All Questions
Tagged with pr.probability st.statistics
1,134 questions
4
votes
1
answer
478
views
Order statistic - Rate of convergence of a p-quantile to the expectation
Fix some $k\in\mathbb N$ and some probability $p\in[0,1]$. Denote with $F_n$ the cdf of the k-th highest oder statistic (i.e. the distribution of the k-th highest draw) of $n$ draws from a uniform ...
- 43
0
votes
1
answer
77
views
Fourth moment of a random-variable with block-tridiagonal structure
Let x be a random variable in $\mathbb{R}^d$, $J$ a block tridiagonal $d\times d$ matrix, and probability of $x$ is defined as follows
$$p(x)\propto \exp(-x'Jx)$$
For a fixed $d\times d$ matrix $v$ ...
- 128k
1
vote
1
answer
285
views
Exponential upper bounds for sums of martingale differences
Let $(X_{i})_{i\geq 1}$ be a sequence of centered real-valued martingale-differences with respect to some filtration $(\mathcal{F}_{i})_{i \geq 1}$. Define $S_{n} = \sum_{i=1}^{n}X_{i}$ and $\Sigma^{2}...
- 65
3
votes
0
answers
230
views
Expectation of angle between two vectors in the image of a gaussian random matrix
Let $m$ and $n$ be large positive integers (going to infinity), and let $W$ be a random matrix of size $n \times m$ with iid entries from $N(0,1/m)$. Let $x,y \in \mathbb R^m$ be deterministic vectors,...
- 6,853
2
votes
2
answers
303
views
Expectation of the determinant of the inverse of non-central Wishart matrix
Let $A$ be $(n,n)$ central Wishart matrix with $k$ degrees of freedom.
my question is there is a way to estimate the expectation of:
\begin{align}
E[det(I+(I+A)^{-1})]
\end{align}
- 7,514
4
votes
1
answer
156
views
When does a gaussian quadratic form converge (in probability) to a constant?
Let $(h_{ij})_{i,j \in \mathbb N}$ be a sequence of real numbers (deterministic) and let $x_1,\ldots,x_n,\ldots$ be a sequence of iid $N(0,1)$ randm variables. For each positive integer $n$, consider ...
- 6,853
1
vote
1
answer
193
views
Compute limit of $\mathbb P(Y \le X_n)$ using limiting information on the sequence of random variables $X_n$
Let $Y$ be a symmetric random variable, $(X_n)_n$ be a sequence of nonnegative random variables, and set $p_n = \mathbb P(Y \le X_n)$. It is known from Slutsky's theorem that, if $c$ is a constant ...
- 128k
1
vote
1
answer
141
views
Central limit theorem for chi-squared random field on $\mathbb R^p$
Let $X:x \mapsto X(x)$ be a centered stationary Gaussian process on the $\Omega:=\mathbb R^p$, such that $X(x) \overset{d}{=}X(x')$ for all $x,x' \in \Omega$. Set $\sigma^2 := \mbox{Var}(X(0)) = \...
- 128k
0
votes
1
answer
208
views
The distribution of the power of the sum of inner products of two independent complex normal vectors
If I have $\mathbf x_n=[x_0, x_1,... ,x_K]^T$ and $\mathbf y_n=[y_0, y_2, ..., y_K]^T$, where $x,y\sim\mathcal C\mathcal N(\mathbf 0,\sigma^2\mathbf I)$.
What is the distribution of the following ...
CommunityBot
- 1
0
votes
0
answers
173
views
The reason why a test is undersized?
Now I have a statistic $T_n$ for testing $H_0 \leftrightarrow H_1$, and I have proved that:
$$n T_n \rightarrow_d \chi_K^2$$
under $H_0$. Then an asymptotic $\chi^2$ test can be used, an asymptotic ...
- 331
21
votes
3
answers
5k
views
James-Stein phenomenon: What does it mean that a James-Stein estimator beats least squares estimator?
Background James-Stein estimator and Stein's phenomenon, as described in Wikipedia are rather counterintuitive and amazing.
It is claimed that if one wants to estimate the mean $\Theta$ of
Gaussian ...
- 2,791
1
vote
0
answers
177
views
Probability of satisfying the congruent mod equation
I'm wondering about the probability of picking three different numbers $x,y,z$ out of the set $[50]=\left\{ 1,2,3,...,50\right\}$ satisfying the equation: $$xyz\equiv \gcd(x,y,z)\mod 7$$ I started out ...
