All Questions
Tagged with pr.probability asymptotics
163 questions
0
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0
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36
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Contribution of Fisher information near jump points in convolved probability distributions
I am trying to compute the contribution to the Fisher information from jump points $b_i(\theta)$ in the convolved function $f(x; \theta)$ with respect to the parameter $\theta$. I am unsure whether it ...
- 99
3
votes
1
answer
219
views
Interpretation of an asymptotic result in probability
A result in asymptotic theory says the following: Let $Y$ be a real random variable with full support and $E(|Y|)<\infty$. Assume that:
$$
(A)\quad \lim_{y\rightarrow \infty} \frac{\Pr(Y\geq y)}{\...
- 108
5
votes
1
answer
620
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Non-atomic probability measures on N
One can intuitively imagine picking a random natural number and ask to what extent the intuition can be axiomatized.
Using the axiom of choice, there is a total finitely additive (monotonic) averaging ...
- 7,545
3
votes
0
answers
145
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What is an example of a non-tight probability measure?
Billingsley (Convergence of Probability Measures, 1968) and van der Vaart and Wellner (Weak Convergence and Empirical Processes, 2023) discuss the concept of tight probability measures and use the ...
- 277
4
votes
1
answer
261
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Randomly removing length 1 intervals in an interval (a fragmentation process)
Short version: Start with a closed interval of length $t>0$ and repeatedly remove a random and uniformly distributed subinterval of length $1$ so long as this is possible. For $t$ large, what is ...
- 32.5k
2
votes
0
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114
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Asymptotic Independence of random walks from increments?
Suppose we have two random walks $(S_n:n\geq 1)$ and $(T_n:n\geq 1)$ building from independent identically distributed increment vectors $\{(X_k,Y_k):k\geq 1\}$, i.e. $S_n=\sum_{k=1}^n X_k, T_n=\sum_{...
- 715
1
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0
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122
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On the derivation of some asymptotic expressions involving combinatorics
My questions come from the supplementary material in a recent preprint Nonequilibrium statistical mechanics of money/energy exchange models. My first question comes from page 35. Specifically, suppose ...
- 730
1
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0
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170
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Asymptotic distribution of L infinity norm of Gaussian random vector
Let $\mathbf{X}_n = (X_{n,1}, \ldots, X_{n,n})$ be a $n$-dimensional random vector with $N_n( \mathbf{0}_n, \boldsymbol{\Sigma}_n )$ distribution. The asymptotic distribution of the $L_\infty$-norm of ...
- 119
4
votes
2
answers
427
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Binomial coefficient asymptotics
What is the probability that the number of heads in $n$ fair coin tosses is exactly $\lfloor n/2 + c\sqrt{n} \rfloor$
for $c \leq O(1)$, $n > \omega(1)$?
Of course the answer is
$$ \frac{1}{2^n} \...
- 359
5
votes
1
answer
240
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Asymptotic distribution of the extreme, standardized order statistics of uniform distribution?
Let $\{U_{k, n}\}_{k=1}^n$, denote the order statistics of a sample of $n$ iid uniform $[0, 1]$ variates.
Note that, marginally $U_{k, n}$ is distributed $\mathrm{Beta}(k, n+1 -k)$.
Therefore, let us ...
- 410
2
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0
answers
65
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Recursive sequence of renewal type : when does one term dominate them all?
Let $(b_n)_{n \geq 0}$ be an increasing sequence of non negative real numbers.
Let $(u_n)_{n \geq 0}$ be recursively defined by $u_0 =1$ and
$$u_{n} = \sum_{k=0}^{n-1} u_{k} b_{n-k}$$
Find a ...
- 468
13
votes
2
answers
398
views
Expected sorting time of random permutation using random comparators
In sorting networks, a comparator of positions $i < j$ is an operator which takes a permutation, checks if $p_i > p_j$, and if it is the case, swaps $p_i$ and $p_j$.
Using this, we can define ...
- 3,319
1
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0
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75
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Asymptotic behavior of sum of regularly varying function
In the proof of Lemma 4.9 of Beran et al (2013), the authors consider a strictly stationary time series $X = \{X_t, t \in \mathbb{N} \}$ with regularly varying autocovariance function $\gamma_X(k) \...
