All Questions
50 questions
1
vote
0
answers
170
views
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
5
votes
1
answer
240
views
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 ...
- 420
3
votes
2
answers
505
views
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
votes
1
answer
489
views
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
3
votes
1
answer
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
$$dX_t = \sigma X_t \, dW_t$$...
- 6,213
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
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
6
votes
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
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
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
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
102
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
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
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
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
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
4
votes
1
answer
365
views
Reference for multivariate generalised CLT
I know that one can generalise the classical CLT in terms of heavy tail distributions, namely, for any i.i.d. random variables $X_i$,
$$\frac{X_1+\cdots+X_n}{n^{1/\alpha}}\rightarrow S(\alpha,\beta,\...
- 380
0
votes
2
answers
174
views
Asymptotic properties of ANOVA when the number of groups goes to infinity
Suppose
$$X_{ij} = \mu_j + \varepsilon_{ij}, \quad j = 1, \cdots, J, \quad i = 1, \cdots, N_j$$
ANOVA can allow us to test whether $\mu_1 = \cdots = \mu_J$.
In traditional ANOVA, however, the number ...
- 331
4
votes
1
answer
320
views
The power of chi-square test
Under the null hypothesis, if we have
$$\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.$$
...
- 331
3
votes
2
answers
1k
views
Expected value of a truncated binomial
Let $X\sim B(n,p)$ be a binomial random variable and fix $0<k<n$. Are there any well-known bounds for $\mathbb{E} (X-k)^+$, where $(X-k)^+ =\max\{0,X-k\}$? I am particularly interested in ...
- 4,049
1
vote
1
answer
144
views
A uniform mixture of order statistics
Let $0<k<n$ be integers, and let $X$ be a random variable obtained as follows: sample $n$ points independently and uniformly at random in the unit interval, and select (uniformly) one of the $k$...
- 4,049
0
votes
1
answer
519
views
Lyapunov condition for CLT for asymptotically independent sequence
Suppose I have some triangular array $\{X_{n,j}\}$ of random variables, which need not be independent or identically distributed. Suppose I further know that
$$Var\left(\sum_{j=1}^n X_{n,j}\right)\to \...
- 203
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
2
answers
185
views
Independence depth of linearly dependent random variables
Suppose, $\Xi$ is a collection of random variables. We call $\Xi$ $k$-independent, iff any $k$ distinct elements of $\Xi$ are mutually independent. For example, $2$-independence is pairwise ...
- 2,618
1
vote
1
answer
3k
views
Tail bound regime for Binomial distribution in concentration paper
In paper 'Concentration Inequalities and Martingale Inequalities:A Survey' gives the following inequality:
My question is whether the inequality holds in regime $\lambda$ being $o(\sqrt n)$ (say $\...
- 1,826
4
votes
1
answer
469
views
Probability of achieving the maximum among absolute value of Gaussians
Yesterday the following question was asked by user sigmatau:
I'm interested in the following question:
given $n$ i.i.d. random variables $X_i \sim \mathcal{N}(0,\sigma^2_1), i=1,\ldots,n$ ...
- 128k
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
1
vote
1
answer
191
views
Hitting time estimates
In a number of different contexts, I have wanted to estimate hitting times for a monotonic process $(T_n)$ taking values in the reals (or sometimes a process $(T_n,X_n)$ taking values in $\mathbb R^2$ ...
- 23.2k
4
votes
1
answer
124
views
The behavior of a uniform order statistic near zero
Let $X_{(k)}$ be the $k$th order statistic out of $n$ uniform $[0,1]$ random variables. Let $q$ be the location of the $p$ quantile of $X_{(k)}$, i.e. $\Pr[X_{(k)}\leq q] = p$. For small $p$, Is it ...
- 43
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
1
vote
1
answer
158
views
Computing probability of ultimate absorption in B&D processes
Consider a B&D process with infinitely many states, State 0 absorbing. Probability of ultimate absorption when starting in State $n$ (denoted $a_n$) is computed by solving $$a_n=\frac{\lambda_na_{...
- 419
3
votes
4
answers
451
views
Solution of a 2D Recurrence sequence
Can we solve the following recurrence relation:
$$a_{m,n} = 1 + \frac{a_{m,n-1}+a_{m-1,n}}{2}$$
with $a_{0,n}=a_{m,0}=0$? If not, can we get an estimate of the growth of $a_{m,n}?$
I encountered this ...
