All Questions
Tagged with pr.probability probability-distributions
1,384 questions
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A question on Ibragimov's theorem on strong unimodality
I am not a mathematics student and unfortunately have some confusion about a (well-known) theorem about strong unimodality of distributions. First of all let me clarify some terminologies and then ask ...
- 51
-1
votes
0
answers
26
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Estimate the value of the PDF $P(f)$ at the minimal $f_0$ of the random-variable function $f(\mathbf{x})$
Let $f(\mathbf{x})=f(x_1,x_2,\dotsc,x_N)$ with $N>2$ be a real and continuous function and $f(\mathbf{x})\ge f_0$ for any $\mathbf{x}\in\mathbb{R}^N$. Now let $x_1,x_2,\dotsc,x_N$ be the i.i.d. ...
- 12.9k
1
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1
answer
54
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Proving bound on expectation of likelihood ratio involving mixtures
Let $p$ be a Lebesgue density function with infinite support (i.e. $p(x)>0 \forall x\in \mathbb{R}$ and $\int p(x) dx = 1$). Moreover, assume that $p$ is even (i.e. $p(x) = p(-x)$) and unimodal: $p(...
- 128k
2
votes
2
answers
215
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How to analyze the value of convergence of functions of random matrices?
Consider a random i.i.d matrix $\mathbf{A}_{m\times n}$ with entries generated from a complex Gaussian distribution with zero mean and unit variance. I am interested in the large dimension analysis of ...
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5
votes
1
answer
240
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Asymptotic distribution of the extreme, standardized order statistics of uniform distribution?
Let $\{U_{k, n}\}_{k=1}^n$, denote the order statistics of a sample of $n$ iid uniform $[0, 1]$ variates.
Note that, marginally $U_{k, n}$ is distributed $\mathrm{Beta}(k, n+1 -k)$.
Therefore, let us ...
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2
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1
answer
1k
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Components of a Gram matrix and its eigenvalues
The Gram Matrix is defined as $$\sum_{i=1}^n X_iX_i^T,$$ where $X_i$ is drawn from the unit sphere based according to some continuous distribution (Relation between eigenvalues and the gram matrix for ...
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12
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1
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628
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A function with unexpectedly simple Legendre transformation
Let $I(x) = \frac{1}{2\pi} \int_{-2}^2 \sqrt{4-y^2}\ln|x-y|dy$. Then $I(x)$ is a concave function and
\begin{equation}
I(x)=
\begin{cases}
\frac{1}{4}x^2-\frac{1}{2}, &\text{if } |x|\leq2 \\
\...
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-3
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136
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Approximation on Dirichlet's arithmetic progression by means of central limit theorem
In this video lecture on
Number theory over function fields taught by Will Sawin
is presented a 'conceptional' reason for error estimation
$\#\{p \in \Bbb P: p =a \ \text{mod} \ N, p <x \}
=\frac{1}...
- 39.9k
1
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0
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91
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How to optimize parametric information-theoretic bounds?
I am faced with an information-theoretic upper bound, such as
\begin{align}
\sqrt{\alpha'}2^{I_\alpha(X;Y)},
\end{align}
where $I_\alpha(X;Y)$ is the Rényi mutual information with parameter $\alpha>...
- 287
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votes
2
answers
126
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Unique coupling
Let $X$ be a Polish metric space, and let $\mu,\nu$ be two Borel probability measures on $X$, when is the product measure the only coupling of $\mu$ and $\nu$. More formally, let $$\Gamma(\mu,\nu):=\{\...
- 1,724
7
votes
1
answer
763
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Reference request: discretisation of probability measures on $\mathbb R^d$
Given a probability measures $\mu$ on $\mathbb R^d$ with finite first movement, i.e.
$$\int_{\mathbb R^d}|x|\mu(dx)~~<~~+\infty.$$
My concern is to approximate $\mu$ some $\mu_n$ that is ...
CommunityBot
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1
vote
1
answer
197
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Probability distribution on Python-dictionary-like objects?
I would like to examine information-theoretical properties of random variables that take as values objects which are akin to dictionaries in the Python programing language.
That is, each sample of the ...
CommunityBot
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2
votes
1
answer
1k
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Concentration of the norm of subGaussian random vectors
I will use the same notation and definitions in High Dimensional Probability, by Roman Vershynin.
I have a sub-Gaussian vector $y$, in $\mathbb{R}^n$ and sub-Gaussian norm $C$ non dependent on $n$. I ...
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votes
1
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51
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Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 128k
2
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1
answer
119
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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 ...
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1
vote
1
answer
51
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How do the total variation distances of the marginals relate to the total variation distance of the joint under independence?
Suppose there are two sets of random variables $X_1,...,X_n$ and $Y_1,...,Y_n$ with all the variables being defined over the same sample space, but not necessarily being identically distributed. Is ...
- 2,183
14
votes
1
answer
2k
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Expected survival time in Russian Roulette not monotone?
