All Questions
83 questions
2
votes
1
answer
105
views
Inequality for Gaussian measures
Let $\mu$ denote a centered Gaussian measure on $\mathbb{R}^k$, $K=(-\infty, a] \times \mathbb{R}^{k-1}$ ($a\ge 0$) and $L=\mathbb{R}\times C$ where $C$ is a convex set in $\mathbb{R}^{k-1}$, ...
- 197
2
votes
0
answers
55
views
stochastic process and integral
Let $(X_n(t))_{t\in [1,+\infty], n\geqslant 1}$ be a sequence of nonnegative random variables and $(\mathcal{F}_s)$ a filtration ($\mathcal{F}_s \subset \mathcal{F}_r$ for $s\leqslant r$). We assume ...
- 29
0
votes
0
answers
87
views
Comparison between the expected values of the inverse of the CDF of binomial-distributed random variables
Let us denote with $F(x;j,\mu)$ the cdf of a Binomial distributed random variable with $j$ trial with success probability $\mu$ considered in $x$, and let $f(x;j,\mu)$ be the pmf. Defining $0\leq \...
7
votes
1
answer
556
views
A variation on the Borel–Cantelli lemma theme
Let $X,X_0,X_1,\dots$ be nonnegative independent identically distributed (i.i.d.) random variables. Let
\begin{equation*}
E:=\bigcap_{n\ge0}B_n,
\end{equation*}
where
\begin{equation*}
B_n:=\...
- 128k
1
vote
1
answer
186
views
Kolmogorov inequality for Bernoulli random variables
This question is also asked on math stackexchange. The question is about one inequality which shows in Kolmogorov's paper (inequality (3.1)) but is not proved. The inequality says that, if we assume $...
- 33
5
votes
1
answer
516
views
Bounding the variance of a truncated Gaussian random variable
Suppose $X_1, X_2, X_3 \sim N(0, 1)$ are three independent standard normal random variables. I am interested in showing that:
$$\text{Var}[X_2\mid X_2 \geq X_1 - a, X_1 \leq X_3 + b] < 1,$$
where ...
- 269
1
vote
0
answers
68
views
A one-sided/monotone version of min/max-stable distributions -- does this have a name?
In a couple of papers I am working on (in random graph theory) I have encountered the following property of certain probability distributions, which I will describe shortly, and I am wondering if this ...
- 111
3
votes
1
answer
346
views
Simple anticoncentration bound for binomially distributed variable
The following question, which arose during my research, seems deceivingly simple to me, but I could not find any elegant and formal argument.
For a binomially distributed variable $X \sim \text{Bin} \...
- 85
0
votes
1
answer
188
views
Equality cases in a certain case of Jensen's inequality
Suppose that $Y$ is an independent copy of a random variable (r.v.) $X$ with a zero-mean nondegenerate distribution. Is there a non-tautological, preferably simple characterization of the cases when
$$...
- 128k
1
vote
1
answer
97
views
A strict inequality for the $L^1$-norm of a symmetrized zero-mean random variable
Suppose that $Y$ is an independent copy of a random variable (r.v.) $X$ with a zero-mean nondegenerate distribution. Is it then always true that $E|X-Y|>E|X|$?
To get the non-strict version of ...
- 128k
4
votes
0
answers
131
views
Log of a truncated binomial
Let $X$ follow a binomial distribution with $n$ trials and success probability $p$, and let $0\leq k\leq n$. Are there any natural approximations or bounds for the ratio $$\frac{\boldsymbol{E}\log\...
- 4,049
1
vote
1
answer
362
views
An inequality involving the Wasserstein distance and chi-squared distance
$\newcommand{\N}{\mathbb N}$Let $P$ be the set of all probability mass functions on $\N_0:=\{0\}\cup\N$, where $\N:=\{1,2,\dots\}$. Let $P_{>0}$ denote the set of all $q=(q_0,q_1,\dots)\in P$ such ...
- 128k
7
votes
2
answers
392
views
On a von Bahr–Esseen-type inequality for pairwise independent zero-mean random variables
For $p\in(1,2)$, let $C_p$ be the smallest constant factor $C$ in the von Bahr–Esseen-type inequality
\begin{equation}\label{eq:pair}\tag{1}
E\Bigl\lvert\sum_{j=1}^n X_j\Bigr\rvert^p\le C\sum_{j=1}...
