All Questions
Tagged with pr.probability probability-distributions
1,384 questions
3
votes
1
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984
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About the metrizability of the space of Probability measures $\mathcal{P}(S)$
It is often proved in Books that the space of Probability measures $\mathcal{P}(S)$ on a Polish metric space $(S,\rho)$ endowed with the weak/narrow topology induced by declaring it to be be the ...
- 660
0
votes
1
answer
1k
views
Expectation of inverse of random matrices
Assume that $\mathbf{X}$ is a random positive-definite matrix. Then, is there any upper or lower bound on the expectation of the following expression
$$\mathbb{E}[\mathbf{X}^{-1}]-\alpha\mathbb{E}[\...
- 287
3
votes
1
answer
335
views
Reversing the order of conditioning in a sum to compare conditional variances
Suppose $Z=X+Y$ where $X$ is independent of $Y$ and $Y\sim N(0,1)$. I would like to compare $\text{var}(E(X|Z))$ to $\text{var}(E(Z|X))$. Obviously, $\text{var}(E(Z|X))=\text{var}(X)$.
In particular, ...
- 1,675
5
votes
2
answers
2k
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Tight sequence of measures
This is probably a very easy question for experts in probability or measure theory.
I have a sequence of finite measures $\mu_{n}$ on a non-compact metric space $X$ such that $\mu_{n}$ converges to $\...
- 2,472
0
votes
1
answer
103
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Can the joint law $P \circ (X,Y)^{-1}$ of two random variables $X$ and $Y$ be written as $P \circ (X,\phi(X,U))^{-1}$ for $U$ uniform in $[0,1]$?
I want to know whether there is some general assumpitons we can make on two measurable spaces $E$ and $F$ (e.g. polish, complete, separable,...) such that we can ensure that the following "Theorem" ...
CommunityBot
- 1
30
votes
8
answers
3k
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A variation of the law of large numbers for random points in a square
I uniformly mark $n^2$ points in $[0,1]^2$. Then I want to draw $cn$ vertical lines and $cn$ horizontal lines such that in each small rectangle there is at most one marked point. Surely, for a given ...
- 14.2k
1
vote
2
answers
369
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How to solve this stochastic optimization problem?
How one can solve the following stochastic optimization problem?
\begin{align}
\max\quad& \mathbb{E}[\mathbf{1}^{\mathrm{T}}X]\\
\text{s.t.} \quad& \mathbb{E}[\mathbf{A}X]\leq\mathbf{1}_{m\...
- 8,688
2
votes
0
answers
120
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Average of random variables is "more log-concave"
Problem (1)
Suppose $\phi_i\in [0,\pi/2]$ are drawn uniformly for $1\le i\le n$, and $\sum_{i=1}^n w_i=1$, $w_i\ge 0$. Show that the pdf $p_1$ of the random variable
$$\phi = \sin^{-1}\left(\sqrt{\...
- 371
-1
votes
1
answer
138
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On the concentration of Lipschitz functions near its expectation, where the vector has identical but not independent, components
Consider the random vector $X:=(X_1\dots X_1) \in \mathbb{R}^n, X_1 \sim \mathcal{N}(0,1).$ Notice the identical components, they're identically distributed but not independent.
Now, I was wondering ...
- 1,467
2
votes
1
answer
318
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Distribution of a stopped random sum, with subexponential stopping time
I am trying to find a reference (or, if it's false, a counterexample) for the following sort-of-intuitive fact: if $\tau$ is a stopping time with a subexponential probability distribution, and $(X_n)_{...
- 14.2k
3
votes
0
answers
132
views
Probability that a Voronoi cell contains exactly k random points
Consider two independent point processes in the unit square $[0,1]^2$. The two point processes are identically independent and typically binomial/Poisson. One, say $\Phi^*$, is used to generate a ...
- 137
8
votes
1
answer
2k
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Scalar product of random unit vectors
Let $X,X'$ be two random vectors on the sphere $S^{d-1}$. What is the distribution of their dot product $X\cdot X'$ in the following cases:
$X,X'$ independent with uniform distribution on the sphere $...
