All Questions
Tagged with pr.probability measure-theory
219 questions with no upvoted or accepted answers
11
votes
0
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263
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Which results in probabilistic group theory generalize from finite groups to compact Hausdorff groups (and which don't)?
Let $G$ be a finite group. It has been shown that:
If the probability that two randomly selected elements of $G$ generate an abelian group is greater than $5/8$, $G$ is abelian.
If the probability ...
- 495
11
votes
0
answers
381
views
Concerning Luzin-(N)-property
Definition: a function $f:\mathbb{R}\to \mathbb{R}$ has Luzin-(N)-Property if $f$ maps any null set to a null set.
By https://www.encyclopediaofmath.org/index.php/Luzin-N-property, it is known that ...
- 4,201
10
votes
0
answers
338
views
Simultaneous strong law of large number classes?
Say that $C$ is a SSLLN class of subsets of some Polish space $V$ provided that for every sequence of Borel i.i.d.r.v.s $X_1,X_2,...$ with values in $V$, we almost surely have: For every $A$ in $C$, $\...
9
votes
0
answers
223
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Cramer's theorem in Hilbert spaces
I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space:
Let $X_1,X_2,\cdots$, be ...
- 619
8
votes
0
answers
422
views
Non-affine smooth transformation of Gaussian is Gaussian
Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...
- 399
8
votes
0
answers
212
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Qualitative weakenings of probabilistic independence
In probability theory, independence of random variables is characterised by
$$(1)~~X~\text{independent}~Y \; \iff \; P_{(X,Y)} = P_X \otimes P_Y \enspace ,$$
where $P_{(X,Y)}$ is the joint probability ...
- 866
8
votes
0
answers
729
views
Density of countably additive measure in the set of all finitely additive measures.
Let $S$ be a countable discrete set, the following two results are quite easy to prove:
Every countably additive probability measure $\mu$ on $S$ commutes (in Fubini's sense) with every finitely ...
- 6,034
7
votes
0
answers
169
views
Relationship between measure theory and quantification
I was advised that this question might be better suited for mathoverflow, so I am reposting it here (original post).
In a 1978 paper published by David P. Ellerman and Gian-Carlo Rota, the duo discuss ...
- 201
7
votes
0
answers
549
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Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
- 931
7
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0
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3k
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What is vague convergence and what does it accomplish?
For convenience, let's say that I have a locally compact Hausdorff space $X$ and am concerned with probability measures on its Borel $\sigma$-algebra $\mathcal{B}(X)$. Natural vector spaces to ...
- 1,124
6
votes
0
answers
197
views
Prokhorov's theorem for countably many random measures on a Polish space
I am looking for help to show the following lemma:
Lemma Let $(\Omega,\mathcal A,\mathbb P)$ be a complete, standard Borel probability space and $\mathcal X$ a Polish space. Let $\mathcal P(\mathcal ...
6
votes
0
answers
388
views
Closedness of a set of measures, where conditional marginals are in closed $\varepsilon$-ball w.r.t. Wasserstein distance
Let $(E,d)$ be a bounded polish space (separable, complete metric space satisfying $\sup_{x,y\in E} d(x,y) < \infty$). By $\mathcal{P}(E)$ we denote the space of Borel probability measures on $E$ ...
- 1,095
6
votes
0
answers
301
views
Generating stationary, ergodic random fields on a homogeneous space
Consider a homogeneous space $M$, which for the sake of concreteness, let's take to be $M = \mathbb R^d$. Fix some space $A$, and consider the space of functions $X = C(M,A)$, along with its Borel $\...
- 8,512
5
votes
0
answers
266
views
Concentration inequalities for random measures
For random variables $X_1,\dots,X_n$ with common mean $\mathbb{E}[X_i]=\mu$ and common bounds $a\leq X_i\leq b$, we have the very useful Hoeffding's inequality:
$$\mathbb{P}\left(\left|\mu -\frac1n\...
- 101
5
votes
0
answers
135
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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
5
votes
1
answer
774
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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 ...
user128095
5
votes
0
answers
332
views
Points of continuity of Kullback-Leibler divergence with respect to weak convergence
I know that the Kullback-Leibler
$D(\mu||\nu) := - \int_K\log\big(\frac{d \nu}{d \mu}\big) \, d\mu,$
over probability measures on a compact $K$ subset of $\mathbb{R}^d$, is only weakly lower ...
