All Questions
Tagged with pr.probability probability-distributions
1,384 questions
3
votes
1
answer
961
views
Expected value: Stakes and coin tosses [closed]
Consider the following game, lets call it $G$. You flip a fair coin $100$ times, but instead of having a fixed stake, you can freely choose the stake for each flip, just before the flip.
You start ...
- 349
0
votes
1
answer
369
views
How to derive this change of measure identity in multi-armed bandits?
We have two Bernoulli distributions with success probabilities $\mu_1$ and $\mu_2$. We sample $n$ times from distribution 1 and the sequence we get is $X_1, \ldots, X_n$. Let
$
\hat{kl}_s = \sum_{t=...
- 145
3
votes
0
answers
267
views
Conditional distributions of uniformly distributed random orthonormal matrices
Let $U, U'\in R^{d\times k} (d>k)$ be two independent uniformly distributed random orthonormal matrices. In specific, let $S$ be the set of all $d\times k$ orthonormal matrices. Here 'uniform' is ...
- 1,127
1
vote
1
answer
510
views
Total variation distance between multinomial laws
Can someone help me with the following problem:
Let $P_n$ and $Q_n$ two multinomial laws with parameters $(p,n)$ and $(q,n)$, where $p$ and $q$ are two probability measures on some measurable space ...
- 19
2
votes
1
answer
228
views
Clustering in Euclidean space
Let $P_1,\cdots,P_m$ be points in $\mathbb{R}^n$ such that the distance between any $P_i,P_j$ is less than 1.
Let $p_{i,j}$ be a probability distribution on pairs of these points, that is for $1\leq ...
- 1,503
7
votes
0
answers
759
views
Product of two random Gaussian matrices - orthant probability
Let $X \in \mathbb{R}^{m \times n}$ and $Y \in \mathbb{R}^{n \times k} $ be two independent Gaussian random matrices, i.e., with entries independently sampled from $\mathcal{N}(0,1)$ (a normal ...
- 968
8
votes
1
answer
552
views
Frobenius norm of the principal submatrix of a uniformly distributed random orthonormal matrix
Suppose that we have a uniformly distributed $d\times d$ random orthonormal matrix $\mathbf{X}$. Here "uniform" is defined in the sense of Haar measure, i.e., the distribution does not change up to ...
- 1,127
3
votes
0
answers
83
views
Selecting the best choice for the smallest single appearing natural number
Assume we have $n$ players (each knows the number of competitors). Each has to chose a natural number and the player that has selected the smallest number, that appears uniquely, is going to win (if ...
- 749
7
votes
0
answers
179
views
Can one "smooth over" k-wise independence to get actual independence?
I came across the following toy problem and was curious if there was a simple solution or counterexample. Suppose you have a distribution $p$ on $m$ random variables $X_1, \ldots, X_m$, each with ...
- 91
1
vote
0
answers
447
views
Largest possible variance for log-concave distributions on a bounded interval
Let $f$ be the density of a log-concave probability distribution on the interval $[0,1]$ (with respect to Lebesgue measure). To be concrete, suppose that $f(x) = \exp( - \varphi(x))$, for some convex ...
- 251
2
votes
1
answer
376
views
Independent Decomposition of a Random Vector
Let $\vec{x} \in \mathbb{R}^n$ be a fixed vector and suppose that we are given an isotropic random vector $\vec{a} = (a_1, \dots, a_n)^T$ in $\mathbb{R}^n$ (i.e., the covariance matrix of $\vec{a}$ is ...
- 53
1
vote
1
answer
313
views
Finding the joint distribution from Poisson conditionals
Suppose that for two discrete random variables $X_1$ and $X_2$, we know their conditional distributions. Namely
$$X_1~|~X_2 = x_2 \sim \mathrm{Poisson}(\lambda_1 + ax_2),$$
$$X_2~|~X_1 = x_1 \sim \...
- 41
0
votes
0
answers
96
views
How to get some information about a random variable if we know very little about its distribution
Suppose that $X, Y$ are random variables,both from a probability space to $(0,\infty]$, such that X and $1+Y$ have the same distribution, $Y=Z_1$ with probability equals half, otherwise $Y= \frac{...
- 228
2
votes
1
answer
207
views
Expectation of Truncated Bivariate Gaussian Random Variables
Suppose $Z , \epsilon \sim N(0, 1)$ are independent Gaussian random variables. Let $a \ll 1$ be a small positive number. Let $W = aZ + \epsilon$. It can be show that
\begin{align}
\mathbb{E} [ W^2 (Z^...
- 1,127
4
votes
0
answers
129
views
Maximum Likelihood and De Finetti's Theorem
I have a question about whether it is possible to use De Finetti's representation theorem for maximum likelihood estimation.
De Finnetti's theorem states that for any exchangable infinite sequence of ...
