All Questions
Tagged with pr.probability fa.functional-analysis
616 questions
3
votes
1
answer
158
views
Upper and lower bounds for a Rademacher-type expectation
Suppose that $\varepsilon_i$
are independent Rademacher random variables
(that is,
$
\mathbb{P}(\varepsilon_i=-1)
=
\mathbb{P}(\varepsilon_i=1)
=1/2
$.
Fix an $a\in\mathbb{R}^n$
and define the random ...
- 258
3
votes
0
answers
130
views
A Talagrand inequality for the supremum of partial sums over function classes under dependence. (Reference request)
As a consequence to the Talagrand concentration inequality, it is well known that for a measurable space $(S,\mathcal{S})$ and an i.i.d. sample $X_1,...,X_n$ of $S$-valued random variables, if $\...
- 141
0
votes
1
answer
65
views
Strict positive definite function gradient tuple
I have a (Gaussian) random function (aka "stochastic process" or "random field") $(f(t))_{t\in \mathbb{R}^d}$. I now want to consider the vector valued random function $g=(f, \...
- 385
21
votes
7
answers
2k
views
Identities and inequalities in analysis and probability
Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of course,...
- 109k
3
votes
1
answer
1k
views
Borel-Cantelli lemma for general measure spaces (those with infinite measure)
The Borel-Cantelli lemma is often stated for a probability space or spaces with finite measure.
But it seems to me that it still holds if the space $X$ is of infinite measure. I seem to be able to ...
CommunityBot
- 1
4
votes
1
answer
227
views
Problem in Probability Theory and Functional Analysis
Let's consider the vector space V of bounded scalar functions, which includes the constant function 1. We assume that any uniform limit of a bounded monotonic sequence of functions from V also ...
1
vote
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
$$
R[f](w,b) := \int_{\mathbb R^n} \delta(x^\top w - b)f(x)...
CommunityBot
- 1
4
votes
2
answers
390
views
Gaussian mixtures are dense in total variation?
Let $M_{TV}(\mathbb{R}^d)$ denote the set of probability measures on $\mathbb{R}^d$ with finite total variation norm which are absolutely continuous with respect to the Lebesgue measure.
By a Gaussian ...
- 128k
1
vote
1
answer
100
views
Is Nelson-Symanzik positivity compatible with fermionic statistics?
Let $\{ S_n \}_{n =0}^\infty$ be a sequence of tempered distributions where $S_n \in \mathcal{S}'(\mathbb{R}^{nd})$ where $d \in \{2,3,4\}$ is fixed. Moreover, we put three additional conditions:
$...
1
vote
1
answer
157
views
Is finding the CDF from the Laplace transform well-posed?
In my study of Dynamic Light Scattering, I came across the following inverse problem. Let $F(s):[0,T]\rightarrow[0,T]$ be the Laplace transform of a probability distribution $f(t)$ on the real line ...
- 128k
7
votes
2
answers
841
views
Why is $\mathbb R^{\mathbb N}$ not high-dimensional enough?
In this paper [1], the authors consider the limiting distribution of $$S_{n,p}:=\frac{1}{\sqrt n}\sum_{k=1}^nX_k$$ for $p\rightarrow\infty$ as $n\rightarrow\infty$, where $X_1, X_2,\dots, X_n$ are ...
- 128k
2
votes
0
answers
124
views
dimensionality reduction of Markov chains
Suppose that $M$ is a time-homogeneous (and, for simplicity, stationary) Markov chain on $d$ states, which induces the probability measure $P$ on paths of length $n$. I seek a Markov chain $M'$ on $d'&...
- 6,541
1
vote
0
answers
87
views
Supremum of sums of functions in $L^1$ taking random signs
Consider the Banach space $X=L^1([0,1])$, and let $n\gg1$ and $x_1, ..., x_n$ be any points in the unit sphere of $X$.
Is there any reasonable lower bound for $$\sup_{(\epsilon_i)_{i=1}^n \in \{-1,+1\}...
- 393
5
votes
1
answer
774
views
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 ...
CommunityBot
- 1
5
votes
1
answer
183
views
What is a natural interpretation of the commutator of the conditional expectation operator?
Notation: We denote by $\mathbb E_{\mathcal F} X$ the conditional expectation of the random variable $X$ with respect to the $\sigma$-algebra $\mathcal F$.
Given two $\sigma$-algebras $\mathcal G, \...
- 12.9k
-1
votes
1
answer
168
views
Space of distributions on $[0,1]^2$: weakly compact or not?
