All Questions
Tagged with pr.probability st.statistics
1,134 questions
7
votes
1
answer
295
views
Closure of random rotations
Are matrix Fisher random variables closed under multiplication?
For those unfamiliar with the jargon, let me unpack the terms above and repose my question.
This is a question about probability ...
- 2,821
1
vote
1
answer
223
views
Bound error in approximating $E_x [H(f(x))]$ with random $(1/n) \sum_{i=1}^n \Phi(f(x_i)/h)$ where $H$ is Heaviside function and $\Phi$ is normal CDF
Let $f:\mathbb R^d \to \mathbb R$ be a "sufficiently smooth" function. For simplicity, we may consider $f$ to be an affine function, i.e $f(x) \equiv b-x^\top w$, for some $(w,b) \in \mathbb ...
- 6,853
0
votes
0
answers
195
views
Upper-bound for bracketing number in terms of VC-dimension
Let $P$ be a probability distribution on a measurable space $\mathcal X$ (e.g;, some euclidean $\mathbb R^m$) and let $F$ be a class of funciton $f:\mathcal X \to \mathbb R$. Given, $f_1,f_2 \in F$, ...
- 6,853
4
votes
0
answers
164
views
Convergence rates for kernel empirical risk minimization, i.e empirical risk minimization (ERM) with kernel density estimation (KDE)
Let $\Theta$ be an open subset of some $\mathbb R^m$ and let $P$ be a probability distribution on $\mathbb R^d$ with density $f$ in a Sobolev space $W_p^s(\mathbb R^d)$, i.e all derivatives of $f$ ...
- 6,853
7
votes
1
answer
499
views
How similar are discrete stable RVs to their continuous analogues?
The generalized central limit theorem of Gnedenko-Levy describes the asymptotic behavior of a sum of IIDRVs which may not have finite mean or variance. Only a small class of limit laws can be realized,...
CommunityBot
- 1
2
votes
0
answers
122
views
Consistent approximation of weighted Radon transform of smooth probability density, using kernel density estimation
Let $X$ be a random vector in $\mathbb R^d$, with "sufficiently smooth" probability density function on $\rho$. For unit-vectors $w$ and $u$ in $\mathbb R^d$, and a scalar $b \in \mathbb R$, ...
- 6,853
2
votes
1
answer
256
views
Does taking minimum preserve density monotonicity?
Suppose $X$ and $Y$ are continuous random variables with a joint density function $f_{X,Y}$. Both $X$ and $Y$ are supported on $(0,1)$ and have continuous (can be assumed differentiable) and non-...
- 128k
2
votes
1
answer
88
views
Lower bound on the error of proportion estimation
Let $X \sim \operatorname{Bin}(n,p)$. Suppose we estimate $p$ by $\hat{p}=\frac{X}{n}$. By Hoeffding’s inequality
it holds for all $\delta \in (0,1)$ with probability at least $1-\delta$ that, $$\...
- 128k
2
votes
1
answer
727
views
Gaussian expectation of outer product divided by norm (check)
I am trying to get compute at least the directional component of the following expectation, where $M$ is a symmetric, invertible, PD matrix:
$$\mathbb{E}_{v \sim N(0, I)}\left[\frac{vv^T}{||Mv||_2}\...
CommunityBot
- 1
-1
votes
1
answer
297
views
The distribution of the sum of values from a normal and a truncated normal distribution
Using R to extract truncated normal distribution samples and normal distribution samples separately, when they are combined, the image drawn by the hist function is very similar to a normal ...
- 188k
4
votes
1
answer
276
views
About non-reversible Metropolis Hastings Markov chain
I am reading a paper about constructing a non-reversible Metropolis Hastings Markov chain from a reversible one as described at a high level in paragraph $3$ of page $1$.
But I don't understand how, ...
- 6,367
4
votes
1
answer
114
views
Consistent empirical estimation of Radon transform of a multivariate density function
Let $P$ be a "nice" distribution on $\mathbb R^m$ (e.g., multivariate Gaussian, etc.), with density $p$. Let $H := \{x \in \mathbb R^m \mid x^\top w = b\}$ be a hyperplane in $\mathbb R^m$ ...
- 6,853
1
vote
2
answers
316
views
Central limit theorem of random vectors when the dimension is increasing
This is a question about central limit theorems when the dimension is increasing. Suppose now I have a random vector $X_N = (X_{N1}, \cdots, X_{Np})\in\mathbb{R}^p$. For all $c_p\in\mathbb{R}^p$ with $...