- 39.8k
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
5
votes
3
answers
601
views
Monte Carlo simulations
I was wondering what were the models of statistical physics that are still considered difficult/slow to simulate (exactly, or approximately) with the current technology of Monte Carlo approaches. I ...
- 3,065
3
votes
0
answers
58
views
Projection onto column space perturbed by Gaussian noise
Suppose we have a matrix $X\in\mathbb{R}^{m\times n}$ (with $n \le m$) with iid standard Gaussian entries, and suppose we have noise matrix $W\in\mathbb{R}^{m\times n}$ with iid Gaussian entries, but ...
- 141
3
votes
1
answer
88
views
If $X \sim N(0,I_m)$, what is a necessary and sufficient condition on $u_m > 0$ such that $\lim\sup_{m\to \infty} P(\|X\|^2 \ge u_m|X_1|) = 1$
Let $m$ be a large positive integer and $X=(X_1,\ldots,X_m) \sim N(0,I_m)$. I wish to show that the squared norm of $X$ is much much bigger than the absolute value of any of the $X_j$'s. For example, ...
- 128k
1
vote
1
answer
149
views
Asymptotics of $\chi_m$-distribution where the degree of freedom $m \to \infty?$
I'm interested to see a result where for large degree of freedom $m,$ the chi distribution $\chi_m$ is increasingly well approximated by a family of normal distributions with parameters depending on $...
- 1,467
0
votes
1
answer
428
views
First and last order statistics and their ratio for $\chi^2_{m}$ random samples
Let $X_1, \dots, X_n \sim_{iid} \chi^2_{m}$ be a random sample from a chi-squared distribution with $m$ degrees of freedom (d.f.). I was wondering if there's any known result for the order statistics
$...
- 5,429
0
votes
2
answers
174
views
Asymptotic properties of ANOVA when the number of groups goes to infinity
Suppose
$$X_{ij} = \mu_j + \varepsilon_{ij}, \quad j = 1, \cdots, J, \quad i = 1, \cdots, N_j$$
ANOVA can allow us to test whether $\mu_1 = \cdots = \mu_J$.
In traditional ANOVA, however, the number ...
- 364
4
votes
1
answer
320
views
The power of chi-square test
Under the null hypothesis, if we have
$$\sqrt{n} \vec{x} \, \rightarrow_d \, N(0, I_p),$$
the test statistic can be construct as:
$$\hat{\Psi} = n \vec{x}^{\top} \vec{x} \, \rightarrow_d \,\chi^2_p.$$
...
- 555
1
vote
0
answers
212
views
A new notion of probability coupling
Let $X$ and $Y$ be two discrete random variables distributed according to $\mu$ and $\nu$, respectively. Consider the following optimization problems
$$\inf_{\pi\in \Pi(\mu, \nu)}\Pr(X\neq Y),$$
...
- 1,109
3
votes
0
answers
198
views
Minimizing an f-divergence and Jeffrey's Rule
My question is about f-divergences and Richard Jeffrey's (1965) rule for updating probabilities in the light of partial information.
The set-up:
Let $p: \mathcal{F} \rightarrow [0,1]$ be a ...
- 101
11
votes
2
answers
78k
views
Coin pusher game
While doing laundry at my local laundromat, I saw a coin pusher game. Below is a picture, and here is a video depicting how it works (disregard non-coins).
Essentially, one has a distribution of ...
- 63.9k
1
vote
0
answers
131
views
Almost sure stochastic equicontinuity
Suppose $\mathcal{G}$ is a normed closed class of functions with finite entropy and envelope with a finite second moment (details below), and $g_0$ is a function in the interior of that class. Let $...
CommunityBot
- 1
2
votes
1
answer
155
views
Kalman filter distribution of observation process
Let $(X_t,Y_t)$ be a pair of stochastic processes such that
$$
\begin{aligned}
dX_t =& A_t X_t dt + C_t dW_t,\\
dY_t = & H_t X_t dt + K_tdB_t
\end{aligned}
$$
for some non-random matrix-valued ...
- 4,361
1
vote
1
answer
189
views
If a Markov semigroup is eventually contractive, can we conclude that it admits a unique invariant measure?