- 128k
0
votes
1
answer
66
views
Minimum mean over all random variables subject to logarithm constraint
Does the following problem have a solution?
$$
\min_X \mathbb{E} X
\quad\text{subject to}\quad
\mathbb{E} \log X = C.
$$
Here, the minimization is with respect to all integrable random variables $X$ ...
- 14.2k
0
votes
1
answer
209
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Distribution of the direction of Gaussian random variable
Let $X$ be a complex normal random variable. (Or, equivalently, a 2D real normal.) Is it possible to say anything useful about the distribution of the phase of $X$? Is it possible to do estimation on ...
- 128k
4
votes
1
answer
214
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Rates of convergence to Tracy-Widom?
$\renewcommand{\!}{\mathbf}
\renewcommand{\Ai}{\operatorname{Ai}}$
One can define the Tracy-Widom distribution as the Fredholm determinant $F_2(t)=\det(\mathbf I-\mathbf A)$ where
$$\mathbf A(x, y)=\...
- 63.9k
-2
votes
1
answer
84
views
Ensemble averaging in a random graph (or network) in the large $N$ limit [closed]
I have a random graph/network described by the adjacency matrix $(a_{ij})_{N\times N}$ where $a_{ij}=1$ with probability $p$. Each node in the graph is associated with a continuous quantity $\eta_i=\...
- 137
0
votes
1
answer
199
views
Is this probability inequality true?
This question may be simple, though I'm not managing to find an answer. Let $X$ and $Y$ be two dependent random vectors in in $\mathbb{R}^d$, with joint probability density $\mu(x,y)$ (with respect to ...
- 195
5
votes
1
answer
2k
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explicit expressions of the distribution of sums of i.i.d. logistic random variables
Where can I find the explicit expression of the distribution of the sum of n i.i.d. logistic random variables, for n=2,3,4...
The expressions given in "On the convolution of logistic random variables,...
4
votes
2
answers
856
views
Disintegration, conditional probabilities, and conditional expectation
On the Wikipedia page there is a note that conditional probability measures can be described by disintegration. However, I can seem to find a clear exposée of how this construction is related to ...
- 1,989
3
votes
2
answers
1k
views
Expected value of a truncated binomial
Let $X\sim B(n,p)$ be a binomial random variable and fix $0<k<n$. Are there any well-known bounds for $\mathbb{E} (X-k)^+$, where $(X-k)^+ =\max\{0,X-k\}$? I am particularly interested in ...
- 128k
2
votes
1
answer
1k
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Wasserstein interpolation between two probability measures on a metric space
Question 1
Given probability measures $\mu$ and $\nu$ on the same metric space $X=(X,d)$, and $\alpha \in [0, 1]$, is it always possible to find another probability measure $\lambda_\alpha$ on $X$ ...
- 5,380
1
vote
1
answer
144
views
A uniform mixture of order statistics
Let $0<k<n$ be integers, and let $X$ be a random variable obtained as follows: sample $n$ points independently and uniformly at random in the unit interval, and select (uniformly) one of the $k$...
CommunityBot
- 1
0
votes
0
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250
views
Concentration (or two sided tail bounds around expectations) of maximum and minimum of $n$ iid, subgaussian random variables
I asked this on MSE, but got no answer, hence asking here now. Help appreciated!
My question is motivated by this question and this question, where the first was aimed for giving a one sided tail ...
- 1,467
0
votes
1
answer
583
views
Find a conditional expectation of a difference of two independent Poisson process
Consider two independent Poisson processes $N,M$ with rate $\lambda$, and define $$X(t):=x+\dfrac{1}{\sqrt{n}}[N(t)-M(t)].$$ From this formula we know that $X(0)=x$. Now, I want to compute the ...
- 128k
3
votes
1
answer
829
views
The weak convergence of finite dimensional distribution of Gaussian process does not imply the weak convergence in $C[0,1]$
In the study of weak convergence in $C[0,1]$, a common example is always being considered: $$X_{n}(t)=nt1_{[0,1/n]}(t)+(2-nt)1_{(1/n,2/n]}(t).$$ This example serves a counter-example to show that the ...