Let $X_1,X_2$ be distributions on $[0,1]$ and let $X=(X_1,X_2)$ be the joint distribution of $X_1,X_2$. Let $\mathcal{X}$ be the set of all such joint distribution $X$.
Question 1: Does $\mathcal{X}$ ...
- 6,213
0
votes
0
answers
45
views
Functional inequalities on neighbourhood graphs
Consider an open domain $\Omega \in \mathbb{R}^d$, say the unit disk in $\mathbb{R}^2$ with $N$ points sampled i.i.d. on it. One of the simplest possible (unnormalised) discrete Laplacian of a ...
- 111
1
vote
1
answer
215
views
Compactness with respect to topology induced by total-variation distance
I've been working on a problem and at some point in the proof I need to show that the following set $$\left\{\mu \in \mathcal{P}_{ac}(\mathbb R^d): \int \varphi(x)\mu(\mathrm{d}x)\leq C\right\}$$
is ...
- 194
1
vote
0
answers
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 ...
- 349
2
votes
1
answer
89
views
Upper bound on the Levy-Prokhorov distance between the distributions of continuous Gaussian processes in terms of their covariances
Denote by $d$ the supremum metric on the space $C[0,T]$ of continuous real-valued functions on $[0,T]$:
$$
d(f,g) = \sup_{t \in [0,T]} |f(t)-g(t)|.
$$
Let $\rho$ be the Levy-Prokhorov metric on the ...
- 5,474
7
votes
0
answers
269
views
Looking for the eigenfunctions of the operator $T$ on $L_2(\mathbb R^+)$ defined by $Tf(x)=\int_0^\infty e^{-(x+y)^2/2}f(y)\,dy$
I'm looking to find a basis of eigenfunctions (and the corresponding eigenvectors) for the operator $T$ on $L_2(\mathbb R^+)$ defined by:
$$
Tf(x)=\int_0^\infty e^{-(x+y)^2/2}f(y)\,dy
$$
This operator ...
- 460
3
votes
1
answer
287
views
Expectation comparison inequality for concave function of symmetric random variables
Suppose that $X_i$, $i\in[n]$ are
independent symmetric
random variables. I think the conjectured result holds in greater generality, but we can additionally assume that each $X_i$ takes the values $\...
- 6,541
4
votes
1
answer
196
views
(Lattice approximation) Does UV stability lead to continuum limit of a subsequence?
In the context of lattice approximation, the term "UV stability" seems to be used frequently. To me, it seems like
Uniform boundedness of the partition function in the limit where lattice ...
3
votes
1
answer
176
views
Are measurable maps with countably separated image in a Banach space always strongly measurable?
Let $(E,\|.\|)$ be a (not necessarily separable) Banach space and $\Sigma_E$ the Borel $\sigma$-algebra (w.r.t. the norm topology). Let $(\Omega,\Sigma_\Omega)$ be a measurable space (which we can ...
- 285
1
vote
0
answers
34
views
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
3
votes
0
answers
58
views
Infinitesimal generators of random evolutions
Consider two state spaces $X$ and $Y$ and infinitesimal generators of Markov processes $(A_y)_{y\in Y}$ and $B$, on $X$ and $Y$ respectively. We assume that $A_y$ share the same domain $D(A)$, and ...
- 31
2
votes
0
answers
29
views
Steiner symmetrization of smooth function on non-simply connected regions
Given a smooth function $u$ defined on $\mathbb{R}^2$, restrict $u$ to a subset $\Omega \subset \mathbb{R}^2$ (possibly not simply connected) foliated by level sets of a smooth function $\psi: \Omega \...
- 434
2
votes
1
answer
251
views
Log-Sobolev constant
Let $\nu \propto e^{-f}$ be a probability density on $\mathbb{R}^d$ with full support. We say $\nu$ satisfies the log-Sobolev inequality (LSI) with constant $\alpha$ if for every smooth function $g:\...
CommunityBot
- 1
1
vote
1
answer
170
views
Mean of probability distribution
I have a probability distribution defined by the following density function:
$f(k,j,n,m)=\frac{(m n)! \mathcal{S}_k^{(j)}}{(m n)^k (m n-j)!}$ (With $\mathcal{S}_k^{(j)}$ being the Stirling number of ...
- 188k
-1
votes
2
answers
251
views
$p$-norm of random variables and weighted $L^p$ space resemblance
I noticed a very similar relationship between weighted $L^p$ space (denoted $L_w^p$) and normed vector space of random variables. I want to unify these two spaces but there always seems to be a ...
- 12.9k
5
votes
1
answer
375
views
Looking for a counterexample: Conditioning increases regularity?