Let $E$ be a separable $\mathbb R$-Banach space, $\rho$ be a complete separable metric on $E$, $\operatorname W_\rho$ denote the Wasserstein metric of order $1$ associated to $\rho$, $\mathcal M_1(E)$ ...
- 29.8k
0
votes
1
answer
75
views
Density function approximation with respect to $L^1$ distance
Given iid samples $X_1,...,X_N$ drawn from some unknown distribution with not necessarily continuous density function $f(x)$ are there any theorems/papers where based on the data $X_1,...,X_N$ an ...
- 4,729
2
votes
0
answers
68
views
Approximate any point of the interval $[-1/2,1/2]$ by the sum of $n$ iid uniform random variables from $[-1,1]$
Let $x \in [-1/2,1/2]$ and $X_1,\ldots,X_n$ be drawn iid from the uniform distribution on $[-1,1]$.
Question. Given $\varepsilon \ge 0$ an integer $k \in [1,n]$, what is a good lower-bound on the ...
- 6,853
1
vote
2
answers
302
views
how to derive stationary distribution of maximal entropy random walk
I was reading the paper 0810.4113v2, burda, which analyzed the stationary distribution maximal entropy random walk on the irregular lattice. I am confused on some of the steps.
Description:
The ...
- 171
2
votes
1
answer
122
views
How is this bound for a Wasserstein contraction coefficient in this paper obtained?
I'm trying to understand the following conclusion from this paper (see below for the relevant paragraphs):
I'm not sure whether they really mean that it follows from the statements of Lemma 3.2 (...
- 230
0
votes
1
answer
694
views
expectation of the trace of the square root of wishart matrix
Let $X(N,N)$ be Wishart matrix with rank(X)=K in order to estimate the expectation of the trace of the square root of X i.e $X^{1/2}$ I want to know if is possible to use the unordered Wishart ...
- 188k
0
votes
1
answer
179
views
How to show $\max_{1\leq i\leq n}(X_i+Y_1)\preceq \max_{1\leq i\leq n}(X_i+Y_i)$?
Let two collections of random variables $\{X_i\}$ and $\{Y_i\}$ be independent and let $\{Y_i\}$ be i.i.d. Then
$$\max_{1\leq i\leq n}(X_i+Y_1)\preceq \max_{1\leq i\leq n}(X_i+Y_i).$$
where $\...
- 128k
1
vote
1
answer
1k
views
the distribution of Singular value of rectangular gaussian matrix
the singular value decomposition of an $m\times n$ random Gaussian matrix ${\displaystyle \mathbf {M} }$ is a factorization of the form ${\displaystyle \mathbf {U\Sigma V^\ast} }$, ${\displaystyle \...
- 3,209
1
vote
1
answer
259
views
Test for OU-Process
Suppose that I'm given a sample from time-series $(x_n)_{n=1}^N$ and want to decide if it comes from an OU process or not. Is there a (rigorous) test I can use?
So far, everything I've seen is hand-...
- 128k
11
votes
1
answer
3k
views
Which books should I read in order to be prepared to study information geometry?
At the moment, I am preparing my master's thesis (in statistics) and I intend to keep studying in order to pursue a doctoral degree. To be precise, I am mainly interested in studying Information ...
CommunityBot
- 1
0
votes
0
answers
136
views
expectation of the exponential of the inverse of variable with Marchenko–Pastur distribution
This question is related to another answered before
distribution on the inverse Wishart matrix eigenvalues summation
my question is, is their finite expression for the expectation of
\begin{align}
{\...
- 377
-1
votes
1
answer
113
views
Approximating expectation of exponential of Wishart matrix
I am trying to obtain an Approximating expectation of exponential of Wishart matrix $X (N,N)$ with $\operatorname{rank} (X)=K$defined as:
\begin{align}
J = E[{e^{{v^H}Xv}}]
\end{align}
where $v$ is $...
- 188k
0
votes
0
answers
250
views
Concentration (or two sided tail bounds around expectations) of maximum and minimum of $n$ iid, subgaussian random variables
I asked this on MSE, but got no answer, hence asking here now. Help appreciated!
My question is motivated by this question and this question, where the first was aimed for giving a one sided tail ...