- 51
5
votes
0
answers
696
views
Cadlag and adapted (usual conditions assumed) imply progressively measurable (related to Protter's Stochastic Calculus theorem 6)
Hi maybe someone on here can help me. I have been stuck on showing this fact for several months. I asked this question in the stack exchange and it has floated around for a while but to no avail.
...
- 151
5
votes
0
answers
178
views
Support of a Measure with Characteristic Functional Continuous in $L_p$, $1\leq p <2$?
Let $\mathcal{S}(\mathbb{R})$ be the space of smooth and rapidly decaying functions and $\mathcal{S}'(\mathbb{R})$ its dual, the space of tempered distributions. Let $\mathscr{P}$ be a probability ...
- 2,306
5
votes
0
answers
137
views
Large Deviations: Exponential decay in normed spaces
Let $(X_1,X_2,\cdots)$ be a sequence of independent and identically distributed random variables taking values in some general normed space $(V,||\cdot||)$. Denote $\mu=E[X_1]$ and $S_n=\frac{1}{n}[...
- 619
5
votes
0
answers
597
views
Skorohod theorem (weak convergence) on a discrete setting
I have a question about the application of Skorohod representation theorem. The questions arises in this paper about robust hedging in mathematical finance. It is about the very last equation on page ...
- 51
5
votes
0
answers
360
views
Existence of an universally measurable pullback
Let $X,Y$ and $Z$ be standard Borel spaces:
topological spaces homeomorphic to Borel subsets of complete separable metric spaces.
Let $K\subseteq X\times Y$ be analytic. Assume that $K_x$ is not ...
- 1,655
5
votes
0
answers
200
views
Diffusion processes in wide generality
It is common knowledge among schoolchildren that one may define jump diffusion processes in wide generality.
Hard question: What are the most general structures on which one may define something ...
- 8,512
5
votes
0
answers
369
views
Independent Events Inducing Probability Measures
Let $\mathcal{F}$ be a sigma algebra over $\Omega$ and $M$ the set of all probability measures on $\mathcal{F}$. Let $\mathcal{C}$ be some collection of pairs $(A,B)$ with $ \ A,B\in\mathcal{F}$. Now ...
- 4,952
5
votes
0
answers
537
views
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
5
votes
1
answer
363
views
Inverse marginal property of a collection of $\sigma$-algebras
In my paper "On the inverse best approximation property of systems of subspaces of a Hilbert space"
I introduced the Inverse marginal property (IMP) for a collection of $\sigma$-algebras.
Let $(\...
- 935
4
votes
0
answers
198
views
When a null uncountable set can be image of some increasing function with discontinuities on a dense countable set
Consider the following result:
A: Let $f:D \to \mathbb R$ be an increasing function with discontinuities on a dense countable subset of $D$ such that the jump values sum to $\mu(D)$, where $D$ is a ...
- 303
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 \...
4
votes
0
answers
166
views
Does the existence of regular conditional measure follow from that of regular conditional distribution?
For more succinct description, I use the following abbreviations, i.e.,
RCPD: Regular conditional probability distribution.
RCPM: Regular conditional probability measure.
First are definitions 10.4....
- 657
4
votes
0
answers
492
views
Disintegration of measures: a confusion about an existence proof from a lecture note
I'm reading a proof of Theorem 2.25 below from this note. First, we recall a definition and a theorem, i.e.,
Theorem 2.25 (Disintegration). Let $\left(Z, d_Z\right)$ and $\left(X, d_X\right)$ be ...
- 657
4
votes
0
answers
160
views
Can we show equivalence of two distributions based on their statistics?
Let $p,q$ be two distributions on $\mathbb{R}^d$. Let $f:\mathbb{R}^d\times\mathbb{R}^d\rightarrow\mathbb{R}$. Under what conditions does $\mathbb{E}_{x\sim p}f(x,z)=\mathbb{E}_{x\sim q}f(x,z)\ \...
- 57
4
votes
0
answers
756
views
Tangent space and gradient on subspace of Wasserstein space given by finitely supported measures
Let $\mathcal{P}_2(M)$ be the 2-Wasserstein space over some Riemannian manifold $(M,g)$ (connected, complete, and without boundary). Let $\mathcal{FP}_2(M,n)$ be the subspace of probability measures ...
- 1,675
4
votes
0
answers
2k
views
Does rate of convergence in probability come from a metric?