Let $a, n$ be positive integers with $a < n$. A revolver with $n$ chambers is loaded with $a$ bullets, where the distribution is uniform among all $\binom{n}{a}$ possible choices of $a$ objects ...
- 2,203
2
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0
answers
43
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A distribution defined via an ODE for its Laplace trnsform
Fix a parameter $0 < c < \infty$.
As the solution to a certain problem,
there is a probability density function $f_c(t)$ on $0 < t < \infty$ with mean $1$ and
whose Laplace transform $L(\...
- 236
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votes
1
answer
552
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Hypothesis testing for not identically distributed random variables conditioned on the outcome of a subset
I encountered the following problem (I give more details of the problem at the end of the post) and I am trying to figure out the best way of performing a null hypothesis testing. I looked for similar ...
CommunityBot
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4
votes
2
answers
389
views
Gaussian mixtures are dense in total variation?
Let $M_{TV}(\mathbb{R}^d)$ denote the set of probability measures on $\mathbb{R}^d$ with finite total variation norm which are absolutely continuous with respect to the Lebesgue measure.
By a Gaussian ...
- 128k
0
votes
1
answer
255
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Sufficient conditions for decomposition of a bounded random variable into several small pieces
Given a random variable $X$ with $\mathsf{supp}\, X \subseteq [0,1]$ and $n$ positive numbers $h_1,\cdots,h_n$ with $\sum_{i=1}^n h_i=1$, I want to know some sufficient conditions for decomposing $X$ ...
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3
votes
1
answer
436
views
Is the limit of compound Poisson random variables a compound Poisson r.v.?
Let $Y$ be an infinitely divisible (I.D.) random variable.
Let $\nu$ be any measure not necessarily finite: $\nu(\mathbb R)\leq \infty$. Suppose that $Y \sim (0, \nu,0)_0$ according to the notation on ...
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1
vote
0
answers
67
views
A functional equation coming from a distribution function
Currently, I am working on a random series as follows. Let $\{Y_k\}$ be a sequence of i.i.d. Bernoulli random variables with expectation $p$. Then we define
$$
S = \sum_{k=1}^\infty \prod_{\ell=1}^k 2^...
- 33
1
vote
1
answer
75
views
Probability of correctly guessing the maximum event probability of a multinomial distribution
I have a sample from multinomial distribution with $n$ trials, and $k=3$ options. I know that one of the event probabilities $p_i$ is larger than the two others (who are equal). I'm trying to guess ...
- 258
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0
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242
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Does there exist such a probability distribution?
Does there exist a probability distribution over the set $\{(x,y,z)\in[0,1]^3\colon x+y+z=3/2\}$ whose projection on each of the three coordinate axes is the uniform distribution over the interval $[0,...
- 128k
5
votes
2
answers
528
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Which coupling of uniform random variables maximises the essential infimum of the sum?
Recall that a coupling of probability measures $\mu_i$ is a set of random variables $X_i$ defined on the same probability space $\Omega$ such that $X_i \sim \mu_i$.
Question: Let $\mu_1, \dots, \mu_n$ ...
- 23.7k
2
votes
1
answer
156
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Measurability of $X$ with respect to $Y$ in conditional probability distributions
Let $\pi$ be a probability measure on $\mathbb{R}^2$ with respective marginals $\mu$ and $\nu$ such that $(X,Y) \sim \pi$.
Notation:
$\pi_{X=x}$ be the conditional distribution of $Y$ given $X=x$,
$\...
0
votes
1
answer
88
views
Exchanging the integral and infimum on the space of couplings
Let $\mu,\nu$ be probability measures on $\mathbb{R}^d$ with finite $p$-th moment ($p\in [1,\infty)$) and define the set of couplings by $\mathcal{C}(\mu,\nu)$ i.e. the set of probability measures on ...
- 128k
3
votes
1
answer
195
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Probability of sum of i.i.d. random variables being positive
Let $g,l \in (0,1)$ and $p\in [0,1]$. Let $X(k,1-p)$ be a random variable with binomial distribution with parameters $k$ and $1-p$. Let $Y(k,p)$ be a random variable with binomial distribution with ...
- 12.9k
2
votes
0
answers
114
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Echoes of the chord
Just a fun problem I thought of.
A man is playing a magical pipe organ - every chord is an integer number of decibals (dB) loud. The softest chord is $0$ dB. Every chord of $N > 0$ dB creates a ...
- 6,215
0
votes
1
answer
86
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Analytical approaches to approximate probability density functions of multivariate random functions
Given a random multivariate function $f(x, y, z)$, where $x, y, z$ are independent and identically distributed random variables with a probability distribution $\rho(X)$, I aim to approximate the ...
- 6,696
2
votes
0
answers
104
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Existence of Dirac measures in the context of joint and marginal distributions
Let $\pi$ be the joint law of $(X, Y)$ with marginal distributions $\mu$ and $\nu$. We assume that we have: for all $A \in \mathcal{B}(\mathbb{R})$ such that $\mu(A) > 0$
$$
\nu\left(\{y \in \...
