All Questions
Tagged with pr.probability probability-distributions
1,384 questions
0
votes
0
answers
16
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A question on Ibragimov's theorem on strong unimodality
I am not a mathematics student and unfortunately have some confusion about a (well-known) theorem about strong unimodality of distributions. First of all let me clarify some terminologies and then ask ...
- 51
-1
votes
0
answers
25
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Estimate the value of the PDF $P(f)$ at the minimal $f_0$ of the random-variable function $f(\mathbf{x})$
Let $f(\mathbf{x})=f(x_1,x_2,\dotsc,x_N)$ with $N>2$ be a real and continuous function and $f(\mathbf{x})\ge f_0$ for any $\mathbf{x}\in\mathbb{R}^N$. Now let $x_1,x_2,\dotsc,x_N$ be the i.i.d. ...
- 375
1
vote
1
answer
54
views
Proving bound on expectation of likelihood ratio involving mixtures
Let $p$ be a Lebesgue density function with infinite support (i.e. $p(x)>0 \forall x\in \mathbb{R}$ and $\int p(x) dx = 1$). Moreover, assume that $p$ is even (i.e. $p(x) = p(-x)$) and unimodal: $p(...
- 13
-3
votes
0
answers
136
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Approximation on Dirichlet's arithmetic progression by means of central limit theorem
In this video lecture on
Number theory over function fields taught by Will Sawin
is presented a 'conceptional' reason for error estimation
$\#\{p \in \Bbb P: p =a \ \text{mod} \ N, p <x \}
=\frac{1}...
- 619
0
votes
2
answers
126
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Unique coupling
Let $X$ be a Polish metric space, and let $\mu,\nu$ be two Borel probability measures on $X$, when is the product measure the only coupling of $\mu$ and $\nu$. More formally, let $$\Gamma(\mu,\nu):=\{\...
- 245
1
vote
0
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91
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How to optimize parametric information-theoretic bounds?
I am faced with an information-theoretic upper bound, such as
\begin{align}
\sqrt{\alpha'}2^{I_\alpha(X;Y)},
\end{align}
where $I_\alpha(X;Y)$ is the Rényi mutual information with parameter $\alpha>...
- 287
0
votes
1
answer
51
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Reconstruction of law of diffusion process from call option values
Let $X_{\cdot}$ be a $1$-dimensional diffusion process. If I know the value of the
$$\big\{\mathbb{E}[\max\{X_t,c\}\big| X_0 =x\big]:\, c\in \mathbb{R} \text{ and } \,\, t\in (0,1] \big\}.$$
Then, ...
- 5,405
1
vote
1
answer
51
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How do the total variation distances of the marginals relate to the total variation distance of the joint under independence?
Suppose there are two sets of random variables $X_1,...,X_n$ and $Y_1,...,Y_n$ with all the variables being defined over the same sample space, but not necessarily being identically distributed. Is ...
2
votes
0
answers
43
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A distribution defined via an ODE for its Laplace trnsform
Fix a parameter $0 < c < \infty$.
As the solution to a certain problem,
there is a probability density function $f_c(t)$ on $0 < t < \infty$ with mean $1$ and
whose Laplace transform $L(\...
- 236
14
votes
1
answer
2k
views
Expected survival time in Russian Roulette not monotone?
Let $a, n$ be positive integers with $a < n$. A revolver with $n$ chambers is loaded with $a$ bullets, where the distribution is uniform among all $\binom{n}{a}$ possible choices of $a$ objects ...
- 6,165
4
votes
2
answers
389
views
Gaussian mixtures are dense in total variation?
Let $M_{TV}(\mathbb{R}^d)$ denote the set of probability measures on $\mathbb{R}^d$ with finite total variation norm which are absolutely continuous with respect to the Lebesgue measure.
By a Gaussian ...
- 5,405
1
vote
0
answers
67
views
A functional equation coming from a distribution function
Currently, I am working on a random series as follows. Let $\{Y_k\}$ be a sequence of i.i.d. Bernoulli random variables with expectation $p$. Then we define
$$
S = \sum_{k=1}^\infty \prod_{\ell=1}^k 2^...