- 555
2
votes
0
answers
386
views
What is the concentration of measure for Gaussian random variables which are independent, but are transformed?
This might be a too easy question for Mathoverflow, but Googling led to similar questions and answers here (though not the one I was looking for).
The question is split into two:
I have a matrix $X \...
- 18.7k
3
votes
1
answer
355
views
Is there a complete countable axiomatization of conditional independence? (Graphoids)
Note: A pointer to a reference, or a yes/no answer with a 1-2 sentence incomplete/non-rigorous justification would suffice for answers. I am just curious about whether the result is true; it is fairly ...
- 136
1
vote
1
answer
386
views
Expected value of a function of normal random variable
Suppose $X\sim \mathcal{N}(0,\sigma^2)$, find the expectation $\mathbb{E}\left[\frac{1}{(1+X^2)^a}\right]$ where $a$ is a fixed positive real number.
Is there an explicit formula for the above ...
- 128k
4
votes
1
answer
239
views
Uniform inequality of the form $\text{Proba}(\sup_{v \in [-M,M]^k}|p^Tv-\hat{p}_n^Tv| \le \epsilon_n) \ge 1 - \delta$
Let $M > 0$, $k$ be a positive integer, and $\mathcal V:=[-M,M]^k$. Finally, let $p \in \Delta_k$, (where $\Delta_k$ is the $(k-1)$-dimensional probability simplex) and let $\hat{p}_n$ be an ...
- 1
1
vote
1
answer
143
views
Permute a sparse random matrix to resemble a diagonal matrix as much as possible
Say we generate an $N \times N$ sparse random matrix $W$, where each element $W_{ij}$ was independently chosen to be $1$ with probability $p=\frac{a}{N}$, and $0$ with probability $1-p$. We are ...
- 34.3k
3
votes
0
answers
93
views
Explaning why the spectrum of a setting simple structure random matrix is always spiked ($d-1$ eigenvalues close to zero, and $1$ away from zero)
For concreteness, let $m=500$, $d=600$, $N=1000$. Let $W$ be and $d \times m$ matrix with unit-norm rows and let $u$ be a uni-norm vector of length $m$. Given a binary vector $b$ of length $m$, length ...
- 6,853
3
votes
2
answers
319
views
Concentration inequality of joint event over time of a submartingale
Consider a discrete time submartingale $X_n$ with bounded difference $|X_n-X_{n-1}|\leq c$. With Azuma inequality we have the concentration of a single time event as
$$
P(X_t-X_0 \leq -t) \leq exp\...
- 14.2k
2
votes
2
answers
308
views
Expected value of Tukey’s half-space depth for log-concave measures
Let ${\mathbb P}$ be a probability measure in ${\mathbb R}^n$. Let $x\in{\mathbb R}^n$ be an arbitrary point. Let ${\mathbb H}_x$ be the set of halfspaces of ${\mathbb R}^n$ containing $x$. Let
\begin{...
- 4,653
4
votes
0
answers
144
views
Exponential families closed under affine transformations
Let $(\Omega,\Sigma,\mu)$ be a probability space and let $\mathcal{M}$ be an exponential family of probability distributions for $\mu$ of the following form: There are $\varphi_1,\dots,\varphi_n:\...
- 6,367
1
vote
1
answer
106
views
What is the maximum possible coefficient of variation for data taking values within a specified range?
I have a question that seems very basic, and yet I have not managed to find an answer after probably several hours of Google-searching.
Fix $0<a<b<\infty$, and let $\mathcal{P}_{[a,b]}$ be ...
- 128k
2
votes
1
answer
185
views
Limiting distribution of "scatter matrix" $\frac{1}{n}XX^T:=\frac{1}{n}\sum_{i=1}^nx_ix_i^T$ for iid $x_1,\ldots,x_n \in \mathbb R^p$
Let $x_1,\ldots,x_n$ be drawn iid from such "nice" distribution on $\mathbb R^p$ (but possibly very general!), and let $X$ be the $n$-by-$p$ matrix formed by vertically stacking the $x_i$'s.
...
1
vote
1
answer
613
views
Integral of the product of a gaussian pdf and cdf
I am trying to solve the integral of a gaussian cumulative distribution function and a gaussian probability function. On this site I have seen solutions of similar, less general integrals (e.g. ...
