All Questions
Tagged with pr.probability real-analysis
388 questions
2
votes
1
answer
141
views
Injectivity of two sided Laplace transform
Let $\mu,\nu$ be finite Borel measures on $\mathbb R$.
Assume that there is an open interval $(a,b)$ on which the Laplace transforms exist and coincide:
$$
\int_{-\infty}^\infty e^{-tx}\,d\mu(x) = \...
- 759
3
votes
2
answers
206
views
Getting Wasserstein closeness from a derivative estimate
In my setting, $\mu$ and $\nu$ are probability measures on $\mathbb{R}^{2}$ with compact support. For any function $f\in{C^{2}_{b}(\mathbb{R}^{2})}$, I have the estimate:
$$
|\mathbb{E}_{\mu}(f)-\...
- 662
3
votes
1
answer
100
views
Vague Topologies induced by $C_c$ and $C_0$ are the same on a closed ball of finite Radon measures?
Let $X$ be a locally compact Hausdorff space. Denote $C_c(X)$ and $C_0(X)$ the space of continuous functions with compact support and vanishing at infinity respectively. By Riesz representation ...
- 315
1
vote
0
answers
64
views
Sequential Hölder-norm for functions in $H_{\alpha}([0,1]^{d})$?
I have come across a nice result attributed to Ciesielski (Ciesielski, Z. (1960). On the isomorphisms of the spaces $H_{\alpha}$ and m. Bull. Acad. Pol. Sci. Ser. Sci. Math. Phys. 8, 217–222.), even ...
- 149
4
votes
1
answer
287
views
Local maxima of the sum of Gaussian functions in *multiple dimensions* are always strict local maxima - prove/disprove/prove conditionally?
This is a follow up of the question in one dimension, that asked to show that the all the maxima of the sum of Gaussian
$$f_n(x):= \sum_{i=1}^{n}e^{-(x-x_i)^2}, x_1 < x_2 < \dots < x_n$$
are ...
- 1,467
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 ...
3
votes
1
answer
109
views
Inequality: multivariate normal distribition
Let $p(u,x)=\frac{1}{(4\pi u)^{q/2}}e^{-|x|^2/(4u)},u>0,x \in \mathbb{R}^q.$
Prove that for $r\geq 0,c>1$ there exists $C>0$ (depending on $r,c$) such that $$\forall x \in \mathbb{R}^q,u>...
- 573
0
votes
1
answer
230
views
Can we further restrict the space of test functions to $C_c^\infty (X)$ in weak convergence?
Let
$X := \mathbb R^n$,
$C_b(X)$ the space of all real-valued bounded continuous,
$C_c(X)$ the space of all real-valued continuous functions with compact supports, and
$C_c^\infty(X)$ the space of ...
- 657
30
votes
1
answer
2k
views
Have any numbers been proven to be normal that weren't constructed to be?
It's easy to construct an example of a number that's normal in a given base, but for most given numbers it's notoriously hard to prove that they're normal.
Has any number ever been proven to be normal ...
- 1,311
0
votes
1
answer
327
views
Deduce that a function is zero on interval $[0,M]$
I have been thinking about this for the last few days but I was not able to produce a definitive answer.
Take an integrable function $g$ that maps in $\mathbb{R}$ and with domain contained in $[0,M]$ (...
- 141
1
vote
1
answer
179
views
For fixed $f \in L^2$ and $T>0$, choose $g$ so that $ \mathbb{E}^x[g(T-\tau)\chi_{X_\tau=1}]=-\mathbb{E}^x[f(X_T)\chi_{\tau \ge T}]$
Let $f \in L^2(0,1)$ and $T>0$ be fixed. How can I choose $g \in L^2(0,T)$ such that
\begin{align*}
0\equiv \mathbb{E}^x\left[f\left(X_T\right) \chi_{\tau \geqslant T}+g(T-\tau) \chi_{X_\tau=1}\...
- 19
1
vote
0
answers
182
views
Hardy's inequality proof using Doob's inequalities
Consider a probability space $([0,1],\mathcal{B}([0,1],\lambda),p>1$ and $f \in L^p(]0,\infty[).$
We want to prove Hardy's inequality using martingale theory and Doob's maximal inequalities.
Let $\...
