All Questions
12 questions
13
votes
7
answers
1k
views
Probabilistic (and other mathematical) methods of physics without the physics?
Many of the methods of physics are vastly more general than their use in that discipline. For example, information theory overlaps with a lot of statistical mechanics, and the latter actually ...
7
votes
2
answers
404
views
Examples of Slowly Mixing Chains in Statistics
This should probably be community wiki, but I don't know how to set that myself.
I'm looking for examples or Markov chains that are used in statistics or statistical physics, and which are known to ...
- 71
5
votes
1
answer
222
views
Switching oriented paths in a graph
Consider an oriented graph (e.g. a finite part of the standard grid with some random orientations).
Each minute the following operation takes place: we choose uniformly randomly an ordered pair $(A,B)...
- 5,063
4
votes
2
answers
714
views
Mathematical means of studying large and complex but finite systems?
I want a list of the sort of mathematics/mathematical tools that are applied to the study of complex and probabilistic systems in order to make quantitative and qualitative observations about their ...
- 2,383
2
votes
0
answers
96
views
Limiting value of $\dfrac{1}{m}\mathrm{tr}(FAF^\top (FBF^\top)^{-1})$, where $F$ has iide $N(0,1)$ entries and $A,B$ are deterministic
Let $F=F_{m,d}$ be a random $m \times d$ matrix with iid entries from $N(0,1)$. Let $A=A_d$ and $B=B_d$ be deterministic $d \times d$ positive-definite matrices. In case it helps, it may be assumed ...
- 6,853
1
vote
1
answer
370
views
in Euclidean space defined by multivariate normal distribution, what fraction of points falls within n-ball (centered at origin) tangent to point p?
In a Euclidean space defined by the multivariate normal distribution, what fraction of all points falls within or are tangent to (as opposed to falling outside of) the n-sphere whose center is at the ...
- 21
1
vote
1
answer
221
views
Estimating the Distribution of a Very Large Population of Known Size and Unknown Variance
I would like to estimate the distribution of a very large population of known size but unknown mean and variance. I cannot assume anything about the underlying distribution. The values of observations ...
- 11
1
vote
0
answers
57
views
Limiting value of expectation of trace of truncated Gram matrix
Let $n$ and $d$ be large positive integers such that $d/n = a \in (0,1)$, fixed. Let $x_1,\ldots,x_n$ be iid random vectors from $N(0,I_d)$. Fix $b \in (0,1]$ and a unit-vector $v \in \mathbb R^d$, ...
- 6,853
1
vote
0
answers
46
views
How to use the mixed normal distribution to construct a proper statistics?
For a random vector $\xi_n \in \mathbb{R}^p$, if $\xi_n \rightarrow_d N(\mu, \Sigma)$, we can construct
\begin{equation*}
\Psi := \xi_n^{\top} \widehat{\Sigma}^{-1} \xi_n
\end{equation*}
for ...
- 331
0
votes
0
answers
89
views
Stein's Lemma for conditional expectation?
Let $X=(X_1,\ldots,X_d)$ be a standard normal random vector in $\mathbb R^d$, let $m:\mathbb R^d \to \mathbb R$ be a function, and let $E=E_m$ denote the expectation operator conditioned on $m(X) > ...
- 6,853
0
votes
0
answers
42
views
Limiting value of trace of resolvent matrix involving two independent Wishart random matrices
Let $n_1$, $n_2$, and $d$ be positive integers tending to infinity such that
$$
d/n_k \to \phi_k \in (0,\infty).
$$
Let $X_1 \in \mathbb R^{n_1 \times d}$ and $X_2^{n_2 \times d}$ be independent ...
- 6,853
0
votes
0
answers
60
views
Norms of Wigner matrices under power law decay
Suppose $\Sigma=\operatorname{diag}(h)$ where $h=(1^{-p},2^{-p},3^{-p},\ldots,d^{-p})$ and $p> 1$
$X$ is a matrix with $b$ rows sampled independently from $\operatorname{Normal}(0,\Sigma)$
Suppose $...
- 2,252