- 11
1
vote
1
answer
221
views
Large deviation for empirical median
I found this exercise while reading some notes on Large Deviation Principle. This exercise is at the end of the very first chapter, including Cramer's Theorem and essentially nothing more (no Sanov ...
- 128k
2
votes
1
answer
165
views
Is a random $(r+1,r)$-biregular bipartite graph $r$-edge connected w.h.p?
A uniformly random $r$-regular bipartite graph on $n$ vertices is known to be $r$-edge connected. That is, with high probability as $n$ grows large, the minimum size of a cut in a random $r$-regular ...
- 9,501
2
votes
0
answers
87
views
The covariance of certain random variable
We define two random variables $X_n,Y_n $ on the sample space $\{1,2,3,\cdots,n\}$ with counting measure. We denote by $C_n$ the covariance of theses two random variables: $C_n=Cov(X_n,Y_n)$.
...
- 356
0
votes
0
answers
91
views
Spectrally-weighted Stieltjes transform of random matrix $Z=XX^\top$ in terms of Stieltjes transform of $Z$ and the weighting function
Let $n$ and $d$ positive integers going to infinity such that $d/n \to \gamma \in (0,\infty)$. Let $X$ be a random $n \times d$ iid rows from $N(0,\Sigma)$, where $\Sigma = diag(\lambda_1,\ldots,\...
- 6,853
2
votes
1
answer
377
views
Extension of subcopulas to copulas
This question is about the extension of subcopulas to copulas, shown in Sklar, A. (1996), "Random variables, distribution functions, and copulas: A personal look backward and forward." ...
- 23.2k
1
vote
1
answer
157
views
Moments of rescaled Bernoulli random matrix
Suppose $X \in \{0,1\}^{n \times m}$ is a matrix generated according to the following generative process:
$$Z_{ij} \sim \text{Bernoulli}(p) \implies X_{ij} = \frac{Z_{ij}}{\sum_{k=1}^m Z_{ik}}.$$
Is ...
- 128k
1
vote
1
answer
226
views
Orthogonal transformation of multivariate Bernoulli-Gaussian distribution
Actually, I have asked this question in https://math.stackexchange.com/questions/4330127/orthogonal-transformation-of-multivariate-bernoulli-gaussian-distribution, but I think mathoverflow might be ...
- 188k
1
vote
2
answers
277
views
Distribution of interarrival times for a special class of stochastic point processes
I am interested in Poisson-binomial stationary point processes (here on the real line) defined as follows. Let
$t_k=k/\lambda$, with $k\in\mathbb{Z}$ and $\lambda>0$,
$F_s(x)$ be a symmetric, ...
- 3,098
1
vote
1
answer
104
views
Limiting value of $\dfrac{1_n^\top B^{-1} A B^{-1} 1_n}{d}$, where $A=WW^\top + a I_n$, $B = WW^\top + b I_n$, and $W \sim N(0,\Sigma_d)$
Let $n$ and $d$ be positive integers with
$$
n,d \to \infty, \quad n/d \to \rho \in (0,\infty).
$$
Let $\Sigma_d$ be a psd matrix such that
$\mbox{trace}(\Sigma_d) = 1$.
$\|\Sigma_d\|_{op} = \mathcal ...
- 1,724
2
votes
1
answer
138
views
Comparison between $\|X\|_2$ and $\|X\|_{2,1}$
For any real random variable $X$, define
$$\|X\|_{2,1}=\int_0^\infty \sqrt{\Pr(|X|>t)}dt.$$
This quantity (it is not a norm) appears in various problems, e.g. the multiplier central limit theorem (...
- 128k
1
vote
0
answers
146
views
Using maximum entropy principle for joint probability estimation
Let $X_1, \dots, X_n, Y$ be random variables, each taking values in $\{0,1\}$. Assume that we are interested in estimating, for each $v=(v_1,\dots,v_n)\in \{0,1\}^n$, the probability
$$
p(v) = P[Y=1|...
- 7,182
0
votes
1
answer
133
views
How to demonstrate a correlation inequality? [closed]
If there are 3 vectors X, Y, Z of the same length, for any $x_i \in X,y_i \in Y,z_i \in Z$, we have $0<x_i<1,0<y_i<1,0<z_i<1$.
The correlation between Z, Y is greater than between X, ...