- 299
1
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0
answers
66
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CLT of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional random matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\...
- 284
1
vote
1
answer
84
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Asymptotic property of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional data matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\top.
...
- 284
1
vote
1
answer
233
views
Hypothesis to guarantee Lindeberg's condition
Imagine to have a set of random variables $\{ X_i \}_{i=1}^{n}$ independent (Non identically distributed). In these scenario, if the Lindeberg's condition hold we can extend the result of the CLT, i.e....
- 305
3
votes
2
answers
505
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Precise asymptotics for moments of order statistics of normal distribution
Let $X_1, \cdots, X_n \sim N(0,1)$ be i.i.d. normal random variates. I am interested in understanding the first two moments of the quasi-range $X_{(n)}-X_{(n-1)}$ (i.e., the maximum value minus the ...
- 151
4
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1
answer
489
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CLT convergence rate for sum of uniforms (in TV distance)
Suppose $X_1, \cdots, X_n \sim_{\mathrm{iid}} U([-1,1])$, where $U([-1, 1])$ denotes the continuous uniform distribution over the interval $[-1, 1]$ (so $E[X_i] = 0$ and $\text{Var}[X_i]= 1/3$). Let $...
- 43
1
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0
answers
107
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Term-wise expectation of the Taylor series for $1/X$ yields asymptotic expansion for $\mathsf EX^{-1}$. What are the conditions?
Migrated from the MSE.
Let $X\sim F_X$ denote a continuous random variable. Computing the first negative moment $\mathsf EX^{-1}$ (assuming it exists) may not be tractable and thus a common tactic is ...
0
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1
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103
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Approximating the expectation of trace inverse of random Gaussian combination
Consider a random matrix $A \in \mathbb{R}^{m\times n}$ with i.i.d. entries, with mean zero and variance 1 and $m <n $. Has anyone studied this expectation in asymptotics $$E_{A}(\mathrm{Tr}( (A^T ...
- 25
2
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1
answer
231
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Trace inverse of random PSD matrix?
Consider a random matrix $A \in \mathbb{R}^{m\times n}$ with i.i.d. entries, with mean zero and variance 1 and $m <n $. I am interested in the expectation of $$E_{A}(\mathrm{Tr}( (A^T A + \lambda \...
- 25
2
votes
0
answers
61
views
Approximate logarithmic bound on expected maximum via central limit theorem
If $Z_i$ are standard normal, possibly dependent, one can show that
$$E\left[\max_{i=1,...,M} Z_i^2\right]\leq 3\ln M + 1.$$
I'm looking for a similar (asymptotic) bound for asymptotically normal ...
- 203
3
votes
1
answer
135
views
Cycle counts in Ewens measure as $\theta$ diverges
For $w$ a permutation, let $c(w)$ denote the total number of cycles and $c_i(w)$ denote the number of $i$-cycles.
The Ewens measure is a one-parameter probability distribution on permutations where ...
- 1,989
3
votes
1
answer
271
views
For a random sequence $X_0, X_1, X_2, \ldots$ and $F_n$ the empirical CDF, does $F_n(X_0)$ converge to a uniform random variable?
Let $X_0, X_1, X_2, \ldots$ be a sequence of i.i.d. real-valued random variables on some probability space $(\Omega, \mathcal{F}, \mathbb{P})$ with continuous CDF $F(x)$ and define a sequence of ...
- 277
3
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1
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251
views
Another large noise limit
Note: Here all processes take values in $[0, 1]$.
Let $W$ be a standard one dimensional Brownian motion, and $\sigma > 0$ a constant.
Let $X$ be the solution to the SDE
$$dX_t = \sigma X_t \, dW_t$$...
- 6,165
5
votes
2
answers
193
views
Limit of the extremal process of i.i.d. Gaussians see from the tip
I'm trying to calculate the weak limit of $\mathcal{E}_N(x)=\sum_{k=1}^{2^N}\delta_{x-Z_k}$ , with $Z_k=X_k-\max_{k\leq 2^N}X_k$, $\{X_k\}$ being $2^N$ copies of i.i.d. Gaussians with mean zero and ...