- 371
0
votes
1
answer
64
views
Limit of iterative addition of a mean-preserving spread
Suppose I iteratively add a given mean-preserving spread to a random variable. In the limit, will exactly half the mass be above $0$?
Formally: Let $X$ be a random variable, and let $\varepsilon_1,\...
- 11
1
vote
1
answer
147
views
Proving that an integral related to order statistics is increasing in a certain parameter
Let $f$ and $F$ denote, respectively, the pdf and cdf of a probability distribution on $\mathbb R$. Take any natural $n\ge3$ and any real $a$ and $c$ such that $a\le c$.
Does it always follow that
$$...
- 13
2
votes
1
answer
271
views
How to compute bounding coefficients for McDiarmid's inequality?
I am trying to understand the proof in Sec. A2 of Gretton et al.. To make the question self-contained, I summarize below the key ingredients. At the end of the post, I state my question.
Given a ...
7
votes
2
answers
605
views
Uniform Concentration Bounds on Weighted Sum of i.i.d. Bernoulli Random Variables
Let $\delta_1,...,\delta_n$ be $n$ independent identically distributed Bernoulli random variables with $\mathbb{P}(\delta_1=1)=p$. We consider a set $\Omega = \{\mathbf{a}:=(a_1,...,a_n)~|~a_i\in [0,c/...
- 71
2
votes
1
answer
401
views
Reference on Probability theory on functional spaces (in special Hilbert spaces)
Currently, I am working on some sort of stochastic optimization problems defined over function spaces.
I am familiar with standard probability theory (R. Durrett, ''Probability: Theory and Examples")...
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 ...
- 323
9
votes
1
answer
2k
views
Uniform sampling from general simplex with a twist
This is part of a question I had asked elsewhere, and then some of the links redirected me to CS stack exchange.
Given $0\leq a_1\leq\dots\leq a_D\leq1$ (all strictly positive), I want to draw points ...
- 221
2
votes
1
answer
150
views
Probability of collision of some family of hash functions
Given $x$ and $y$ in $\mathbb{R}$, and let $\mathcal{H} = \{ h \mid \mathbb{R} \to \mathbb{N} \}$ be a family of hash functions where $ h(x) = \left\lfloor x + \sum^C_{i=1} U_i \right\rfloor$ for some ...
- 321
6
votes
2
answers
735
views
Negative probabilities - what are two ordinary pgfs that correspond to the gf of a half-coin?
In Half of a Coin: Negative Probabilities, author considers pgf of a fair coin represented by random variable, $X = 1_H$:
$$G_X(z) = E[z^X] = \sum_{x=0,1} z^xP(X=x) = (z^0)(1/2) + (z^1)(1/2) = \frac{...
- 247
6
votes
0
answers
183
views
Distribution of the stopping time of an autoregressive sequence
Consider $e_t$ being i.i.d. uniformly chosen from $\pm 1$. Let $\eta$ be a small positive constant. What is the distribution of $T$ such that $\eta^{0.5} (1+\eta)^T W_T$ first hits $\pm 1$, in which
$$...
- 1,127
4
votes
1
answer
681
views
Tail bound for product of normal distribution
Let $U, V$ be two standard normal random variables with covariance $cov(U,V) = \beta \in [0,1)$. Let $W = UV$ be the product of two RV's, and $W_1, W_2, \ldots, W_n$ be n i.i.d copies of $W$, what's ...
- 515
22
votes
3
answers
3k
views
On the sum of uniform independent random variables
Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$?
...
user31317
1
vote
0
answers
171
views
Bounding a distribution using moments
Suppose $X$ is a non-negative random variable with bounded image. I was wondering if anybody knew of any results that could answer a question of the following type: Suppose the $n$-th moment satisfies ...
- 171
3
votes
1
answer
188
views
Equivalent Definitions of the Gaussian Surface Measure for Regular Sets
I wonder if the following definitions of the Gaussian surface measure are equivalent.
First, let $\mathbb{R}^n$ be the Euclidean space and $A \subseteq \mathbb{R}^n$ be a sufficiently regular set, e....
- 1,127
2
votes
0
answers
278
views
Radon-Nikodym for continuous time processes
Likelihood theory for statistical inference concerning stochastic processes in continuous time are well used. How ever i've found no real literature concerning the fundamentals.
What is know from ...
- 257
5
votes
0
answers
149
views
Distribution of Random Knots from Braids
Let $R_{2n,l}$ be a random braid word of length $l$, where each letter is chosen uniformly from the braid generators of $B_{2n}$, $\{\sigma_1,\ldots,\sigma_{2n-1},\sigma_1^{-1},\ldots,\sigma_{2n-1}^{-...
- 71
2
votes
1
answer
272
views
A generalization of negative binomial distribution
Assume we have a set of $n$ balls. For each step, we uniformly pick one ball and label it if it is not labeled. Or otherwise move on to next step. I am wondering what is the distribution of number of ...
