All Questions
11 questions
7
votes
1
answer
259
views
Normal distribution by successive approximation?
$\newcommand\R{\mathbb R}\newcommand\la\lambda$It is well known and easy to see that the rotationally invariant
product of two probability measures on $\R$ has to be a Gaussian (or Dirac) measure; see ...
- 128k
4
votes
2
answers
145
views
Understanding equiprobable trinomial identity
With $f(x_1,x_2,x_3,x_1+x_2+x_3;\,1/3,1/3,1/3):= \frac{(x_1+x_2+x_3)!}{x_1!\,x_2!\,x_3!\, 3^{x_1+x_2+x_3}}$ denoting the probability mass function of the equiprobable trinomial distribution as in wiki/...
- 284
3
votes
1
answer
105
views
How to show monotonocity and the limit? [closed]
Let me reformulate my recent question.
Let $n, N$ denote density and cdf of Gaussian distribution. Let us consider its modification, given by density:
$$\phi(x) = C\left\{ \begin{array}{lcc}
\sqrt{...
- 31
2
votes
2
answers
152
views
Divergence rate of geometric sum of random variables
Let $(X_n)_{n\in\mathbb{N}}$ be a sequence of strictly positive and identically distributed random variables and let $\beta\le 1$. I am trying to prove that
$$
0<\lim_{\beta\rightarrow 1}(1-\...
- 479
1
vote
2
answers
169
views
Asymptotic properties of weighted random walks / infinite convolutions of random variables
Let $(X_n)_{n\in\mathbb{N}}$ be a sequence of i.i.d. real-random variables. Let further $0<c<1$. I'm interested in the asymptotic properties of
$$
\sum_{k=1}^n c^k X_k.
$$
I can prove that this ...
1
vote
1
answer
368
views
Does the almost sure convergence of absolutely continuous r.v.'s imply the weak convergence of the pdf's in $(L^\infty)^*$?
The following question was asked in a comment at Almost sure convergence vs convergence of probability density functions :
Suppose that $(X_n)$ is a sequence of random variables (r.v.'s) converging ...
- 128k
1
vote
2
answers
194
views
Continuity of the densities of a stochastic process
Let $X=(X_t)_{t\in I}$ ($I\subset\mathbb{R}$ an interval) be a stochastic process with continuous sample paths and such that $X_t$ admits a continuous Lebesgue density $\chi_t\in C(\mathbb{R}^d)$ for ...
- 463
1
vote
1
answer
157
views
Is finding the CDF from the Laplace transform well-posed?
In my study of Dynamic Light Scattering, I came across the following inverse problem. Let $F(s):[0,T]\rightarrow[0,T]$ be the Laplace transform of a probability distribution $f(t)$ on the real line ...
- 654
1
vote
0
answers
96
views
Limit of alternating sum of factorial moments which diverge
Consider the non-negative, integer valued random variable $X$, and its $i^{\text{th}}$ factorial moment $E_{i}[X]$. Then we have that
$$
P(X=0) = \sum _{i=0}^{\infty} \frac{(-1)^i E_{r}[X]}{ i!}
$$
...
- 640
0
votes
0
answers
67
views
LLN of random nearest neighbor function
There are two samples of iid random variates: $X=\{X_1,X_2,...,X_n\}$ and $Y=\{Y_1,Y_2,...,Y_n\}$. Further, $\forall i,j: X_i$ is independent of $Y_j$. The probability distributions $P,Q$ are unknown ...
- 89
0
votes
0
answers
146
views
Does the following sequence $\{g_n\}$ converge?
Consider a function sequence $\{f_n(t)\}$ ($n\in\mathbb{N}^+$) defined on the interval $(\frac{1}{2},1)$, where
\begin{eqnarray}\label{eqn:constraint1}
f_n(t)=\frac{\exp\left(n\left(\log R(h_t) - th_t\...
- 550