- 715
1
vote
1
answer
160
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Estimates of product of eigenvalues gaps for Wigner matrices
Let $W_n$ be an $n\times n$ Wigner matrix$^{1}$, and let $\lambda_1\le \lambda_2\le \cdots \le \lambda_n$ be the eigenvalues of $\frac{W_n}{\sqrt{n}}$.
My question. For any fixed $i\in\{1,\dots,n\}$, ...
- 2,712
2
votes
1
answer
308
views
Maximum nearest neighbor distance for a Poisson point process
Is the maximum nearest neighbor distance between points of the process, over all the infinitely many points of a stationary Poisson point process of intensity $\lambda$ in $\mathbb{R}^d$, almost ...
- 3,098
3
votes
0
answers
95
views
Probability of winning a $k$-rounds coin toss game
Let $p,q \in [0,1]$ with $p>q$. I denote by $B_k(p), B_k(q)$ two independent random variables following the binomial distribution, with parameters $(k,p)$ and $(k,q)$ respectively.
Informal ...
- 131
6
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1
answer
261
views
Convergence speed of the tail of distribution using Tauberian remainder theorem
This question may be related to this one.
Now I try to make some statistical estimator using Laplace transform, but I face the following serious problem.
Let $f$ be some one-sided probability ...
- 284
4
votes
0
answers
179
views
As increasingly higher degree terms are added to a "random" polynomial, how fast do the roots approach the unit circle?
As increasingly higher degree terms are added to a "random" polynomial, the roots of a polynomial can be proven to approach the unit circle. For example, see the MathOverflow question Why ...
1
vote
0
answers
100
views
A sampling problem
I have a suspicion that the question I am about to ask is classical. I could not trace a reference, and I am really curious about the answer. Here is the question,
An urn contains $m$ balls ...
- 34.7k
4
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0
answers
96
views
Is this conjecture about the binomial and beta distributions true?
Let $X$ follow a binomial distribution with parameters $n$ and $p$, and also fix $k$ such that $1<k<n$. Define
$$a = \mathbb{E}(X-k)^+$$
and
$$b = \mathbb{E}\log\binom{X}{(X-k)^+}$$
where the ...
1
vote
0
answers
45
views
Is there a local limit theorem for functions of Gaussian random vectors?
Assume that $\sqrt{n} (\boldsymbol{Z}_n - \boldsymbol{\mu}) \stackrel{\mathcal{D}}{\longrightarrow} \mathcal{N}(\boldsymbol{0},\Sigma)$, as $n\to \infty$, for some $\boldsymbol{\mu}\in \mathbb{R}^d$ ...
- 219
3
votes
0
answers
169
views
Probabilistic behavior of greedy point selection in the plane
Let $\mathcal{X} = X_1,\dots,X_n$ be a collection of independent, uniform samples in the unit square. Let $\mathcal{S}=\{X_1\}$, and consider the following process: for $i=2,\dots,n$, let $x^*$ be ...
- 4,049
2
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1
answer
102
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Approximation of $\Phi (p)$
I am trying to find the asymptotic behavior (with respect to N) of the integral $$ \frac{2}{\sqrt{\pi}}\int_0^\infty \varPhi^{N-2}(p)e^{-p^2}\ dp. $$ In Rényi and Sulanke's paper Uber die konvexe ...
- 23
13
votes
2
answers
518
views
Asymptotics of a randomized Fibonacci sequence
Let $f(1)=f(2)=1$ and recursively define $f(n+1) = f(n) + f(i)$, where $i$ is chosen uniformly at random from $1,\ldots,n-1$. About how big should we expect $f(n)$ to be for $n$ large? We can examine ...
4
votes
1
answer
96
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Estimate of $\frac{\int x^{2p}\,e^{-x^{2n}\,+\,\omega(x,y)}\;dx}{\int e^{-x^{2n}\,+\,\omega(x,y)}\;dx}$
For every $x,y\in\mathbb R$ let
$$ V(x,y) \,\equiv\, a\,x^{2n} + b\,y^{2m} - \omega(x,y)\,$$
where $a,b>0$, $n,m\in\mathbb N$, $n\geq m\geq1$, and $\omega$ is such that $\omega(x,y)/(x^{2n}+y^{2m})...