- 33
9
votes
0
answers
240
views
Does there exist such a probability distribution?
Does there exist a probability distribution over the set $\{(x,y,z)\in[0,1]^3\colon x+y+z=3/2\}$ whose projection on each of the three coordinate axes is the uniform distribution over the interval $[0,...
- 128k
5
votes
2
answers
527
views
Which coupling of uniform random variables maximises the essential infimum of the sum?
Recall that a coupling of probability measures $\mu_i$ is a set of random variables $X_i$ defined on the same probability space $\Omega$ such that $X_i \sim \mu_i$.
Question: Let $\mu_1, \dots, \mu_n$ ...
- 6,165
0
votes
1
answer
88
views
Exchanging the integral and infimum on the space of couplings
Let $\mu,\nu$ be probability measures on $\mathbb{R}^d$ with finite $p$-th moment ($p\in [1,\infty)$) and define the set of couplings by $\mathcal{C}(\mu,\nu)$ i.e. the set of probability measures on ...
- 305
2
votes
1
answer
156
views
Measurability of $X$ with respect to $Y$ in conditional probability distributions
Let $\pi$ be a probability measure on $\mathbb{R}^2$ with respective marginals $\mu$ and $\nu$ such that $(X,Y) \sim \pi$.
Notation:
$\pi_{X=x}$ be the conditional distribution of $Y$ given $X=x$,
$\...
2
votes
0
answers
114
views
Echoes of the chord
Just a fun problem I thought of.
A man is playing a magical pipe organ - every chord is an integer number of decibals (dB) loud. The softest chord is $0$ dB. Every chord of $N > 0$ dB creates a ...
- 6,165
2
votes
0
answers
104
views
Existence of Dirac measures in the context of joint and marginal distributions
Let $\pi$ be the joint law of $(X, Y)$ with marginal distributions $\mu$ and $\nu$. We assume that we have: for all $A \in \mathcal{B}(\mathbb{R})$ such that $\mu(A) > 0$
$$
\nu\left(\{y \in \...
0
votes
1
answer
86
views
Analytical approaches to approximate probability density functions of multivariate random functions
Given a random multivariate function $f(x, y, z)$, where $x, y, z$ are independent and identically distributed random variables with a probability distribution $\rho(X)$, I aim to approximate the ...
- 375
1
vote
1
answer
197
views
Probability distribution on Python-dictionary-like objects?
I would like to examine information-theoretical properties of random variables that take as values objects which are akin to dictionaries in the Python programing language.
That is, each sample of the ...
- 11
0
votes
0
answers
32
views
A question on Poisson approximation of number of secure rooks on a d-dimensional chessboard
This question was given in our first year undergraduate Probability I course.
In $d$ dimensions the lattice points $i = (i_1, i_2, \cdots, i_d)$ where $1\leq i_j\leq n$ may be identified with the “...
- 149
0
votes
1
answer
99
views
Expressing a multivariate normal distribution as a mixture of uniform distributions?
Context: Given a scalar normal distribution $X\sim \mathrm{N}(\mu, \sigma^2)$, it is possible to express $X$ as a mixture of uniform distributions over intervals (compound probability distributions), ...
1
vote
1
answer
75
views
Probability of correctly guessing the maximum event probability of a multinomial distribution
I have a sample from multinomial distribution with $n$ trials, and $k=3$ options. I know that one of the event probabilities $p_i$ is larger than the two others (who are equal). I'm trying to guess ...
- 267
2
votes
0
answers
76
views
Inequalities concerning cummulative distributions of binomials
For random variable $Z$, let $F_Z$ denote its cdf, i.e., $F_Z(t)=\mathbb{P}(Z\leq t)$. Let $X$ be a binomial distribution with parameters $(n,p)$ and $Y$ a binomial distribution with parameters $(m,p)$...
- 121
3
votes
1
answer
116
views
Interpretations of analytic continuations of CDFs to complex probabilities
Are there notable cases where analytic continuations of cumulative distribution functions to complex arguments have a meaningful interpretation or are otherwise useful?
If a one dimensional CDF is ...