- 128k
2
votes
1
answer
195
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Average number of elements of a subset S of a matrix A after inducing the rows and columns of m randomly selected elements from subset S
Let $A_{N{\times}N}$ be an $N{\times}N$ matrix and $\mathcal{S_{k}}$ be a subset of elements in $A$ such that exactly $k$ elements from every row and column in $A$ are in $\mathcal{S_{k}}$. Thus, $\...
- 34.3k
0
votes
1
answer
519
views
Lyapunov condition for CLT for asymptotically independent sequence
Suppose I have some triangular array $\{X_{n,j}\}$ of random variables, which need not be independent or identically distributed. Suppose I further know that
$$Var\left(\sum_{j=1}^n X_{n,j}\right)\to \...
- 128k
1
vote
0
answers
113
views
Metrics on the space of distributions in terms of p.d.fs
If two probability distributions (on the same measure space) are s.t they have p.d.fs and the $L^1$ distance between the p.d.f.s is large, then is there a choice of a ``nice" metric $d_{\rm ...
CommunityBot
- 1
6
votes
1
answer
291
views
Comparing $X+Y$ and $X-Y$ for independent random variables with values in an abelian locally compact group
Let $G$ be an abelian locally (separable?) compact group with Haar measure $\mu$. Inspired by the interesting proof of A sum of two binomial random variables :
Let $X$ and $Y$ be $G$-valued ...
- 128k
0
votes
1
answer
378
views
Concentration of norm of linearly transformed normal random vector as dimension go to infinity
Earlier asked on MSE, but didn't get an answer, so posting here:
Let $X=(X_1 \dots X_n) \in \mathbb{R}^n, X_i\sim N(0,1), iid.$ Let $B: \mathbb{R}^n \to \mathbb{R}^n $ be the diagonal linear map: $...
- 128k
0
votes
0
answers
141
views
What is the distribution of the norm of the multivariate $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d?$
Let $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d$ follow a multivariate normal distribution. Then what's the distribution (PDF, CDF etc.) of $X?$ When $\mu = 0, \Sigma = I_d,$ we know that $||X||...
- 1,467
1
vote
0
answers
64
views
Dependence rank: what is the size of the largest subcollection of random variables which is statistically independent?
Let $X_1,\ldots,X_p$ be random variables on the same space. Define their dependence rank, denoted $rank(X_1,\ldots,X_p)$ as the largest nonnegative integer $k$ such that there is a subcollection of $k$...
- 6,853
3
votes
1
answer
431
views
Inequality on the Hellinger distance between Poisson and mixture of Poisson
Let $H$ denote the Hellinger distance; i.e., for two discrete distributions $p,q$ (identified with their pmf) over $\mathbb{N}$,
$$
H(p,q)^2 = \frac{1}{2}\sum_{n=0}^\infty \left(\sqrt{p(n)}-\sqrt{q(n)}...
- 1,372
0
votes
1
answer
86
views
Integral rising from difference of chi-squared random variables
Let $X,Y$ be independent random variables such that $X\sim\chi_{n-1}^{2}, Y\sim\chi_{1}^{2}$ are chi-squared distributed (where $n\geq2$ is a natural number). I am trying to evaluate $\mathbb{P}[X\leq ...
- 188k
4
votes
0
answers
205
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Dimension reduction for low-order moments of Rademacher-weighted sums of vectors
Let $x_1,\dots,x_n$ be vectors in a Euclidean space $H$. Let $\varepsilon_1,\dots,\varepsilon_n$ be independent Rademacher random variables (r.v.'s), so that $P(\varepsilon_i=\pm1)=1/2$ for all $i$.
...
- 2,288
2
votes
1
answer
900
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Asymptotically tight concentration of norms of subgaussian random vectors with independent coordinates, as the dimension $n \to \infty?$
Let $X=(X_1 \dots X_n)\in \mathbb{R}^n,$ be a subgaussian random vector so that $X_i$'s are independent, $\mathbb{E}X_i = 0, \mathbb{E}X_i^2=1.$ Before we pose our question, let's state the following:
...
- 1,467
3
votes
1
answer
149
views
Estimating the probability density of a component of a mixture distribution
Let $X \in \mathbb{R}^d$ be a random variable with probability distribution $P$. Let $f:\mathbb{R}^d \to \mathbb{R}^d$ be an invertible function and let $P_{f}$ be the distribution of random variable $...