- 63.9k
2
votes
0
answers
51
views
Spectral approximation of $(XX^\top/d)\circ(X\Sigma_dX^\top/d)$ where $X$ is an $n \times d$ random matrix with iid rows from $N(0,\Sigma_d)$
Let $X \in \mathbb R^{n \times d}$ be a random matrix with iid rows from $N(0,\Sigma_d)$ where $\Sigma_d$ is a $d \times d$ psd matrix verifying w.h.p,
$\mbox{trace}(\Sigma_d/d)= 1$.
$\|\Sigma_d\|_{...
- 6,853
1
vote
1
answer
365
views
Lower-bound probability of non-centered quadratic form
Let $X\sim N(\mu,\sigma^2I)\in \mathbb{R}^n$ be a non-centered ($\mu\neq 0$) Gaussian vector with independent coordinates. I'm wondering if there is any sharp lower bound of the following probability:
...
CommunityBot
- 1
7
votes
1
answer
347
views
Expectation for game choosing uniformly number in $[0,1]$ until it decreases
We are playing a game where we keep on choosing a number from the uniform distribution U(0,1). The game goes on until we have the current number less than the previously picked number, i.e. the game ...
- 128k
2
votes
1
answer
177
views
Matrix-valued cumulant generating function for Wishart matrices
Suppose we have an axis-aligned Gaussian vector $v \sim \mathcal{N}(\mu, \sigma^2 I_{d \times d})$, and consider the Wishart matrix $W = vv^\top$.
Is there a simple closed form/"Lowener order ...
- 128k
0
votes
1
answer
83
views
The distribution of number of reverse order pairs in a randomly permuted array
There is an array $a_1,\dotsc,a_n$ whose elements are pairwise distinct. We define a reverse order pair to be an ordered pair $(a_i,a_j)$ such that $i < j$ and $a_i > a_j$. Consider the total ...
- 7,226
1
vote
1
answer
105
views
What is the distribution of a Cartesian power of a collection of iid uniform points? (renewed)
The following question was asked recently at https://mathoverflow.net/questions/326631/what-is-the-distribution-of-a-cartesian-power-of-a-collection-of-iid-uniform-poi :
Take a rectangle with ...
CommunityBot
- 1
10
votes
2
answers
2k
views
When is a space of measures a measurable space?
Let $X$ denote a measurable space, that is, a set equipped with a $\sigma$-algebra $\Sigma(X)$. Let $M(X)$ denote the space of real-valued measures over $X$. This is a vector space over the real ...
- 4,713
1
vote
1
answer
410
views
Occupation times for two-state Markov processes
Consider a two-state Markov process in continuous time, with states labelled $A$ and $B$. The transition rates for going from state $A$ to $B$, and state $B$ to $A$ are $\alpha$ and $\beta$ ...
1
vote
1
answer
88
views
tail probability of max of Gaussians
I'm trying to follow an argument in C. Giraud's "High Dimensional Statistics" (2nd Ed, p. 11 / $\S$ 1.2.3). The specific page is accessible via Google Books here but the formatting is awful....
- 128k
1
vote
0
answers
349
views
Tail bounds for random Gaussian chaos?
Let $g = (g_1, \dots, g_d)$ be a sequence of independent standard Normal random variables, and suppose $\Sigma$ is a $d \times d$ (deterministic), real, symmetric, positive definite matrix. The Hanson-...
- 420
1
vote
0
answers
78
views
Canonical representation of the a probability distribution for Hammersley Clifford Theorem
I'm reading the following paper
http://www2.stat.duke.edu/~scs/Courses/Stat376/Papers/GibbsFieldEst/BesagJRSSB1974.pdf
On page 7 they give the result that
$$Q(\textbf{x}) = \sum_{1 \leq i \leq n} ...
- 903
5
votes
2
answers
2k
views
Central limit theorem for independent random variables, with a Gumbel limit
Consider independent random variables $Y_i$, $i>0$, such that $\mathbb{E}(Y_i)\approx \frac{1}{i}$ and $\text{Var}(Y_i)\approx \frac{1}{i^2}$, where $\approx$ means asymptotically equivalent up to ...
- 116
2
votes
2
answers
322
views
Integral of product of Hermite polynomials w.r.t marginal distribution of first two-coordinate of random vector on unit-sphere
This question is related to: https://math.stackexchange.com/q/4270522/168758
Let $H_n(x) \in \mathbb R[x]$ be the probabilist's $n$th Hermite polynomial. This an $n$th degree polynomial given by the ...
- 6,853