- 61
2
votes
1
answer
216
views
Ask for a special function related to the error function
I am wondering whether anyone knows the following integration has a named special function or a reference
$$
F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y
$$
for ...
- 1,649
1
vote
1
answer
64
views
Conditioned sum of n Poissons versus unconditioned Poissons
Let $\theta >1$ and take independent random variables $Z_k \sim \text{Poisson}(\theta/k)$ for $1 \leq k \leq n$ and let $Z_k^*$ have marginals like the $Z_k$ conditioned on $\sum_1^n k Z_k = n$:
$$\...
- 457
4
votes
2
answers
314
views
Convexity of truncated expectation
Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$.
Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
- 41
2
votes
0
answers
71
views
Existence of probability distribution satisfying upper/lower bounds on events
Suppose we have a finite sample space $S$ and some events $A_1, \dots, A_k \subseteq S$. We would like to put a probability distribution on $S$ so that no element has probability greater than a ...
- 21
1
vote
0
answers
90
views
The role of absolute continuity in stochastic ordering defined over sets of probability distributions
This question is about a claim given in this paper (page 261, the remark), but without any proof.
It simply says that if two sets of probability distributions, $\mathscr{P}_0$ and $\mathscr{P}_1$ (...
- 359
2
votes
1
answer
2k
views
Expected value and variance of a stochastic process
I would like to ask if there is a way to find the expected value and the variance of the following process
$$
dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0
$$
where $a\in (-\infty,+\infty), b&...
- 323
7
votes
1
answer
342
views
Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution
Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where
\begin{equation}
Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}.
\end{equation}
To ...
- 183
2
votes
1
answer
190
views
Median of a uniform multinomial variable
Let $k\in\mathbb N^+$ be a positive integer.
Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$.
For $i\in \{1,2,\...
- 618
5
votes
2
answers
200
views
Expected number of changes in the sign of a rolling sum of independent normal variables
Imagine we define $Y(t+n)=
X(t+1)+.....+X(t+n)$ where $X(i)$ is an independent normal (i.e. everyday we remove the starting observation and we add a new one). We have $n$ consecutive observations of $...
1
vote
0
answers
85
views
BM hitting times with exponential killing process
Assume a BM in 3d domain (infinite) with a small absorbing subdomain (cube, sphere, ect), centered at point $p_s=(x_s,y_s,z_s)$ . BM starts at point $p_0=(x_0,y_0,z_0)$ and when it riches the ...
- 11
6
votes
1
answer
129
views
Choosing a sample based on where the density function is highest
Is there a name for the following process?
Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...
- 4,049
2
votes
0
answers
87
views
A question about probabilistic graphical models
Say one is given a probabilistic graphical model and a cut of the underlying graph. Do we know any statements about when and how can one or many of the marginals (of the sources) or the conditionals (...
- 2,246
3
votes
0
answers
157
views
Growth of inner products between two random vectors on the sparse hypercube
We define the $s$-sparse hypercube in $\mathbb{R}^d$ as
\begin{align}
\mathbb{H}_s = \bigl \{ {\bf{v}} \in \{ -1, 0 , 1\}^d \colon \| {\bf{v}} \|_0 = s \bigr\},
\end{align}
where $ \| {\bf v} \|_0 $ ...
- 1,127
0
votes
1
answer
558
views
Counterexample: weak convergence doesn't imply $L^1-$convergence [closed]
I'm not sure my question is of research level, but I cannot find the answer in the existing reference. Let $\mu_n$ be a sequence of probability measures on $\mathbb R$ satisfying
$$\int_{\mathbb R}xd\...
- 1,835
2
votes
1
answer
306
views
About Renyi entropy
If one is given a joint probability distribution over a finite set of discrete random variables then I guess there a notion of $\alpha-$Renyi entropy defined for it as $S_\alpha (X_1,..,X_n) = \frac{...
- 2,246
7
votes
1
answer
719
views
Tightness and Functional Analysis
Let $(\Omega , \mathbb{P})$ be a probability space and $X$ be a real-valued random variable. Then we immediately have the push-forward measure $\mu$ on $\mathbb{R}$ and one can think of $\mu$ as an ...
- 2,283
1
vote
1
answer
324
views
Averaged geometric series with floor function
Given a value $p\in[0,1]$ (a probability of occurrence), I would like to bound the following expression:
$$ s\frac{1-(1-p)^{k+1}}{p(k+1)} + (1-s)\frac{1-(1-p)^{k}}{pk},\ \ \ \text{where $k=\lfloor 1/...
1
vote
0
answers
184
views
variance of log of ratio of chi-square variables
Let X be a chi-square variable with two degrees of freedom.
Let A and B be to arbitrary constants, with $A>B>0$.
I need the variance of
$Y=\log(1+AX)-\log(1+BX).$
The mean is, maybe not simple,...
- 61