- 1,467
0
votes
1
answer
105
views
Independence in a sequential problem with observations getting added to buckets
Consider a sequence of random observations $(O(t))_{t\geq 1}$, with $O(t)=(D(t),J(t),Y(t))$. Denote $\mathcal{F}(t) := \sigma(O(1),\ldots,O(t))$, the filtration induced by the first $t$ observations.
...
- 301
1
vote
1
answer
198
views
Approximating expectation of the trace of inverse of a Gaussian random matrix combination
In order to characterize the performances of MIMO systems that depend directly on the distribution of the eigenvalues of random Hermitian matrix so I would like to feature the quality of some ...
- 63.9k
0
votes
1
answer
101
views
Is "$\mathbb{E}(T_n|X)\rightarrow 0 $ a.s." equivalent to a statement that does not involve the Radon–Nikodym derivative as a black box?
Let $\{T_n\}_n$ be a sequence of random variables, and let $X$ be another random variable.
Each $\mathbb{E}(T_n|X)$ is a random variable, therefore the statement "$\mathbb{E}(T_n|X)\rightarrow 0$ ...
- 128k
0
votes
0
answers
141
views
What is the distribution of the norm of the multivariate $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d?$
Let $X \sim \mathcal{N}(\mu, \Sigma) \in \mathbb{R}^d$ follow a multivariate normal distribution. Then what's the distribution (PDF, CDF etc.) of $X?$ When $\mu = 0, \Sigma = I_d,$ we know that $||X||...
- 1,467
1
vote
0
answers
64
views
Dependence rank: what is the size of the largest subcollection of random variables which is statistically independent?
Let $X_1,\ldots,X_p$ be random variables on the same space. Define their dependence rank, denoted $rank(X_1,\ldots,X_p)$ as the largest nonnegative integer $k$ such that there is a subcollection of $k$...
- 6,853
0
votes
1
answer
58
views
Good upper-bound for $\mathbb E_A[e^{-t\|A\|_2}]$, for $t\ge0$ and random m by n matrix with iid entries with law $N(0,1)$
Let $A$ be a random $m$-by-$n$ matrix with iid $N(0,1)$ entries, $m$ and $n$ large with $n/m \longrightarrow \alpha \in (0, 1)$ . Let $\|A\|_2$ be the largest singular value of $A$ (i.e the spectral ...
- 188k
2
votes
2
answers
107
views
Non-parametric regression and curvature
Given a finite set of points $(x_1, y_1), (x_2, y_2), \ldots, (x_n, y_n)$ in the plane, Linear Regression tells us how to find the straight line "$y=a+bx$" best approximating the given points, in the ...
- 8,071
3
votes
0
answers
307
views
Upper-bound for eigenvalues of $E [UU^T]$, where $U$ is uniformly distributed on the unit $n$-sphere
Let $X$ be a $\sigma$-subGaussian random vector on $\mathbb R^n$ (for large $n \ge 3$), meaning that the random variable $X^Tv$ is $\sigma$-subGaussian for every unit vector $v \in \mathbb R^n$. ...
CommunityBot
- 1
0
votes
1
answer
208
views
Local behavior of the Vandermonde convolution
An interesting combinatorial identity is the Vandermonde convolution identity:
$$ \sum_k {n\choose k}{m\choose s-k} = {n+m \choose s},$$
which can be proved by considering the coefficients in $(x+1)^{...
CommunityBot
- 1
0
votes
2
answers
251
views
Martingale optional stopping before a stopping time
Here’s an easy one, I hope:
Suppose $\tau$ is a stopping time and $(M_t)$ is a martingale which together satisfy the hypotheses of the optional stopping theorem so that $\mathbb{E}[M_\tau]= \mathbb{E}...
- 1,989
4
votes
0
answers
638
views
Comparison of concentrations of different $L^p$-norms of (sub) Gaussian distributions
It's well-known that the Euclidean $2$-norm of subgaussian random vectors concentrates in high dimensions, e.g. when $X \sim \mathcal{N}(0,I_n),$ (or in general $X$ is subgaussian with independent co-...
- 1,467
2
votes
0
answers
109
views
Tightness of Hilbert-space-valued arrays
Let $\mathcal{H}$ be a separable Hilbert space. Assume we have some triangular array $W_{n,j}, j=1, \ldots ,n $ of $\mathcal{H}$-valued random elements with $\mathbb{E} \Vert W_{n,j} \Vert_{\mathcal{H}...
- 83