In general, when we talk about convergence of a sequence, we need a topological space. If we want to talk about a rate of convergence, we need to quantify how far away one element of the sequence is ...
- 63
4
votes
0
answers
358
views
Lipschitz kernel
We consider the following probability measure on $\mathbb{R}^2$:
$\mu = Leb\vert_{[0,1]} \times \delta_0$. Furthermore the following dilation, say $d$, is defined as $(x,0) \mapsto \frac{1}{2}(\delta_{...
- 141
4
votes
0
answers
95
views
Approximating martingales given marginal distributions
Let $(\mu_0,\mu_1)$ be a vector of probability measures on $\mathbb R$ that are of finite first moment, i.e.
$$\int_{\mathbb{R}}|x|\mu_i(dx)~<~+\infty \mbox{ for } i=0,1$$
and increasing in ...
- 1,835
4
votes
0
answers
1k
views
Total variation and Hellinger distance inequality between truncated Gaussians
We know that the total variation distance, $d_{TV}(P,Q) = \frac{1}{2}\left|\left|P-Q\right|\right|_1$, between any two distributions $P$ and $Q$ is lower bounded by their squared Hellinger distance, $...
- 41
4
votes
0
answers
309
views
Conditional expectation with respect to random closed sets
Short question
If $X$ is a random closed set, and $Y$ is an integrable random variable, I would like a definition of the "conditional expectation" $$\mathbf{E}[Y \mid X\ni x].$$ Has this been worked ...
- 6,287
4
votes
0
answers
233
views
Convergence of probability measures on a generating field of a sigma-field
Let $(\Omega,\mathcal{B})$ be a measurable space and let $\mathcal{F}$ be a generating field of $\mathcal{B}$. Assume $\mathcal{F}$ is standard, i.e. it is countable, and any normalized, non-negative, ...
- 51
4
votes
0
answers
296
views
Weak*-continuity of regular conditional probabilities "in time"
Let $(\Omega, F, (F_t)_{t\geq 0}, \mathbb{P})$ assume that $(X_t)_{t\leq T} $ is some cadlag, real valued stochastic process, not too bad: say something like a Brownian Motion and some Poisson finite ...
- 278
4
votes
0
answers
867
views
For what sub-$\sigma$-algebra are these two measures equivalent?
In two statistics papers (linked inline below) I have come across two definitions of certain probability measures. I conjecture that for particular choices of the construction that they are ...
- 2,791
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
3
votes
0
answers
145
views
What is an example of a non-tight probability measure?
Billingsley (Convergence of Probability Measures, 1968) and van der Vaart and Wellner (Weak Convergence and Empirical Processes, 2023) discuss the concept of tight probability measures and use the ...
- 277
3
votes
0
answers
45
views
Small deviation asymptotics for sub-gaussian diffusions in dirichlet spaces
Let $(X,d,\mu)$ be a metric measure space equipped with a strongly local, regular Dirichlet form $(\mathcal{E}, \mathcal{D}(\mathcal{E}))$ on $L^2(X,\mu)$. Assume that the associated heat kernel $p_t(...
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
3
votes
0
answers
145
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Eigenvalues of random matrices are measurable functions
I have read that if a random matrix is hermitian then its eigenvalues are continuous, hence also measurable.
If the random matrix is not hermitian, the eigenvalues are not continuous in some cases. ...
- 31
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
3
votes
0
answers
179
views
Probability terminology
This is strictly a low-level terminology question. If I have a probability space $\Omega$ and a measurable space $S$, then a random variable $X:\Omega\rightarrow S$ gives rise via pushforward to a ...
- 23k
3
votes
0
answers
77
views
Reference Request: Is every interval-valued probability measure consistent?
Short version: Does every interval-valued probability measure contain a conventional probability measure? I have a sense that this is a basic result about an obscure topic but I am having trouble ...
- 2,356
3
votes
0
answers
232
views
Research-type questions in probability illustrating measure-theoretical techniques for students
In short, in the perspective of preparing a new course, I am looking for examples of "concrete" (hopefully research-type) questions concerning various models in probability theory which give the ...
- 406
3
votes
0
answers
198
views
Cardinality of extreme points of finitely additive probabilistic extensions
Let $\Omega = \{0,1\}^\mathbb{N}$, let $\mathcal{A}$ be the algebra generated by the open subsets of $\Omega$, where we use the product of discrete topologies, and let $\mathcal{F} = \sigma(\mathcal{A}...
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