All Questions
Tagged with pr.probability gaussian
220 questions
3
votes
0
answers
69
views
Order of $\mathbb{E}[ \max_i |x_i + z_i| - \max_i |z_i|]$
Let $z_1, \dots, z_n$ be iid standard Normal, and let $x \in \mathbb{R}^n$. Put $\|u\|_\infty = \max_i |u_i|$.
Define
$$
F(x) = \mathbb{E}\Big[\|x + z\|_\infty - \|z\|_\infty\Big]
$$
If $\|x\|_\infty \...
- 420
2
votes
0
answers
97
views
+100
Inequalities for norm of centered Gaussian and uncentered Gaussian
Let $g$ denote a standard Gaussian vector in $\mathbb{R}^n$, and $\|\cdot\|$ a norm.
Let $x \in \mathbb{R}^n$ and define
$$
F(x) = \mathbb{E}[\|x + g\| - \|g\|].
$$
I am wondering if it is possible to ...
- 420
1
vote
0
answers
56
views
Quantitative multivariate CLT from quantitative CLT of linear combinations
Suppose $Z_1, \ldots, Z_k$ are random variables with mean $0$ and variance $1$ that are "approximately jointly Gaussian" in the sense that for any scalars $c_1, \ldots, c_k$, we have that $\...
- 111
2
votes
2
answers
548
views
Quantifying the effect of noise on the posterior variance in Gaussian processes / multivariate Gaussian vectors
Consider a real-valued Gaussian process $f$ on some compact domain $\mathcal{X}$ with mean zero and covariance function $k(x,x') \in [0,1]$ (also known as the kernel function). This question concerns ...
CommunityBot
- 1
3
votes
2
answers
184
views
Maximizing expectation of gaussian process over covariance matrix with fixed trace
Let $\mathcal{A} = \{\Sigma \in PSD_{n\times n}(\mathbb{R}), \wedge \forall i,\Sigma_{ii}=1\}$. Then $\mathcal{A} \subset M_{n\times n}(\mathbb{R})$ is convex, closed, and bounded.
For each $\Sigma \...
- 4,653
2
votes
1
answer
119
views
Deriving the distribution of standardized variables with empirical mean and standard deviation
I'm working with a set of independent and identically distributed random variables $\{ x_i \}_{i=1}^N$, where each $x_i$ follows a Gaussian distribution $P_X(x) = \mathcal{N}(x; \mu, \sigma^2)$. This ...
CommunityBot
- 1
1
vote
1
answer
241
views
Expectation of top-K selection of squared Gaussian random variables
Let us have
$$
Z = [z_1, z_2, \dots, z_n],
$$ where $z_i \sim N(0, \sigma^2)$ and are iid. Additionally, consider
$$
X_k := \{ x \in \{0, 1\}^n : e^T x = k \}
$$ If $Y = \max_{X \in X_k} |Z^T X|^2,$ ...
CommunityBot
- 1
0
votes
1
answer
281
views
Comparison of Rademacher and Gaussian expected values under linear transformations
As per suggestion, I have decided to post the following as a new question, but it is a follow-up to this one: Comparison of Rademacher and Gaussian moments under linear transformations
Let $X$ be an $...
CommunityBot
- 1
5
votes
1
answer
188
views
Girsanov's theorem for Gaussian measures as the Cameron-martin theorem with a random shift
Let $H \subset E$ be the Cameron-Martin space of a Gaussian measure $\mu$ on a separable Banach space $E$. The Cameron-Martin theorem states that for all $h \in E$ we have $h \in H$ if and only if $\...
- 1,904
5
votes
1
answer
1k
views
Explicit constant for Carbery–Wright inequality
The Carbery–Wright inequality is a seminal result about the anti-concentration of polynomials of Gaussian random variables.
See e.g. Meka, Nguyen, and Vu - Anti-concentration for polynomials of ...
CommunityBot
- 1
0
votes
1
answer
100
views
Expressing a multivariate normal distribution as a mixture of uniform distributions?
Context: Given a scalar normal distribution $X\sim \mathrm{N}(\mu, \sigma^2)$, it is possible to express $X$ as a mixture of uniform distributions over intervals (compound probability distributions), ...
- 63.9k
0
votes
2
answers
135
views
Expectation of supremum of sub gaussians
I am trying to prove Lemma 2.3 of ON THE SPECTRAL NORM OF
GAUSSIAN RANDOM MATRICES, which states that
Let $X_1,\cdots,X_n$ be not necessarily independent random variables with $\mathbb{P}[X_i > x] ...
- 128k
3
votes
1
answer
136
views
Concentration of sample median for iid Gaussians
Let $X_1, \dots, X_n$ be iid according to $\mathcal{N}(0, 1)$, and let $M_n$ be the median of the $X_1, \dots, X_n$. I recall reading a concentration inequality for $M_n$ that was (roughly) as follows:...
- 75
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
1
vote
1
answer
180
views
Conditional differential entropy of sum of Gaussians
Is it possible to give an expression for the conditional differential entropy $h(A+B\mid C+D),$ where $A,B,C,D$ are normally distributed with known standard deviations $σ_A,\ldots,σ_D$ and where all ...
