Questions tagged [pr.probability]
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
41 questions from the last 30 days
-2
votes
0
answers
7
views
Convergence of measures in the Lévy–Prokhorov metric and weak convergence of measures
How to prove that over R the convergence of measures in the Levi-Prokhorov metric is equivalent to the weak convergence of measures
- 1
1
vote
0
answers
42
views
Measurability of a map involving probability measures
Let $X$ be a metrizable topological space and $\mathscr B_X$ the Borel $\sigma$-algebra on it. Let $\Delta X$ denote the set of probability measures on $(X,\mathscr B_X)$, and let $\mathscr B_{\Delta ...
- 405
2
votes
0
answers
32
views
Order of $\mathbb{E}[ \max_i |x_i + z_i| - \max_i |z_i|]$
Let $z_1, \dots, z_n$ be iid standard Normal, and let $x \in \mathbb{R}^n$. Put $\|u\|_\infty = \max_i |u_i|$.
Define
$$
F(x) = \mathbb{E}\Big[\|x + z\|_\infty - \|z\|_\infty\Big]
$$
If $\|x\|_\infty \...
- 400
0
votes
0
answers
15
views
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
vote
0
answers
35
views
Square-integral involving Brownian bridge
Let $B(t)$ be a standard Brownian bridge on $[0,1]$. Let $x>0$ be a (small) parameter. What is the distribution of
$$
\int_0^{1-x} \left( B(t + x) - B(t) \right)^2 dt?
$$
As noted I am interested ...
- 2,207
-1
votes
0
answers
25
views
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
0
answers
38
views
Can conditional distributions with respect to a sufficient sub-$\sigma$-algebra be represented by a single Markov kernel?
Let $(\Omega, \mathcal{F})$ be a measurable space, and let $\mathcal{P}$ be a collection of probability measures on this space. A sub-$\sigma$-algebra $\mathcal{G} \subset \mathcal{F}$ is said to be ...
- 111
3
votes
1
answer
139
views
Surjectivity of pushforward on image
Let $\mathcal X\subseteq\mathbb R^m$ be a Borel measurable set. $\Phi:\mathcal X\to\mathbb R^n$ be a continuous mapping and $\mathcal Y = \Phi(\mathcal X)\subseteq\mathbb R^n$ its image. Let $\mathcal ...
- 345
1
vote
0
answers
90
views
+100
Inequalities for norm of centered Gaussian and uncentered Gaussian
Let $g$ denote a standard Gaussian vector in $\mathbb{R}^n$, and $\|\cdot\|$ a norm.
Let $x \in \mathbb{R}^n$ and define
$$
F(x) = \mathbb{E}[\|x + g\| - \|g\|].
$$
I am wondering if it is possible to ...
- 400
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
1
vote
0
answers
55
views
Quantitative multivariate CLT from quantitative CLT of linear combinations
Suppose $Z_1, \ldots, Z_k$ are random variables with mean $0$ and variance $1$ that are "approximately jointly Gaussian" in the sense that for any scalars $c_1, \ldots, c_k$, we have that $\...
- 111
0
votes
0
answers
23
views
Characterisation of a family of continuous martingales
I look for a full characterisation of the continuous martingales $X=(X_t)_{0\leq t\leq T}$ (defined on some filtered probability space as nice as possible) such that
$$X_0=0\quad \mbox{ and } \quad\...
- 1,389
0
votes
1
answer
82
views
Median of cardinality of set union
Let $U$ be an arbitrary finite universe (you can just think of it as $[N]=\{1,2,\ldots,N\}$), and $\mathbf{S} = (S_i)_{i \in [n]}$ ($S_i \subseteq U$) be the sets that we are drawing from. Define a ...
- 29
3
votes
1
answer
84
views
What (continuous) stochastic processes have path measures that are absolutely continuous w.r.t. Wiener measure?
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having ...
- 73
0
votes
0
answers
37
views
Bounding the error of a truncated moment problem
Let $\{x_{i}\}_{i=1}^{\infty}$ be a non-increasing sequence of non-negative real numbers, and let $\{y_{j}\}_{j=1}^{B}$ be a non-increasing sequence of non-negative real numbers, where $B$ is a finite ...
- 433
-1
votes
0
answers
35
views
Different definition of Feller semi-group
(This is a crosspost of a question on MathStackExchange which did not receive any answer.)
Let $E$ be a locally compact metric space, let $C_0(E)$ be the set of real-valued continuous functions of $E$ ...
-1
votes
1
answer
93
views
Variance of bins for N balls into M bins [closed]
If I throw N balls independently into M bins with uniform probability, the expected mean of the M bins is N/M balls.
What is the expected variance of the M bins?
I was thinking of what bin size I ...
2
votes
1
answer
147
views
Lower bound in the singularity of random Bernoulli matrices
Let $A_n$ be a random $n \times n$ matrix with entries in $\{-1, +1\}$. As usual, "random" here means with respect to the uniform measure over such matrices.
The strong version of the ...
- 400
3
votes
0
answers
80
views
Asymptotics of number of running maxima of iid random variables
Let $\{X_i\}_{i \geq 1}$ be a sequence of iid non atomic random variables, that is, their CDF has no jump discontinuities.
Given a realisation $\omega$ of the random variables, we say that $X_i (\...