- 1,495
4
votes
2
answers
122
views
The minimum of the reciprocals of some Poisson random variables
Let $X_1,\dots,X_k$ denote a collection of independent samples of a Poisson random variable whose mean also happens to be equal to $k$. Does the quantity $$k\boldsymbol{E}\min\left\{ \frac{1}{1+X_{1}}...
- 383
2
votes
1
answer
403
views
Product of independent random variables and tail deconvolution
Suppose $X, Y$ are two independent non-negative random variables. The conditions
(i) $\mathbb{P}(X > t) = \frac{C}{t^p} + o(t^{-p})$
(ii) $\mathbb{P}(Y > t) = o(t^{-q})$ for any $q > ...
- 205
8
votes
2
answers
891
views
Differentiating an integral that grows like log asymptotically
Suppose I have a continuous function $f(x)$ that is non-increasing and always stays between $0$ and $1$, and it is known that
$$ \int_0^t f(x) dx = \log t + o(\log t), \qquad t \to \infty.$$
...
- 205
3
votes
1
answer
178
views
Tail probability of random projection
Suppose $v\in R^n$ is a constant unit vector. $P_l$ is a random projection matrix to an $l$ dimensional subspace of $R^n$ which is uniformly sampled from $G(l,R^n)$ which is the collection of all $l$-...
- 1,495
1
vote
1
answer
118
views
What is the order of the left tail of a mixture of non-central chi-square?
Let $\mu\sim N(0,1)$, $Z\sim N(\mu,1)$. Then $Z$ can be viewed as a mixture of Gaussians. It can also be viewed as a Gaussian but there is a prior for the mean.
Let $X\sim\exp(\lambda)$ where the ...
- 1,495
4
votes
0
answers
100
views
Asymptotics of the joint pdf of two sums of powers of independent $\mathcal U(0,1)$ random variables
As a warm-up in words: The sum of twelve uniform random variables is a classic approximation to a normal distribution. What is the joint pdf for the sum of their cubes and the sum of their fourth ...
- 128k
2
votes
1
answer
295
views
The asymptotics of $\int_{-\infty}^{\infty} \phi(x) {\Phi(\frac{x}{a})}^{qa} dx $ for normal distribution using saddle point approximation
In my probability and numerical analysis research I have come across the following predicament:
If we have a standard normal random variable X with CDF $ \Phi $, and PDF $ \phi $ I am interested in ...
- 620
0
votes
1
answer
503
views
Asymptotics of a 1D integral, or the orthant probability of an equicorrelated random Gaussian vector
Problem: Let $\phi(x)$ be the normal probability density function (pdf), and $\Phi(x)$ the normal cumulative distribution (cdf). I'm interested in the asymptotic behavior of the following integral
$I(...
- 968
3
votes
0
answers
157
views
Growth of inner products between two random vectors on the sparse hypercube
We define the $s$-sparse hypercube in $\mathbb{R}^d$ as
\begin{align}
\mathbb{H}_s = \bigl \{ {\bf{v}} \in \{ -1, 0 , 1\}^d \colon \| {\bf{v}} \|_0 = s \bigr\},
\end{align}
where $ \| {\bf v} \|_0 $ ...
- 1,127
1
vote
0
answers
273
views
A natural sum over multisets (expectation over multinomial)
I think this is a natural question but am not sure where to find resources.
Consider the possible multisets arising from choosing $n$ times an item from one of $k$ categories. We can represent one ...
- 4,529
12
votes
1
answer
2k
views
Mean of i.i.d Random Variables With No Expected Value
Let $X$ be an integer-valued random variable and let $X_n$ be the sum of $n$ independent realizations of $X$. I would like to understand the behavior of $X_n/n$ for large $n$ in some cases where $X$ ...
- 23k
9
votes
1
answer
8k
views
Convergence rate of the central limit theorem near the center of the distribution
I'm looking for fast convergence rates for the central limit theorem - when we are not near the tails of the distribution.
Specifically, from the general convergence rates stated in the Berry–Esseen ...
- 968
8
votes
2
answers
3k
views
Expectation of Maximum of Uniform Multinomial Distribution
Suppose we have a uniform multinomial distribution with $k$ buckets, i.e. we put $n$ items uniformly at random in $k$ buckets leading to $n_1, \dots, n_k$ items in each bucket respectively. Let $m = \...
- 733
6
votes
0
answers
486
views
Two sets of independent Bernoulli random variables
There are two sets of random variables $X_1,\ldots,X_n$ and $Y_1,\ldots,Y_n$ satisfying:
Each $X_i$ and each $Y_j$ has a symmetric Bernoulli distribution ($-1$ and $+1$ with probability $\frac12$ ...
- 37.7k