- 128k
1
vote
1
answer
251
views
Using Hoeffding inequality for risk / loss function
I've got a question to the Hoeffding Inequality which states, that for data points $X_1, \dots, X_n \in X$, which are i.i.d. according to a probability measure $P$ on $X$, we find an upper bound for:
$...
- 13
2
votes
0
answers
69
views
A distribution $\pi \propto \exp(-f)$ satisfies log-Sobolev inequality, does $\exp(-af)$ also satisfy LSI?
Assume a distribution $\pi \propto e^{-f}$ satisfies log-Sobolev inequality (LSI)
$$\forall \rho \in P(\mathbb{R}^n), \quad KL(\rho\| \pi) \le \frac{1}{2\lambda} I(\rho \| \pi)$$
with LSI constant $\...
- 21
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 $y>0$,
$$A(s,t,y):=\int_s^t\frac{k(u,y)}{1+a(u)}...
user478492
5
votes
1
answer
512
views
Concentration inequality for Hilbert space valued random variables
I have read in a paper about the following result:
Let $V$ be a separable Hilbert space and $(\Omega,A_{\Omega},P)$ a probability space. Suppose that $Y_1,Y_2,...$ is a sequence of independent $V$-...
- 115
6
votes
1
answer
1k
views
Variance of the norm of a random variable under finite-moment assumptions
There is the following exercise in Vershynin's book on High-Dimensional Probability.
Exercise 3.1.6:
Let $X = (X_1, \dots, X_n) \in \mathbb{R}^n$ be a random vector with independent coordinates $X_i$ ...
- 163
2
votes
2
answers
161
views
Determine the affine envelope of a random process's MGF
Suppose that a stationary random process $S(t)$ can be characterized as the figure below, which for most of the time is a straight line $S(t)=c\cdot t$, but occasionally would "stall" for a ...
- 265
2
votes
1
answer
136
views
Does higher volatility of SDE imply lower probability of staying positive?
Given two SDEs $X^1$, $X^2$ :
$$X^i_t=1+t+\int_0^t\sigma_i(s)dW_s,\quad \forall t\ge 0,$$
where $\sigma_i:\mathbb R_+\to [1/2,1]$ are non-decreasing s.t. $\sigma_1(t)\le \sigma_2(t)$ for all $t\ge 0$....
- 1,334
2
votes
1
answer
138
views
Comparison between $\|X\|_2$ and $\|X\|_{2,1}$
For any real random variable $X$, define
$$\|X\|_{2,1}=\int_0^\infty \sqrt{\Pr(|X|>t)}dt.$$
This quantity (it is not a norm) appears in various problems, e.g. the multiplier central limit theorem (...
- 197
0
votes
1
answer
133
views
How to demonstrate a correlation inequality? [closed]
If there are 3 vectors X, Y, Z of the same length, for any $x_i \in X,y_i \in Y,z_i \in Z$, we have $0<x_i<1,0<y_i<1,0<z_i<1$.
The correlation between Z, Y is greater than between X, ...
- 11
4
votes
0
answers
96
views
Is this conjecture about the binomial and beta distributions true?
Let $X$ follow a binomial distribution with parameters $n$ and $p$, and also fix $k$ such that $1<k<n$. Define
$$a = \mathbb{E}(X-k)^+$$
and
$$b = \mathbb{E}\log\binom{X}{(X-k)^+}$$
where the ...
3
votes
0
answers
169
views
Probabilistic behavior of greedy point selection in the plane
Let $\mathcal{X} = X_1,\dots,X_n$ be a collection of independent, uniform samples in the unit square. Let $\mathcal{S}=\{X_1\}$, and consider the following process: for $i=2,\dots,n$, let $x^*$ be ...
- 4,049
2
votes
1
answer
198
views
Bounds for the beta CDF
This question is closely related to a previous question that I asked here:
An inequality involving the beta distribution
Let $a,b$ be strictly positive integers, and let $F_{a,b}(x)$ denote the CDF ...