- 7,545
0
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0
answers
159
views
How to express the expectation and variance of a truncated binomial distribution without summation?
Given a binomial distribution with parameters $ n $ and $ p $, where $ n $ is an odd integer greater than or equal to 3, I am interested in the truncated binomial distribution where we truncate at $ k ...
- 1
3
votes
1
answer
195
views
Probability of sum of i.i.d. random variables being positive
Let $g,l \in (0,1)$ and $p\in [0,1]$. Let $X(k,1-p)$ be a random variable with binomial distribution with parameters $k$ and $1-p$. Let $Y(k,p)$ be a random variable with binomial distribution with ...
- 63
0
votes
0
answers
24
views
Is there a log-concave distribution not spherical symmetric s.t $ \langle X, \theta \rangle$ is almost normal for all directions $\theta$?
Klartag's results indicate that for a log-concave isotropic random vector, with high probability over $\theta$, $\langle X, \theta \rangle$ is close to a normal distribution.
It is known that for the ...
- 11
3
votes
0
answers
81
views
Can we remove the restriction on a parameter in Talagrand concentration inequality?
Recently I am trying to use Talagrand concentration inequality to do something on graphs. I find a version from the book of Molloy and Reed ''Graph Colouring and Probabilistics Method''. I attached a ...
- 1,190
20
votes
1
answer
2k
views
How rich is the richest person in a society satisfying the Pareto principle?
The Pareto Principle roughly states that in many societies, the top 20% of people hold over 80% of the wealth. Suppose we had a society that satisfied this principle in every stratum of society - how ...
- 6,165
0
votes
1
answer
164
views
Which coupling minimises the following cyclic sum?
We recall that a coupling of probability distributions $\mu_1, \dots, \mu_n$ on $\mathbb R$ is a set of random variables $X_1, \dots, X_n$ defined on the same probability space such that $X_i$ is ...
- 6,165
7
votes
2
answers
706
views
Poisson binomial conjecture
Let $X_i\in\{0,1\}$
be mutually independent and distributed according to $\mathrm{Bernoulli}(p_i)$
and similarly, $Y_i\sim\mathrm{Bernoulli}(q_i)$,
for some parameters $p,q\in[0,1]^n$. Put $X:=\sum_{i=...
- 6,541
0
votes
0
answers
93
views
Distance between binomial and normal distributions
I want to compare binomial distribution $Bin(n,p)$ with a constant $p$ when $n\rightarrow \infty$, to a normal distribution with $\mu=np,\sigma^2=np(1-p)$.
How close are they with the discrete ...
- 107
1
vote
0
answers
69
views
Simulating binomial distribution
$\DeclareMathOperator\Bin{Bin}\DeclareMathOperator\Pr{Pr}$I have a series of distributions $D_k=\Bin(3k,\frac{1+k^{-1/3}}{3})$, and a distribution $D_{k,\ell} = k +\Bin(k,\ell)$ parametrized by $\ell\...
- 107
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
0
votes
0
answers
31
views
What is the Fisher information matrix of the von Mises-Fisher distribution?
Assuming the von Mises-Fisher distribution as
$$f_{p}(\mathbf{x}; \boldsymbol{\mu}, \kappa) = C_{p}(\kappa) \exp \left( {\kappa \boldsymbol{\mu}^\mathsf{T} \mathbf{x} } \right),$$
where $\kappa \ge 0$,...
- 287
9
votes
1
answer
155
views
How to sample exactly k indices given the inclusion probabilities of all indices?
Let $k<d$ two positive integers, and $\{p_i\}_{i=1}^d$ a series of probabilities, with $p_i \in (0,1)$ and $\sum_{i=1}^d p_i = k$.
We wish to sample exactly $k$ distinct indices $\mathcal{I}\...
- 968
3
votes
0
answers
131
views
Matrix-Gaussian distributions
The point of this question is to ask for references on matrix-variate Gaussian distributions. But I will explain what I mean by a matrix-variate Gaussian with an example (the notion I have in mind is ...