- 573
1
vote
0
answers
96
views
Limit of alternating sum of factorial moments which diverge
Consider the non-negative, integer valued random variable $X$, and its $i^{\text{th}}$ factorial moment $E_{i}[X]$. Then we have that
$$
P(X=0) = \sum _{i=0}^{\infty} \frac{(-1)^i E_{r}[X]}{ i!}
$$
...
- 640
0
votes
1
answer
105
views
Transforming two smooth densities to the same density
I am looking for an example of the following:
Find a bijective, differentiable function $f$ and continuous probability density functions $q_1\ne q_2$ such that $f_*q_1=p=f_*q_2$, where $f_*$ is the ...
- 5
1
vote
0
answers
96
views
Building random homeomorphisms of the circle
Given a positive Borel measure without atoms $\tau$ on the circle $\mathbb T =\mathbb R /\mathbb Z =[0,1)$ , in https://arxiv.org/abs/0912.3423 a homeomorphism $h:[0,1)\to [0,1)$ is defined as
\...
- 101
1
vote
1
answer
125
views
Approximation of two densities with a single transformation
Let $p_1$ and $p_2$ be two probability densities and $X_i\sim N(\mu_i,\Sigma_i)$. Write $w(X)\sim p$ if the law of the random variable $w(X)$ has a density equal to $p$. For general densities $p_i$, ...
- 63
5
votes
2
answers
2k
views
Relationship between KL, chi-squared, and Hellinger
There are many well-known relationships between the KL divergence, chi-squared ($\chi^2$) divergence, and the Hellinger metric. In the paper "Assouad, Fano, and Le Cam" by Bin Yu, the author ...
- 63
0
votes
1
answer
296
views
When can a convolution be written as a change of variables?
Suppose $X$ is a random variable with a density $f(x)$ such that $f(x)$ is a convolution of some density $g$ with some other density $q$:
$$
f = g\ast q.
$$
Under what conditions does $X=h(Y)$, where $...
- 5
9
votes
1
answer
380
views
Two dice yielding uniform distribution, part 2
Since this question is on the front page again, a generalization.
Let $p$ be prime, and let $a$ and $b$ be positive integers with $a+b=p-1$. Is it possible to have two loaded dice, one with sides ...
- 156k
2
votes
0
answers
136
views
Multiple integral with diagonal constraint (short-range)
I am looking for an upper bound on the following integral:
$$\int_{X_{\delta}}\prod_{j\neq i=1}^{n}\left ( \frac{\delta}{\min (\max(\epsilon, |a_i-a_j|),\delta)}\right )^{b} \prod_{i=1}^{n} da_{i},$$
...
- 5,474
2
votes
1
answer
122
views
Can we say that there exists a measurable function $f$ such that $ \nu=f_{\#}\mu$?
Define a coupling $\pi\in \Pi(\mu,\nu)$ on the product space $(X\times X,\mathcal{F}\times\mathcal{F})$. let $\pi_x$ be the disintegration of $\pi$ with respect to the $\mu$, i.e. there exists a Borel ...
- 288
1
vote
1
answer
169
views
How to prove that is a consistent estimator?
Let $\hat{\pi}^N$ be an AW-consistent estimator of $\pi$ (i.e., $\hat{\pi}^N$ is a strongly consistent estimator of $\pi$ under adapted (or called nested) Wasserstein distance $AW(\pi, \hat{\pi}^N)\to ...
- 288
1
vote
1
answer
141
views
How to get the estimator?
They introduce a new correlation. For $\pi\in \Pi(\mu,\nu)$ the set of coupling of two probability measures $\mu$ and $\nu$ on a Polish space $(X,d)$. The author introduces a plugin estimator.
...
- 288
0
votes
2
answers
176
views
How to compute the unique disintegration w.r.t. the first coordinate?
Set $\pi=\frac{1}{4}(\delta_{(1,0)}++\delta_{(1,3)}+\delta_{(1,1)}+\delta_{(2,2)})$. Suppose that $\pi\in\Pi(\mu,\nu)$.
How to get the disintegration of $\pi$ with respect to $\mu$?
- 288
5
votes
1
answer
415
views
Why is it valid to take uncountable infimum of one dimension of a multivariate function of random variables?
let $\xi,\eta: \Omega \to \mathbb R$ be i.i.d. random variables on a measurable space $(\Omega , \mathcal F,\mathbb P)$, and let $f: \mathbb R^2 \to \mathbb R$ be a bivariate measurable function (say ...