- 4,049
4
votes
0
answers
146
views
An inequality for three iid random variables with a log-concave density
It was previously shown that
$$H\ge cG,\tag{1}$$
where $c:=1/14334$,
$$G:=E|X-Y|,\quad H:=E|X-Y|-\tfrac12\,E|X+Y-2Z|,$$
and $X,Y,Z$ are independent random variables with the same log-concave density.
...
- 128k
5
votes
1
answer
150
views
Kullback–Leibler chains
The following question was asked and then deleted by the post author:
Let $P$ and $Q$ be two probability distributions defined over the same space, with $KL(P \parallel Q) < \infty$. For $\epsilon ...
- 128k
5
votes
1
answer
225
views
Anti-concentration of Gaussian when conditioning on event
Let $v$ be a given vector with $\|v\|_{\Sigma^{-1}} \leq 1$, where $\Sigma$ is a positive semi-definite matrix and $\|v\|_{\Sigma^{-1}} = \sqrt{v^\top\Sigma v}$. Meanwhile, let $u$ be a random vector ...
- 1,127
1
vote
1
answer
207
views
Expectation of the sum of the squares of the cardinal of an inverse function
I sample a random one-to-one function $\pi:\{0\,;\,1\}^n\to\{0\,;\,1\}^n$. I define $f$ as:
$$\forall x\in\left[0\,;\,2^n-1\right]\cap\mathbb{N},f(x)=x\oplus\pi(x)$$
where $\oplus$ is the bitwise XOR.
...
- 167
1
vote
1
answer
107
views
Tail bounds on random series in Hilbert space
Tail bounds on random series in Hilbert space
Let $X_n$, $n \in \mathbb {N}$, be independent $\pm 1$ symmetric random variables, and $a_n$,
$n \in \mathbb {N}$, be a sequence in a Hilbert space $H$ ...
- 11
0
votes
1
answer
966
views
Bound the norm of sum of random vector that generated from standard basis
I have a question like this:
Consider $N$ samples $X_1, X_2, ..., X_N$ that uniformly random generated from standard basis $\{e_i, i=1,2,...,d\}$, i.e. $(1,0,0,\cdots,0),(0,1,0,\cdots,0),(0,0,1,0,\...
- 25
0
votes
1
answer
159
views
Best bounds on the integral of an increasing function
The following question, somewhat edited here, was asked and then closed at The best bound of the integral of a nondecreasing real function in a closed interval.
Let $F\colon[0,1]\to[0,1]$ be a ...
- 128k
0
votes
1
answer
133
views
Projection onto manifold of Gaussian measures by "trunction" of moments
Let $\mathcal{P}_2(\mathbb{R}^n)$ be the set of Borel probability measures on $\mathbb{R}^n$ with finite mean and variance; in the sense that
$$
\int_{x \in \mathbb{R}^n} \|x\|^p d\mathbb{P}(x) < \...
- 5,405
0
votes
1
answer
340
views
Expectation of the ratio of two discrete random variables with combinatorial constraints
We are given a set $S=\{1, 2, \ldots, n\}$ where $n\gg 1$, and for all indices $1\le i \le n$, $i$ is associated with a real value $\alpha_i\!\cdot\! v_i$, where $\alpha_i\in[0,1]$ and $v_i\in(0,1]$.
...
- 1,677
2
votes
0
answers
84
views
approximate the square of 2-norm distance between binary distributions with high probability
Suppsose we take $m$ samples from a Bernoulli distribution with probability $p$, and $m$ samples from another probability distribution with probability $q$. We want to calculate a statistic $x$ from ...
- 1,503
10
votes
3
answers
803
views
Discrete entropy of the integer part of a random variable
Let $X$ be a real valued random variable. Of course, the integer part $\lfloor X \rfloor$ of $X$ is a discrete random variable taking values in $\mathbb{Z}$. We can therefore define its discrete ...
- 2,306
1
vote
1
answer
335
views
Finding a connection between two types of convergence
Please, help me find connections between two types of convergence:
Let $\{X_n\}_{n\ge1}: (\Omega,F,P) \rightarrow (\mathbb{R},Bor)$ be a sequence of r.v., there are two convergences:
1) $X_n \...