- 63.9k
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0
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32
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A question on Poisson approximation of number of secure rooks on a d-dimensional chessboard
This question was given in our first year undergraduate Probability I course.
In $d$ dimensions the lattice points $i = (i_1, i_2, \cdots, i_d)$ where $1\leq i_j\leq n$ may be identified with the “...
- 149
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votes
2
answers
6k
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Distribution of inverse of a random matrix
I got stuck into a problem and couldn't find its
satisfactory answer anywhere.
My question is simple. Suppose I have a fat random matrix (i,e., $R$ has dimensions $k\times d$ where $k<d$) whose
...
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23
votes
2
answers
1k
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How large can $\mathbf{P}[X_1 + X_2 + X_3 < 2 X_4]$ get?
Let $\mu$ be a probability measure on $[0,\infty)$ and $X_1, \dots, X_4 \sim \mu$ independent. Then what can be said about the probability that $X_1 + X_2 + X_3 < 2 X_4$?
More precisely, what is ...
- 6,406
5
votes
1
answer
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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 ...
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0
votes
1
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100
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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
2
votes
0
answers
76
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Inequalities concerning cummulative distributions of binomials
For random variable $Z$, let $F_Z$ denote its cdf, i.e., $F_Z(t)=\mathbb{P}(Z\leq t)$. Let $X$ be a binomial distribution with parameters $(n,p)$ and $Y$ a binomial distribution with parameters $(m,p)$...
- 121
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1
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335
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Finding a connection between two types of convergence
Please, help me find connections between two types of convergence:
Let $\{X_n\}_{n\ge1}: (\Omega,F,P) \rightarrow (\mathbb{R},Bor)$ be a sequence of r.v., there are two convergences:
1) $X_n \...
CommunityBot
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3
votes
1
answer
116
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Interpretations of analytic continuations of CDFs to complex probabilities
Are there notable cases where analytic continuations of cumulative distribution functions to complex arguments have a meaningful interpretation or are otherwise useful?
If a one dimensional CDF is ...
- 7,545
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2
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706
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Poisson binomial conjecture
Let $X_i\in\{0,1\}$
be mutually independent and distributed according to $\mathrm{Bernoulli}(p_i)$
and similarly, $Y_i\sim\mathrm{Bernoulli}(q_i)$,
for some parameters $p,q\in[0,1]^n$. Put $X:=\sum_{i=...
- 148k
2
votes
1
answer
263
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The best probability distribution for the game of Number Master
In the game of Number Master, the player controls a number starting with $1$ and hits the other numbers one by one on the road.
If the player hits a number smaller or equal to the current controlling ...
CommunityBot
- 1
1
vote
1
answer
125
views
Approximation of two densities with a single transformation
Let $p_1$ and $p_2$ be two probability densities and $X_i\sim N(\mu_i,\Sigma_i)$. Write $w(X)\sim p$ if the law of the random variable $w(X)$ has a density equal to $p$. For general densities $p_i$, ...
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8
votes
3
answers
8k
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Upper bound total variation by Wasserstein distance for continuous distance
I am reading the survey of the relationships between metrics of distributions (see https://arxiv.org/pdf/math/0209021.pdf for the paper).
The general results show that for general distributions, we ...
- 211
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0
answers
159
views
How to express the expectation and variance of a truncated binomial distribution without summation?
Given a binomial distribution with parameters $ n $ and $ p $, where $ n $ is an odd integer greater than or equal to 3, I am interested in the truncated binomial distribution where we truncate at $ k ...
- 63.9k
20
votes
1
answer
2k
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How rich is the richest person in a society satisfying the Pareto principle?
The Pareto Principle roughly states that in many societies, the top 20% of people hold over 80% of the wealth. Suppose we had a society that satisfied this principle in every stratum of society - how ...
- 6,367
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0
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24
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Is there a log-concave distribution not spherical symmetric s.t $ \langle X, \theta \rangle$ is almost normal for all directions $\theta$?
Klartag's results indicate that for a log-concave isotropic random vector, with high probability over $\theta$, $\langle X, \theta \rangle$ is close to a normal distribution.
It is known that for the ...
- 11
3
votes
0
answers
81
views
Can we remove the restriction on a parameter in Talagrand concentration inequality?
Recently I am trying to use Talagrand concentration inequality to do something on graphs. I find a version from the book of Molloy and Reed ''Graph Colouring and Probabilistics Method''. I attached a ...
- 4,219
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1
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164
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Which coupling minimises the following cyclic sum?
We recall that a coupling of probability distributions $\mu_1, \dots, \mu_n$ on $\mathbb R$ is a set of random variables $X_1, \dots, X_n$ defined on the same probability space such that $X_i$ is ...
1
vote
2
answers
368
views
Use Importance sampling for multimodal and multivariate distribution draws, how to choose proposal distribution?
I'm in trouble trying to generate samples following a particular distribution which is not numerically known perfectly. Let us consider a $R^n$ space provided with an orthonormal base $( e_{1},...,e_{...
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