All Questions
Tagged with pr.probability measure-theory
823 questions
10
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2
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Continuity of the mutual information
The mutual information $I(\mathfrak A_1;\mathfrak A_2)$ of two complete $\sigma$-algebras $\mathfrak A_1$ and $\mathfrak A_2$ in a Lebesgue probability space $(X,m)$ is the integral of the logarithm ...
- 17k
21
votes
4
answers
2k
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Is every probability space a factor space of the Haar Measure on some group?
Let P be an arbitrary probability space.
I would like to find a compact topological group $G$ so that the Haar probability measure on $G$ admits a measurable map to the probability space $P$.
By a ...
- 5,898
13
votes
4
answers
5k
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What is known about the Gaussian measure of the unit ball in a Hilbert Space?
Let $X$ be an infinite dimensional separable Hilbert Space with norm $||\cdot||$ and let $\mu$ be a Gaussian measure on $X$ such that $\mu(X) = 1$. What do we know about $\mu(B(0,1))$, where $B(0,1)$ ...
- 617
10
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1
answer
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Applications of Banach-Tarski Paradox to Probability Theory?
I was just curious, since the B-T paradox is a measure theoretic result, if there are any consequences of this paradox in probability theory? Also, is there is a way of stating the B-T paradox in the ...
- 137
3
votes
1
answer
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Cyl(E) = Borel(E) for E non-reflexive Grothendieck Banach space
This is sort of a follow-up to Borel(X) = \sigma(X') for X non-separable
PROBLEM: Given a Banach space $E$ over $\mathbb{K} \in \{\mathbb{C}, \mathbb{R}\}$ that has the Grothendieck property. ...
- 1,338
21
votes
3
answers
6k
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Why pi-systems and Dynkin/lambda systems? On the relative merits of approaches in measure theory.
What is the point of $\pi$-systems and
$\mathcal{D}$ / Dynkin /
$\lambda$-systems?
I am an analyst in the process of consolidating my measure theory knowledge before moving on to harder/newer ...
- 1,771
178
votes
8
answers
31k
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Why do probabilists take random variables to be Borel (and not Lebesgue) measurable?
I've been studying a bit of probability theory lately and noticed that there seems to be a universal agreement that random variables should be defined as Borel measurable functions on the probability ...
- 4,874
4
votes
1
answer
222
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Does positive density imply existence of the density for some part of a decomposition?
Suppose a $\mathcal{H}^{1}$ measurable set $A\subset \mathbb{R}^{n}$ has positive Hausdorff density $\Theta^{1}(\mathcal{H}^{1},A,x)=c>0$ in a point $x\in A$.
If we have a decomposition $A=B\cup ...
9
votes
2
answers
674
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Small crown probabilities (and infinite dimensional margin assumption)
My question is:
How do I find sharp upper bounds on $P(|q|\leq \epsilon)$ uniformly over a set of gaussian polynomes $q$ of degree two.
Notations and definitions (to make the question rigorous)
Let ...
26
votes
3
answers
11k
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L1 distance between gaussian measures
L1 distance between gaussian measures: Definition
Let $P_1$ and $P_0$ be two gaussian measures on $\mathbb{R}^p$ with respective "mean,Variance" $m_1,C_1$ and $m_0,C_0$ (I assume matrices have full ...
- 833
5
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2
answers
641
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Percolation Model and Complex Probabilities
Let $d>0$ be an integer and consider the first neighbors independent bond percolation model in $\mathbb Z^d$, where each edge is open with probability $p\in[0,1]$.
I would like to know, if can we ...
- 2,044
10
votes
2
answers
5k
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Approximate a probability distribution by moment matching
Suppose we want to approximate a real-valued random variable $X$ by a discrete random variable $Z$ with finitely many atoms. Suppose all moments of $X$ is finite. We want to match the moments of $X$ ...
- 1,839
21
votes
5
answers
4k
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Existence of probability measure defined on all subsets
Let $S$ be an uncountable set. Does there exist a probability measure which is defined on all subsets of $S$, with $P({x}) = 0$ for any element $x$ of S ?
If I remove the condition $P({x}) = 0$, then ...
- 581
15
votes
3
answers
2k
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Disintegrations are measurable measures - when are they continuous?
This is a sequel to another question I have asked.
The notion of disintegration is a refinement of conditional probability to spaces which have more structure than abstract probability spaces; ...
- 8,512
11
votes
4
answers
3k
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When does a probability measure take all values in the unit interval?
Let $\mathbb{P}$ be a probability measure on some probability space $(\Omega,\mathcal{A})$. Are there conditions on the $\sigma$-algebra $\mathcal{A}$ such that for every real number $c\in [0,1]$ we ...
- 313
5
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0
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537
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Conditional probabilities in Banach spaces
This is the infinite-dimensional sequel to my question, Conditional probabilities are measurable functions - when are they continuous?.
Let $\Omega = \Omega_1 \times \Omega_2$ be a probability space ...
- 8,512
3
votes
1
answer
635
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Non-existence of integral with respect to Poisson Random Measure
Let $\xi$ be a Poisson Random Measure of intensity $\mu$ (informally $\mathbb E\xi = \mu$).
(For $f \ge 0$, say) when does $\xi f = \infty?$ Kallenberg (Foundations of Modern Probabilility) claims ...
- 2,895
17
votes
5
answers
3k
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Conditional probabilities are measurable functions - when are they continuous?
Let $\Omega$ be a Banach space; for the sake of this post, we will take $\Omega = {\mathbb R}^2$, but I am more interested in the infinite dimensional setting. Take $\mathcal F$ to be the Borel $\...
- 8,512
48
votes
7
answers
12k
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What's the use of a complete measure?
A complete measure space is one in which any subset of a measure-zero set is measurable.
For what reasons would I want a complete measure space? The only reason I can think of is in the context of ...
- 481
5
votes
2
answers
6k
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Difference between Beta Process and Dirichlet process
I'm trying to understand the definition of a Beta process, as given in the paper:
www.ece.duke.edu/~lcarin/Paisley_BP-FA_ICML.pdf
The problem is that from the definition it follows that every ...
- 233
11
votes
1
answer
1k
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measurable sets not depending on even coordinates
Let $A\subset\{0,1\}^\omega$ be a measurable set (w.r.t. the usual borel sigma algebra) which does not depend on any even coordinate (that is, if $x\in A$ and $x$ and $y$ agree except on a finite ...
- 6,711
7
votes
2
answers
649
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What's the standard name for sets of a given size with maximal probability (or a given probability and minimal size)?
The definition I'm going to give isn't quite the concept I really want, but it's a good approximation. I don't want to make the definition too technical and specific because if there's a standard name ...
- 5,992
2
votes
2
answers
6k
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Examples of random variables
I'm looking for a list of examples of random variables to use in teaching a measure-theoretic probability course. For example, the Rademacher functions are an explicit construction of independent ...
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