- 53
2
votes
1
answer
231
views
Inequality with slowly varying functions
Note: I am reposting this question from Math Stack Exchange, which failed to receive an answer after several weeks and a bounty. Also, I believe it fits the requirements for this website, as it ...
- 127
0
votes
1
answer
83
views
Functional relationship between two quantities
Let $\mu \in \mathbb R^n$ and let $\Sigma$ be a positive-definite matrix of order $n \ge 2$. Fix $t \ge 0$ and define $\alpha(\mu,\Sigma,t) > 0$ by
$$
\alpha(\mu,\Sigma,t) := \sup_{\|w\| = 1}\frac{...
- 6,853
3
votes
2
answers
264
views
Probability of picking neighbors in $\{1,\ldots, n\}$
Motivation. Swiss license plates consist of $2$ letters indicating the region, followed by a number, such that the pairing (region, number) is unique by car. In the small town where I live, I saw two ...
- 48.9k
15
votes
0
answers
477
views
Quantitative Skorokhod embedding
The Skorokhod embedding theorem says that any random variable $X$ with $\mathbb E X=0$ and $\mathbb E[X^2]<\infty $ can be written as $X=B_{\tau }$ where $B$ is a Brownian motion and $\tau $ is a ...
- 723
1
vote
1
answer
160
views
Existence, uniqueness and regularity of the solution to some integral equation
Let $b: \mathbb R_+\times\mathbb R_+\times \mathcal P\to\mathbb R$ be Lipschitz, where $\mathcal P$ denotes the set of probability measures $\mu$ on $\mathbb R_+$ of finite first moment and is endowed ...
- 1,334
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
3
votes
1
answer
142
views
How does the integral of pseudo Gaussian kernel on $(0,\infty)$ depend on its variance?
Let $a, b: \mathbb R_+ \to [0,1]$ be continuous functions. Let $k: \mathbb R_+\times\mathbb R \to [1,2]$ be $1-$Lipschitz. Set, for $0<s<t$ and $y>0$,
$$A(s,t,y):=\int_s^t\frac{k(u,y)}{1+a(u)}...
user478492
2
votes
2
answers
667
views
Power series of ratio of Gamma functions
Let $a>1$ and define $G_a(x)=\sum\limits_{n=0}^{+\infty} \frac{\Gamma(\frac{2n+1}{a})}{\Gamma(2n+1)\Gamma(\frac{1}{a})}x^n$ where $\Gamma$ is the Gamma function. This series is convergent on $\...
- 39
2
votes
0
answers
98
views
Has this "optimal constrained transport" notion of convergence of measures been named and/or studied?
Let $(X,d)$ be a compact metric space, and let $\{\mu_n\}_{n \in \mathbb{N} \cup \{\infty\}}$ be a family of Borel probability measures on $X$.
Fix $L \geq 1$. I will say that $\mu_n$ converges in ...
- 708
4
votes
1
answer
209
views
Is $\int_{-c}^c |A \cap (x + A)|\, dx$ maximized when the measurable subset $A \subseteq \mathbb R$ is an interval centered at the origin?
Let $A$ be a nonempty measurable subset of $\mathbb R$, with Lebesgue measure $|A|=1$, and let $c>0$. Define the scalar $I(A)$ by
$$
I(A) := \int_{-c}^c |A \cap (x + A)|\, dx,
$$
where $x+A := \{x +...
- 6,853
9
votes
1
answer
359
views
Relaxation of notion of positive definite function
A function $f:\mathbb{R}\to\mathbb{R}$ is called positive definite (in the semigroup sense) if for all $n\geq 1$ and $x_1,\ldots,x_n\in\mathbb{R}$ pairwise different the matrix $(f(x_i+x_j))_{i,j=1}^n$...
- 3,031
-1
votes
1
answer
550
views
Lower bound of an expectation
Suppose a random variable $X$ has unit variance i.e. $\sigma^{2} = 1$. Is there a positive constant $c > 0$ such that
$$\mathbb{E}[\ | X - \mathbb{E}[X] | \ ] \ge c $$
My attempt of a solution is ...
- 643
0
votes
0
answers
84
views
Determining the tails of a convolution from its behavior on a compact set
Let $p$ be a smooth (say, $C^\infty$, but this is not crucial) density on the interval $I=[0,1]$ and $g_\sigma$ be the density of $N(0,\sigma^2)$. Define $f=p\ast g_\sigma$. To what extent does the ...