CommunityBot
- 1
2
votes
0
answers
56
views
Sum of independent Wisharts
Suppose random vectors $y_1,y_2,\ldots,y_m$ are independent and the distribution of each $y_i$ is a $d$-dimensional complex Gaussian with mean $0$ and covariance $\Gamma_i$, that is $y_i \sim \mathcal{...
3
votes
0
answers
353
views
Moments of normalized multivariate Gaussians (and Wick's/Isserlis theorems)
Suppose $x = \begin{bmatrix}x_1 \\ x_2\end{bmatrix}$ is distributed according to the real two-dimensional Gaussian with mean-$0$ and covariance matrix $\Sigma$. I am interested in a closed form for ...
- 193
3
votes
0
answers
131
views
Matrix-Gaussian distributions
The point of this question is to ask for references on matrix-variate Gaussian distributions. But I will explain what I mean by a matrix-variate Gaussian with an example (the notion I have in mind is ...
- 193
5
votes
1
answer
392
views
comparing Gaussian to order statistic of Gaussian
I would like to compute the probability of
$$\mathbb{P}[Y > \max(X_i)], Y\sim N(0, 1), X_i \sim N(0, \sigma_i)$$
All the random variables have zero mean, but the variances are different.
My ...
2
votes
1
answer
281
views
Hermite polynomial and Gaussian random variable
The following formula is well known: $E[H_k(X,E[X])H_q(Y,E[Y])]=\delta_{kq}E[XY]^k$ for a joint Gaussian r.v. $(X, Y),$ $H_k$ are Hermite polynomiale.
Is there a generalization for this to a joint ...
- 1,190
3
votes
1
answer
146
views
Orthogonal projection $X X^+$ from random Gaussian matrix $X$
Given a standard Gaussian matrix $X\in\mathbb{R}^{n\times d}$, $d<n$, with entries sampled i.i.d. from $\mathcal{N}(0,1)$, is the corresponding orthogonal projection $X X^+ = X (X^\top X)^{-1} X^\...
- 128k
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
62
votes
7
answers
10k
views
Why is the Gaussian so pervasive in mathematics?
This is a heuristic question that I think was once asked by Serge Lang. The gaussian: $e^{-x^2}$ appears as the fixed point to the Fourier transform, in the punchline to the central limit theorem, as ...
- 4,713
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 ...
- 835
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
1
vote
0
answers
133
views
A question about one Malliavin derivative calculation
Recently, I've asked here a question. While trying to find an answer on my own, I found an idea which I now will briefly describe below. I am not familiar enough with the Malliavin calculus, so my ...
- 620
1
vote
0
answers
35
views
Deterministic multifractal measure with quadratic singular spectrum?
For a non-negative locally finite measure $\mu$ on a bounded metric space $(\Omega,\mathcal{B})$, its local Holder exponent $f(x)$ is defined as $$f(x)=\lim_{r\downarrow 0}\frac{\mu(B(x,r))}{\log r}$$
...
- 715
0
votes
1
answer
126
views
Stationary distribution of AR(1) processes and Lyapunov central limit theorem
Let $X_t$ follow the following AR(1) process:
$$
X_t=\rho X_{t-1}+e_t
$$
in which $|\rho|<1$ and $e_t$ is iid noise term with density $f$, mean $0$ and finite moments up to a certain order.
I am ...
- 128k
12
votes
3
answers
760
views
Asymptotics of functional of i.i.d. Rademacher random variables
Let $X_1,\ldots, X_n$ be i.i.d. Rademacher random variables. That is, $\operatorname{Pr}(X_i = 1) = \operatorname{Pr}(X_i = -1) = 1/2$. I was wondering if the following argument is true:
$$
\mathbb{E} ...
- 113
0
votes
1
answer
102
views
Lower bounds for truncated moments of Gaussian measures on Hilbert space
Let $\mu_C$ be a centered Gaussian probability Borel measure on a real separable Hilbert space $\mathcal{H}$ with covariance operator $C$. Denote the ball with radius $r$ in $\mathcal{H}$ centered at ...
- 128k
0
votes
0
answers
39
views
Multivariable local CLT for uncorrelated (but dependent) coordinates?
Let $\vec f, \vec g\sim\mathcal{N}(0, \sigma^2I_n)$ be independent Gaussians.
Define $\mathsf{cyc}^i(\vec f) = (\vec f_i, \vec f_{i+1},\dots, \vec f_{n-1}, \vec f_0, \vec f_1,\dots, \vec f_{i-1})$ to ...
- 63.9k
2
votes
0
answers
85
views
Faster Convergence in CLT for sums and convolutions of Gaussians?
Let $n\in\mathbb{N}$ and $\sigma>0$ be fixed.
I have a certain class $\mathcal{C}$ of random variables I am interested in analyzing.
This contains
$\vec X\sim \mathcal{N}(0, \sigma^2I_n)$
Sums of (...
- 2,183
1
vote
1
answer
2k
views
Autocovariance of time integrated Ornstein–Uhlenbeck process
$\newcommand{\Cov}{\operatorname{Cov}}\newcommand{\Var}{\operatorname{Var}}$if $X(t)$ is the Ornstein–Uhlenbeck process and $Y(t)$ the time integrated OU process I am trying to calculate the ...