Let $p(x,y,z)$ be a joint density (over $\mathbb{R}^3$) under no smoothness or regularity assumptions, besides its existence. I am looking for a (counter)example where $p(y|x)$ is less regular than $p(...
- 6,213
4
votes
0
answers
330
views
Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
- 4,713
2
votes
0
answers
88
views
Dependence and $L^2$ projections of functions
tl;dr: Is it possible that the best approximation to a nonnegative function of three variables with a bivariate function is no better than the best univariate function?
Let $w$ be a density on $\...
- 21
2
votes
0
answers
137
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
- 6,367
1
vote
0
answers
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
4
votes
2
answers
354
views
Injectivity of a convolution operator
Let $p,\mu,\nu$ be probability density functions on
$\mathbb{R}$ such that
$$
\int_{\mathbb{R}}p(y-x) \nu(y) \, dy=\mu(x).
$$ Now, consider the operator $T:L^2(\mu)\to L^2(\nu)$ such that $$ Tf=f*p.$$ ...
- 133
3
votes
0
answers
79
views
Continuity of disintegrations in non locally compact spaces
Let $X$ and $Y$ be Radon spaces, $\mu$ a Borel probability measure on $X$, $F\colon X\to Y$ measurable. Then the disintegration theorem gives us a disintegration $\{\mu^y\}_{y\in Y}$ of $\mu$ with ...
- 63
2
votes
0
answers
74
views
References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 825
1
vote
0
answers
64
views
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 ...
17
votes
2
answers
5k
views
Positive-Definite Functions and Fourier Transforms
Bochner's theorem states that a positive definite function is the Fourier transform of a finite Borel measure. As well, an easy converse of this is that a Fourier transform must be positive definite.
...
0
votes
0
answers
81
views
Measurable Extension
Let $(\Omega, \mathcal{F})$ be a measurable space and $X$ some metric space (probably Polish) with the Borel $\sigma$-algebra and a function $f: \Omega \times X \to \mathbb{R}$. Usually, functions ...
- 136
0
votes
1
answer
100
views
Projection on a countable union of linear subspace
For any natural number $n$, $V_n$ denotes a closed linear subspace of a $L_2(m)$ space, which is an Hilbert Space, where $m$ denotes a finite measure. Moreover $(V_n)$ is increasing, that is $V_n$ is ...
- 128k
3
votes
0
answers
105
views
Maximal-type inequality for a Borel probability measure supported on a subset of $L^2(\mathbb{R}^d)$
Let $\mu$ be a Borel probability measure on $L^2(\mathbb{R}^d)$ for $d\ge 1$ which is moreover supported on the unit sphere
$$S=\{\phi\in L^2(\mathbb{R}^d): \| \phi\|_{ L^2(\mathbb{R}^d)}=1\}.$$
Let ...
- 870
0
votes
1
answer
114
views
Ball in separable Banach space has positive Gaussian measure
I have (presumably non-degenerate) Gaussian $\mu$ over separable Banach space $X$. I would like to prove that for any ball of radius $r$ centered at $x$, $\mu(B_r(x))$. I know how to prove this in ...
- 128k
3
votes
2
answers
250
views
Existence of a positive measurable set with disjoint preimage under iterated transformation
Let $(X,\mathcal B,\mu)$ be a atomless probability measure space and $T:X\to X$ be a non-singular transformation such that $\mu\left({x\in X: T^n(x)=x}\right)=0$ for every $n\ge 1$. Let $A\in \mathcal ...
- 10.6k
11
votes
1
answer
676
views
Entropy arguments used by Jean Bourgain
My question comes from understanding a probabilistic inequality in Bourgain's paper on Erdős simiarilty problem: Construction of sets of positive measure not containing an affine image of a given ...
- 1,190
1
vote
0
answers
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
0
votes
0
answers
73
views
Criteria giving sufficient conditions for a Borel measure to have compact support
I am interested in criteria that guarantee that a Borel probability measure has compact support.
I outline two below and I am hoping to gather more as answers (if they exist).
The first sufficient ...
- 870
7
votes
2
answers
988
views
Missing mass conjecture
Let $n,t$ be positive integers and $p_1,p_2,\ldots,p_n$ positive numbers summing to 1. Conjecture:
$$
\sum_{i=1}^n p_i (1-p_i)^t \le \frac{n(1-1/n)^n}{t}
$$
always holds.
The motivation comes from my ...
- 1,446
0
votes
0
answers
22
views
Directions of differentiability of log-concave measures with infinite-dimensional support
I recently came across the very nice review "Differentiable Measures and the Malliavin Calculus" by Bogachev (1997) which begins by discussing measures $\mu$ on locally convex spaces $X$ ...
- 651