conditions on random vector $X \in R^n$ to ensure that $\lim_{t\to 0^+}\sup_{\|w\|_p = 1}\sup_{u \in \mathbb R}\mathbb P(|X'w-u| \le t)=0$
Let $X$ be a random variable on $\mathbb R^n$ and let $S_p^n := \{w \in \mathbb R^n \mid \|w\|_p = 1\}$ be the unit-sphere w.r.t to the $\ell_p$-norm in $\mathbb R^n$. We will be particularly ...
- 6,853
0
votes
1
answer
328
views
Deduce that a function is zero on interval $[0,M]$
I have been thinking about this for the last few days but I was not able to produce a definitive answer.
Take an integrable function $g$ that maps in $\mathbb{R}$ and with domain contained in $[0,M]$ (...
- 141
1
vote
1
answer
176
views
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
3
votes
0
answers
175
views
Any reference on Jensen inequality for measurable convex functions on a Hausdorff space?
I asked this question on math.stackexchange and I was suggested that asking it may be more appropriate. This is part of my research which tries to extend some of Choquet's theory to some non-compact ...
- 204
5
votes
0
answers
135
views
Criteria for tightness of Gaussian measures on Banach spaces
In Bogachev's book "Gaussian Measures" (Example 3.8.13) sufficient conditions for the (uniform) tightness of a sequence of centered Borel Gaussian probability measures on a separable Hilbert ...
- 505
4
votes
0
answers
134
views
Weighted logarithmic Sobolev inequality
$\DeclareMathOperator\Ent{Ent}$The usual logarithmic Sobolev inequality says that
$$
\Ent_\mu(f^2)\leq C\int |\nabla f|^2 d\mu
$$
where the entropy
$$
\Ent_\mu(f^2)=\int f^2 \log\left( \frac{f^2}{\int ...
- 5,380
2
votes
1
answer
197
views
$\Psi$ in finite Wiener–Itô Chaos implies existence of continuous representative on neighborhood of Cameron–Martin space?
Let $(\Theta, H, \mu)$ be an abstract Wiener space, i.e. let $(\Theta, \lVert \cdot \rVert_{\Theta})$ be a separable Banach space, let $(H, \langle \cdot, \cdot \rangle_{H})$ be a separable Hilbert ...
- 150
3
votes
1
answer
466
views
Equivalence between two fractional Sobolev spaces
For $s \in (0,1)$, we consider the spectral fractional Laplacian
\begin{align}
(-\Delta)^{-s}u = \sum_{k=1}^{\infty}\lambda_k^{-s}(\phi_k,u)_{L^2}\phi_k
\end{align}
where
\begin{align*}
\begin{cases}
...
- 161
5
votes
1
answer
331
views
Gaussian-to-Gaussian transformations are affine a.e.?
Let $\mathcal{G}_n = \{ N(\mu,\Sigma) ; \mu \in \mathbb{R}^n, \Sigma > 0\}$ be the collection of Gaussian distributions on $\mathbb{R}^n$ with full support.
If $f : \mathbb{R}^n \to \mathbb{R}^k$ ...
- 716