- 44.7k
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
0
votes
1
answer
85
views
Conditioned on the expectation and covariance, is the total variation distance maximal for Gaussian distributions?
I want to find two distributions $p_1, p_2$, whose total variation distance is the largest between all pairs of distributions whose expectations $\mu_1, \mu_2\in \mathbb{R}^d$ and covariances $\...
- 265
0
votes
1
answer
69
views
Correlation for a Sum of random vectors from the sphere multiplied by matrices
Let $A_1,\dots,A_n\in \mathbb{R}^{d\times d}$ be some matrices. Suppose we sample $x_1,\dots,x_n,y\sim \mathcal{U}(\mathbb{S}^{d-1})$, where $\mathcal{U}(\mathbb{S}^{d-1})$ is the uniform distribution ...
- 3,808
8
votes
1
answer
421
views
Is there an infinite dimensional Stein's lemma?
Classical Stein's lemma says that if $\mathbf{X}$ is a centered Gaussian random vector and $g$ is a function which is nice enough, we have
$$
\mathbb{E} \, X_i \, g ( \mathbf{X} )
= \sum_k \...
CommunityBot
- 1
36
votes
4
answers
2k
views
Determinant of the random matrix $X^2+Y^2$
$\DeclareMathOperator\Prob{Prob}$Let $X,Y\in M_n(\mathbb{R})$ be $2$ random matrices. The entries of $X,Y$ are i.i.d. variables. They follow the standard normal law $N(0,1)$.
i) When $n=2,3,4$, one ...
- 63.9k
2
votes
0
answers
66
views
Iterated chaos expansion
Using the notations from Normal Approximations with Malliavin Calculus, Chapter 2
random variables $F$ in the probability space generated by an iso-normal Gaussian family $X(h)$,
$$E[X(h)X(g)] = \...
- 623
0
votes
0
answers
101
views
Integration with respect to $B_H(t) B_H(s) - \mathbb{E} \{ B_H ( t ) \, B_H ( s) \}$
The time-derivative $\frac{dB_H}{dt}$ of the fractional Brownian motion may be interpreted as a random Schwartz distribution acting on a test function by
$$
\left\langle \frac{dB_H}{dt}, f \right\...
- 620
1
vote
1
answer
208
views
Extreme confusion with the exact meaning of Gaussian measure with "translation-invariant" covariance
In physics literature, the covariance of a Gaussian measure $\mu$ on a function space is denoted as $C(x,y)$. Moreover, they say that if the covariance is translation-invariant, then actually $C(x,y)=\...
- 620
0
votes
2
answers
239
views
Computing the expectation of a quadratic matrix form involving Bernoulli and Gaussian distributed matrices
I am working with two random matrices, $Z$ and $H$:
$Z$ is an $n \times K$ matrix with entries sampled i.i.d. from a Bernoulli distribution: $Z_{ij} \sim \mathrm{Bernoulli}(p)$.
$H$ is a $K \times K$ ...
- 37
0
votes
1
answer
87
views
Is the $2$-point function translation invariant for general Gaussian meaures?
Let us consider the real Hilbert space $H:=L^2\bigl(\mathbb{R}^n, \mathbb{R}^n\bigr)$ and "any" centered Gaussian measure $d\mu$ on it.
Next, denote a generic element of $H$ by the column ...
- 128k
2
votes
0
answers
164
views
Fractional Brownian motion covariance with a twist
Let $H \in (0, 1)$, $D \in \mathbb{R}$ and assume that the following function
$$
r ( t, s ) = \frac{1}{2} \, \Big[ t^{2H} + s^{2H} - | t - s |^{2H} \Big] + D \, t^H s^H,
\quad t, \, s \geq 0
$$
is ...
- 620
0
votes
0
answers
46
views
Prove lower collinearity on the tails of Gaussian blob
Let us consider a $n$-dimensional Gaussian blob, i.e. a set of $N$ random vectors $\{\boldsymbol{X}^{(j)}\}_{j=1}^N$, with $n$ independent components, $X_i^{(j)}$, and such that $X_i^{(j)} \sim \...
- 305
2
votes
1
answer
213
views
Gaussian expectation restricted to a convex polytope
Let $X$ be a Gaussian vector in $\mathbb{R}^n$ with $\mathbb{E}[X]=0$ and $\mathbb{E}[X X^\intercal]=I_n$. Let $\mathbf{S}$ be a convex polytope in $\mathbb{R}^n$ defined as the intersection of $m$ $(...
- 128k
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 ...
- 29.8k
0
votes
0
answers
71
views
References on estimates for suprema of uncentered Gaussian processes?
Let $X_t, t \in T$ denote a centered Gaussian process. Let $d(t, s) = \sqrt{\mathbb{E} (X_t - X_s)^2}$.
Consider a mean function $t \mapsto \mu_t$.
Define the expected supremum
$$
S(T, \mu) = \mathbb{...
- 420
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 ...
- 128k
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, ...
- 5,474