- 193
3
votes
0
answers
352
views
Moments of normalized multivariate Gaussians (and Wick's/Isserlis theorems)
Suppose $x = \begin{bmatrix}x_1 \\ x_2\end{bmatrix}$ is distributed according to the real two-dimensional Gaussian with mean-$0$ and covariance matrix $\Sigma$. I am interested in a closed form for ...
- 193
0
votes
0
answers
149
views
Reference book for a probability course
In the next months I am planning to deliver a (more-or-less) advanced course in probability theory. My students will have had already a first encounter with discrete probability theory (discrete ...
- 1,561
2
votes
0
answers
70
views
Poisson process subordinated by a gamma process
I am working on a problem and I encountered the following situation:
$(N(t): t \ge 0)$ is a Poisson process with parameter $\lambda t $. If $T_{n} = \sum_{i=1}^n W_i$ represents the $n^\text{th}$ ...
- 21
23
votes
2
answers
1k
views
How large can $\mathbf{P}[X_1 + X_2 + X_3 < 2 X_4]$ get?
Let $\mu$ be a probability measure on $[0,\infty)$ and $X_1, \dots, X_4 \sim \mu$ independent. Then what can be said about the probability that $X_1 + X_2 + X_3 < 2 X_4$?
More precisely, what is ...
- 6,406
1
vote
1
answer
81
views
Inference for the normal distribution with known variance from multiple clusters
Here's the question:
We have: $q \sim N\left(q_p, \frac{1}{\tau}\right), q_i \sim N\left(q, \frac{1}{\zeta}\right), t_n \sim N\left(0, \frac{1}{\eta}\right)$. Let $$ r_n=\sum_{i=1}^{\theta k_{n}} \...
- 31
0
votes
0
answers
85
views
When is a family of distributions "closed" with respect to minimal sufficient statistics?
As in the title, I am interested in understanding how to express the idea that a parametric family of distribution is "closed" with respect to minimal sufficient statistics. Before giving ...
0
votes
0
answers
29
views
Conditional Expectation of Normal Distribution $E(q+t_1|r)$
I have difficulty deriving the follow conditional expectation:
there are N cluster of $q_{ni}+t_n$, each cluster has $k_n$ elements, $q_{ni}\sim N(q,\dfrac{1}{\zeta})$, $q\sim N(q_p,\dfrac{1}{\tau})$, ...
- 31
2
votes
1
answer
281
views
Hermite polynomial and Gaussian random variable
The following formula is well known: $E[H_k(X,E[X])H_q(Y,E[Y])]=\delta_{kq}E[XY]^k$ for a joint Gaussian r.v. $(X, Y),$ $H_k$ are Hermite polynomiale.
Is there a generalization for this to a joint ...
- 573
1
vote
2
answers
108
views
Does stochastic boundedness imply stochastic domination by a constant multiple?
Let $X, Y$ be non negative random variables with finite expectation. We say that $Y$ stochastically bounds $X$ if there exists some $C > 0$ such that for all $x \in \mathbb R$,
$$\mathbb P(X \geq x)...
- 6,165
3
votes
1
answer
143
views
Does stochastic domination of $X$ and $Y$ imply stochastic domination of $X \cdot Y$?
Suppose the random variables $X \geq 0$ and $Y \geq 0$ are both stochastically dominated by $Z \geq 0$, i.e.
\begin{align*}
& P(X \leq x), P(Y \leq x) \geq P(Z \leq x) \ , \ \forall x \geq 0 \ .
\...
- 1,295
2
votes
0
answers
50
views
Weighted squared norm of multivariate truncated normal vector
Let $X \sim \mathcal{N}(0, \Sigma)$ be a multivariate normal vector with zero mean and inverse covariance matrix
$$
\Sigma^{-1} = \begin{pmatrix}
n & 1 & 1 & \cdots & 1 &...
2
votes
1
answer
87
views
How to prove: $\gamma^2=\frac{n-p}{(n-1)p}\tau^2\sim F_{p,n-p}$, where $\tau^2\sim T^2(p,n-1)$
In multivariate statistics it is used to do hypothesis tests for Hotelling's $T^2$ distribution, but no textbooks prove this. Is there any proof for it?
- 31