- 31
0
votes
1
answer
199
views
Is this probability inequality true?
This question may be simple, though I'm not managing to find an answer. Let $X$ and $Y$ be two dependent random vectors in in $\mathbb{R}^d$, with joint probability density $\mu(x,y)$ (with respect to ...
- 195
3
votes
2
answers
1k
views
Expected value of a truncated binomial
Let $X\sim B(n,p)$ be a binomial random variable and fix $0<k<n$. Are there any well-known bounds for $\mathbb{E} (X-k)^+$, where $(X-k)^+ =\max\{0,X-k\}$? I am particularly interested in ...
- 4,049
1
vote
1
answer
144
views
A uniform mixture of order statistics
Let $0<k<n$ be integers, and let $X$ be a random variable obtained as follows: sample $n$ points independently and uniformly at random in the unit interval, and select (uniformly) one of the $k$...
- 4,049
3
votes
1
answer
431
views
Inequality on the Hellinger distance between Poisson and mixture of Poisson
Let $H$ denote the Hellinger distance; i.e., for two discrete distributions $p,q$ (identified with their pmf) over $\mathbb{N}$,
$$
H(p,q)^2 = \frac{1}{2}\sum_{n=0}^\infty \left(\sqrt{p(n)}-\sqrt{q(n)}...
- 1,372
4
votes
3
answers
161
views
Find distribution that minimises a function of its moments
Imagine a probability density function $f(x)$, defined for positive $x$, and let's note its $n$th non-centred moment $x_{n}$. The mean $x_{1}$ is fixed (and positive).
How can I find $f(x)$ that ...
- 223
4
votes
3
answers
300
views
Reconstructing probability distribution with high probability
Sample $m$ times from unknown probability distribution $p=(p_1,p_2,\cdots,p_n)$, we can construct a probability distribution $q=(q_1.q_2,\cdots,q_n)$.
How large $m$ should be to achieve that the ...
- 1,503
2
votes
1
answer
90
views
A probability inequality: $p+(1-p)E[v|v\geq a] \geq E[v|v \geq p+(1-p)a]$
There is a random variable $v \sim F(\cdot)$ with support $[0,1]$. For a parameter $p \in (0,1)$ and $a \in (0,1)$. Define $A$ and $B$ as the following:
$$A=p+(1-p)E[v|v\geq a], B=E[v|v \geq p+(1-p)a]$...
- 121
7
votes
3
answers
3k
views
expected value of squared infinity norm of vector of iid gaussians
Given a random vector
\begin{equation}
x=(x_1, \ldots, x_n)
\end{equation}
with independent and identically distributed entries $x_i \sim \mathcal{N}(0,\sigma^2)$, I would like to find a lower ...
- 237
0
votes
1
answer
339
views
Expectations, double integrals and Jensen's inequality
$\def\anonfunc#1{#1(\cdot)}$Consider two random variables distributed $v\sim \anonfunc G$ and
$c \sim \anonfunc F$ with pdfs $\anonfunc g$ and $\anonfunc f$. Let the supports of $c$ and
$v$ be $[x,y]$....
- 13
2
votes
1
answer
222
views
Does the inequality $\mu F(\mu)^2\geq \int_{\mu}^{b}F(x)\cdot(1-F(x))\,\mathrm dx$ hold for compactly supported continuous random variables?
This question was originally asked on the Mathematics StackExchange by User smcc
Consider a continuous random variable $V$ with cumulative distribution function $F$ and density function $f$. Suppose ...
- 1,326
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
5
votes
0
answers
205
views
Strange inequality relating Binomial pmf and cdf
I'm encountering a strange inequality I need to prove, relating the Binomial pmf and cdf.
Suppose we have $n$ coin flips, and fix an arbitrary $k \le n/2$ heads. Suppose further that we have some ...
- 101
3
votes
1
answer
364
views
Can anyone give a reference to the proof of this concentration inequality?
The following concentration inequality for the supremum of a Gaussian process indexed by a separable metric space appears here: http://math.iisc.ac.in/~manju/GP/6-Concentration%20and%20comparison%...
- 123