- 311
3
votes
1
answer
153
views
Randomized version of Turán's theorem II
$\newcommand{\om}{\omega}$Let $\om(G)$ denote the number of vertices in a largest clique of an (undirected) graph $G$ with the set $[n]:=\{1,\dots,n\}$ of vertices. Then
\begin{equation}
\om(G)\ge\...
- 128k
5
votes
1
answer
209
views
Randomized version of Turán's theorem
Turán's theorem says the following.
Take any natural $n$ and $r$. Suppose that
\begin{equation*}
|G|>\Big(1-\frac1r\Big)\frac{n^2}2, \tag{0}
\end{equation*}
where $|G|$ is the number of edges of ...
- 128k
0
votes
1
answer
126
views
Perturbative approach starting from a probability distribution approximated form
I approximate a probability distribution $P_x(x)$ with a $P_x^{app}(x)$,
such that $P_x(x)-P_x^{app}(x) = O(\epsilon)$ uniformly in x, where epsilon is a small positive quantity.
Consider the generic ...
- 305
0
votes
1
answer
188
views
Asymptotic behavior of the Student's t-quantile function of Student's t-cumulative distribution function
Let's denote
$F_{t_u}^{-1}(x)$ the quantile function of the Student's t-distribution $t_u$ with $u$ degrees of freedom and
$F_{t_v}(x)$ the cumulative distribution function of the t-distribution $t_v$...
- 250
1
vote
0
answers
103
views
Convergence result on Cornish Fisher expansion of binomial distribution
Since it is known that Cornish Fisher expansion of quantiles does not have guaranteed convergence for all distribution, I wonder specifically if any convergence result is known in literature for CF ...
- 53
1
vote
1
answer
107
views
Tail bounds on random series in Hilbert space
Tail bounds on random series in Hilbert space
Let $X_n$, $n \in \mathbb {N}$, be independent $\pm 1$ symmetric random variables, and $a_n$,
$n \in \mathbb {N}$, be a sequence in a Hilbert space $H$ ...
- 11
2
votes
1
answer
101
views
If signed measures $\mu_n$ are such that $\mu_n\to\mu$ and $\|\mu_n\|\to c\in(0,\infty)$, does $\exp^*(\mu_n)/\|\exp^*(\mu_n)\|$ necessarily converge?
$\newcommand{\R}{\mathbb R}$Let $M$ denote the set of all finite signed measures on a separable Banach space $B$. For any $\mu\in M$, let
\begin{equation*}
\exp^*(\mu):=\sum_{k=0}^\infty\frac{\mu^{...
- 128k
2
votes
0
answers
170
views
The uniform “probability” on $\mathbf{N}$: What occurs beyond logarithmic density?
This is a follow-up to Question #47134. There is obviously no uniform probability distribution on $\mathbf{N}$ (or $\mathbf{Z}$); however, using the notion of amenability, you can show that any ...
- 284
0
votes
1
answer
80
views
Distribution of line segment intersections in random pointsets
let $P$ be a set of $n$ points that are uniformly distributet inside the unit square ore unit circle, and $L=\lbrace\ell_{ij}\rbrace := \lbrace \lbrace \alpha p+ (1-\alpha q)\rbrace\,|\,0\le\alpha\le ...
- 13.2k
9
votes
1
answer
350
views
Concentration inequalities for very rare events on a multiplicative scale
Let $E_1, \dots, E_N$ be independent events, each of probability $p$, where $p$ is very close to $0$. Let $A_N = \frac{1}{N} ( 1_{E_1} + \dots + 1_{E_N} )$ be the proportion of the events $E_i$ that ...
- 323
1
vote
0
answers
35
views
The asymptotic properties of $V$-statistic for mixing multivariate process
Suppose $\{X_t\}_{t \in \mathbb{Z}} \subseteq \mathbb{R}^d$ is a $\alpha$- or $\rho$-mixing process. Let $h (x, y) : \mathbb{R}^d \times \mathbb{R}^d \rightarrow \mathbb{R}$ be the symmetric kernel ...
- 331
0
votes
1
answer
39
views
The nonparametric estimation in generalized regression model
Let $Y_t \in \mathbb{R}$ be a response variable and $X_t$ a $d$-dimensional explanatory variable. Assume we observe the process that $(X_1, Y_1), \cdots, (X_n, Y_n)$.
\begin{equation}
Y_{t} = \mu(...
- 331