CommunityBot
- 1
1
vote
1
answer
100
views
An elementary question on probability distributions
I have encounter the following problem, but after trying a little I did not arrive to a good conclusion.
Suppose that $X$ is a positive random variable for which we only know that $E[X] = 2$ and $E[1/...
- 17.2k
4
votes
3
answers
161
views
Find distribution that minimises a function of its moments
Imagine a probability density function $f(x)$, defined for positive $x$, and let's note its $n$th non-centred moment $x_{n}$. The mean $x_{1}$ is fixed (and positive).
How can I find $f(x)$ that ...
- 17.2k
0
votes
0
answers
132
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Upper bound on the condition number of the product of a random sparse matrix and a semi-orthogonal matrix
Let $G \in \mathbb{R}^{n \times m}$ (m > n, m = O(n)) whose all entries are i.i.d. distributed as $\mathcal{N}(0, 1) * \text{Ber}(p)$. Let $V \in \mathbb{R}^{m \times n}$ be a fixed semi-orthogonal ...
- 109
1
vote
1
answer
140
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Conditional density for random effects prediction in GLMM
I am currently working on generalized linear mixed models (GLMM) and need some help concerning the prediction of the random effects. More specifically, I don't understand the given representation of ...
- 63.9k
5
votes
1
answer
3k
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Eigenvalues and eigenvectors of Gaussian random matrices
Let us assume we have a square matrix $A$ whose entries are sampled from a standard Gaussian distribution of mean $0$. Do we have any information about the distribution of its eigenvalues?
...
- 5,429
1
vote
2
answers
212
views
Random variable corresponding to sum of density functions [closed]
The distribution of functions of random variables is well-studied for various different and general cases, but I didn't find much result for the reverse.
Suppose that $X_1, X_2$ are (probably ...
- 29.8k
0
votes
0
answers
54
views
A distribution of maximum of sums if add to the minimal
Consider a vector of $n$ integer variables with initial values of 0. Each step we take random $w_i\thicksim NB(q, l)$ (independent randon values with the same negative binomial distribution) and add ...
- 11
2
votes
1
answer
1k
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Bound on eigenvalues of sample covariance matrices in terms of $d, n$, where $n=$ sample size, $d=$ dimension of data
Let $Z=[z_1, \dots z_n]$ be a $d \times n$ matrix, where the $z_i$'s are iid random vactors with mean $\mu \in \mathbb{R}^d$ and $d \times d$ (population) covariance matrix $\Sigma$, but the entries $...
- 188k
16
votes
2
answers
1k
views
How often two iid variables are close?
Is there a constant $c>0$ such that for $X,Y$ two iid variables supported by $[0,1]$,
$$
\liminf_\epsilon \epsilon^{-1}P(|X-Y|<\epsilon)\geqslant c
$$
I can prove the result if they have a ...
- 156
1
vote
0
answers
124
views
Law of large numbers and Central Limit Theorem for eigenvalues of perturbed matrices
I'm looking for results where perturbation by iid random entries to a matrix will result in convergence of the eigenvalues to the original eigenvalues. More precisely,
Let $ \forall n \in \mathbb{N},...
- 5,429
4
votes
0
answers
143
views
A possible generalization of Solomonoff's theorem
Assume that $P$ and $Q$ are probability distribution on the binary tree,
i.e. $P$ and $Q$ are functions $\{0,1\}^{*} \to \mathbb{R}$ such that:
for every $x$: $P(x)=P(x0)+P(x1)$ and $P( \text{empty ...
- 2,576
0
votes
2
answers
273
views
Last Inference in proof of conditional limit theorem
I read about the Conditional Limit Theorem from the book "Elements of Information Theory" by Thomas M. Cover and Joy A. Thomas, second edition, page 371. I can't understand the last inference in the ...
- 165
2
votes
1
answer
210
views
Marcenko-Pastur and Tracy-Widom laws for sample covariance and Gram matrices when the "features" are correlated: references
Let us assume we've a rectangular data matrix $X=[x_1 \dots x_n] \in \mathbb{R}^{p \times n}$, where the $x_i \in \mathbb{R}^{p \times 1}$ are iid column vectors. I'm not assuming here that the ...
- 188k