- 19
1
vote
0
answers
100
views
Exponential decay of a random matrix falling into a ball
Let $A=U\Sigma V^T\in\mathbb{R}^{n\times n}$ be a random matrix defined in the following way: $U,V$ are uniformly distributed on the orthogonal group $O(n)$, $\Sigma$ is a diagonal matrix such that ...
- 1,495
10
votes
1
answer
330
views
(Sharp) Bounds on $E(XYZ)$ given all the bivariate marginals
Suppose $X,Y,Z$ are all real-valued random variables. Suppose I know the joint marginal distributions of $(X,Y)$, $(Y,Z)$ and $(X,Z)$. I want to find bounds on $E(XYZ)$.
In the case of bounding $E(XY)$...
- 181
2
votes
0
answers
192
views
Convergence of Gibbs distribution to Dirac measure [closed]
Consider the probability density function on $R^d$ for a continuous function $F: R^d \to R$:
$$
q_{\varepsilon}(x) = \frac{1}{Z} \exp\left(-\frac{1}{\varepsilon} F(x)\right).
$$
Denote $x^* = \arg \...
- 31
4
votes
3
answers
2k
views
Dominated convergence theorem when the measure space also varies with $n$
Let $(f_n)_n:X \to \mathbb R$ be a sequence of measurable functions on a measurable space $X$ converging pointwise to a function $f:X \to \mathbb R$, and let $(\mu_n)_n$ be a sequence of finite ...
- 6,853
3
votes
2
answers
287
views
Conditions for the existence of von Neumann-Morgenstern utility on a Polish space
Let $X$ be a Polish space, i.e. a separable complete metric space. Any Borel probability measure on $X$ must be locally finite, outer regular and tight. Let $\mathcal{P}(X)$ be the set of all Borel ...
- 315
0
votes
1
answer
91
views
Asymptotic moment of a multivariate normal distribution
Let the pdf of a multivariate normal distribution be
\begin{equation}
p_{Z}(\mathbf{z})=\frac{1}{\left(2\pi \sigma^2 \right)^{k/2}}\exp(-{\mathbf{z}}^{\text{T}}\mathbf{z}/2\sigma^2).
\end{equation}...
- 550
2
votes
1
answer
119
views
Exact formula or non-trivial upper bound on p-norm of $f(x)=\|x\|_2$ in $[0,1)^d$
I wonder whether one can exactly calculate the following integral in terms of $d$ and $p\geq 1$ or not, or a better bound(than the trivial one I am going to give) in terms of $d,p$:
$$\left(\int_{[0,1)...
- 715
1
vote
0
answers
213
views
How to prove the Fourier transform of $e^{-x^p}$ is positive [duplicate]
I wonder how to prove that
$$\int_0^\infty\exp(-x^p)\cos(tx)\,dt\geq 0, \quad \frac{1}{2}<p<1.$$
This conclusion is used in the answer to another question here
Looking for sufficient conditions ...
- 61
4
votes
1
answer
325
views
Fourier-positivity of a certain function
I am wondering how to prove the below Fourier transform is non-negative? I did much simulation and it seems to be non-negative.
$$\int_0^\inf (be^{-at^p}-ae^{-bt^p})\cos(tx)dt, 0<a<b, \frac{1}{2}...
- 61
2
votes
0
answers
115
views
Least positive value of a random polynomial
Fix a positive even integer $d$ and consider the polynomial $f(x)=c_d x^d+\ldots+c_1x+c_0$, where the $c_i$ are independent random variables that follow the uniform distribution in the interval $[-1,1]...
- 3,062
4
votes
0
answers
656
views
Eigenvalues of Matérn covariance function
Recall that Matérn covariance function $C_\nu(d)$ is defined as
$$
C_\nu(d)=\sigma^2\frac{2^{1-\nu}}{\Gamma(\nu)}\left(\sqrt{2\nu}\frac{d}{\rho}\right)^\nu K_\nu\left(\sqrt{2\nu}\frac{d}{\rho}\right), ...
- 397
-1
votes
1
answer
74
views
Example(s) where replacing a multivariate, discrete RV with a single, univariate RV fail
Let $X_1,\ldots,X_n,Y,Z$ be $n+2$ binary random variables and define $X=(X_1,\ldots,X_n)$. In most problems, instead of treating $X$ as $n$ distinct binary random variables, there is no loss of ...
- 1