- 6,155
5
votes
1
answer
375
views
Convergence of random functions
Suppose I have a sequence of random continuous functions, $f^{n} : [0, t] \to \mathbb{R}$. Suppose there also exists a random continuous function, $f: [0, t] \to \mathbb{R}$, defined on the same ...
- 85
0
votes
0
answers
31
views
Looking for a citation for this simple generalization of the Markov bound to non-negative super-martingales
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \...
- 183
1
vote
0
answers
79
views
Markov Chain that maximises the entropy creation rate
I am working on MERW (Maximal entropy random walk) for a project.
I want to show that given a graph G, there is $\textbf{only one}$ aperiodic markov chain on G that maximises the entropy creation rate ...
- 11
4
votes
0
answers
116
views
Convergence in probability results with still open point-wise versions
In ergodic theory and more generally in stochastic processes, often convergence in probability results precede convergence almost-surely results in quite a few years. Classical examples include the ...
- 41
0
votes
0
answers
36
views
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
9
votes
2
answers
429
views
Hermite–Fourier expansion for the median
Let $n$ be an odd positive integer. Let $M : \mathbb{R}^n \to \mathbb{R}$ be the median function: $M(x_1,\dots,x_n)$ is the median of $x_1,\dots,x_n$. What can be said about the Hermite–Fourier ...
- 24.7k
2
votes
1
answer
65
views
On the stationarity of Gaussian processes
I am trying to understand and prove the statement:
The normal (or Gaussian) process is stationary in the wide sense if and only if it is strictly stationary.
I know the following:
A strictly ...
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
3
votes
0
answers
81
views
Combinatorial/probabilistic interpretation of a quantity of union closed family
Let $\mathcal{F}\subseteq2^{[n]}$ be a union-closed family of sets. For a set $S\in[n]$ (not necessary belong to $\mathcal{F}$), define $w_{\mathcal{F}}(S)$ to be the number of subset of $S$ which ...
- 1,462
0
votes
1
answer
66
views
Does convergence in probability of iid samples imply convergence in measure of the sampled functions?
Let $g_i: [0, 1] \to \mathbb R$ be $L^1$ functions, equibounded in $L^1$ norm. Let $X_i$ a sequence of iid uniform random variables on $[0, 1]$. Suppose that
$$\frac{1}{n} \sum_{i = 1}^n g_i (X_i) \to ...
- 6,155
3
votes
1
answer
405
views
Moments of a random variable related to uniform distribution on sphere
Let $u$ be taken uniformly from the unit sphere $\mathbb S^{n-1}$ and $D$ be a diagonal matrix. I'd like to find a general formula for
$$
\mathbb E[(u^\top D u)^m]
$$
for $m=1,2,3, \dots$, in terms of ...
- 1,608
-3
votes
0
answers
135
views
Approximation on Dirichlet's arithmetic progression by means of central limit theorem
In this video lecture on
Number theory over function fields taught by Will Sawin
is presented a 'conceptional' reason for error estimation
$\#\{p \in \Bbb P: p =a \ \text{mod} \ N, p <x \}
=\frac{1}...
- 619
0
votes
2
answers
126
views
Unique coupling
Let $X$ be a Polish metric space, and let $\mu,\nu$ be two Borel probability measures on $X$, when is the product measure the only coupling of $\mu$ and $\nu$. More formally, let $$\Gamma(\mu,\nu):=\{\...
- 245
1
vote
0
answers
91
views
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
-2
votes
0
answers
52
views
Density of squared bessel process
I was trying to find a transition density function for a squared Bessel process. In the book "Continuous martingale and Brownian motion" by Revuz and Yor, I find a Corollary on page 441 that ...
- 11
-1
votes
0
answers
27
views
Number variance of random points (and deviations for empirical processes)
Let $X_1, X_2, \dots$ be i.i.d. random variables having uniform distribution on $[0,1]$. Write $I_{t,x}$ for the indicator function of an interval of length $x$ with center $t$. Consider
$$
V(N,x) = \...
- 2,207
0
votes
1
answer
72
views
Lower Bound on the Probability for the Sum of IID Random Variables
Let $X_1,\ldots,X_n$ be $n$ iid normalized random variables (with finite variance, possibly sub-Gaussian).
Suppose further that $\mathbb{P}(X_1 > 0 ) > 1/2$, implying a positive skew in the ...
8
votes
1
answer
534
views
The cars problem, again
Consider the following simple problem: We are given $2n$ parking spots, labelled from 0 to $2n-1$. There are $n$ cars on the first $n$ spots, and the remaining $n$ spots are free. At every step, every ...
1
vote
0
answers
58
views
Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
0
votes
1
answer
95
views
On the behaviour of individual random walks of a Markov Chain
My current research (on Probabilistic Automaton) brought me to the following question regarding Markov Chains. I state the definitions for the sake of clarity.
Let $M$ be a discrete-time finite Markov ...
3
votes
0
answers
90
views
Tighter Freedman's inequality for a special martingale difference sequence
Let $X_{1}, \ldots, X_{T} \in \{0, 1\}$ be a sequence of Boolean random variables with
$$
\mathbb{E}[X_{t} | X_{1}, \dots, X_{t - 1}] = p_{t}.
$$
Consider the sequence $Y_{t} := X_{t} - p_{t}$ (which ...
- 41
0
votes
1
answer
51
views
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