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.
920 questions
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Minimum of exponential distributions
Consider $n$ independent random variables $X_i \sim \exp(\lambda_i)$ for $i = 1,\dots,n$. Let $\lambda = \sum_{i=1}^n \lambda_i$. Of course, the minimum of these exponential distributions has ...
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Variance of load in maximally loaded bin, if $m$ balls are thrown into $n$ bins
In the paper "Balls and bins a simple and tight analysis" by Raab and Steger, available here strong upper and lower bounds are proved about the number $M$ of balls in a maximally loaded bin when $m$ ...
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Convergence (topology) for $\sigma$-finite measures
I'm having much trouble finding literature that addresses the questions which I write below. I was wondering if someone could help me out to understand better, either by providing references or by ...
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Bounding Entropy in terms of KL-Divergence
Let $h(X)$ be the differential entropy of a continuous random variable $X$ with density $f$, and let $Y$ be another continuous random variable with density $g$. If $KL(X\mid\mid Y)$ is the Kullback-...
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What is the category of algebras for the finitely supported measures monad?
In this post, I was introduced to the monad of finitely supported measures.
$HX$ is the set of finitely supported measures on $X$, with monad structure defined as for the Giry monad.
I have three ...
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regularity of zero point
We consider 1-d process $X$
$$ X(t) = b t + J_{t} + M_{t}$$
where $b$ is constant, $M$ is a continuous martingale process with
$M(0) = 0$, and
$J$ is a symmestric $\alpha$-stable process with its ...
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Bounds on the mills ratio
How do I show the following bounds on the mills ratio :
$\frac{1}{x}- \frac{1}{x^3} < \frac{1-\Phi(x)}{\phi(x)} < \frac{1}{x}- \frac{1}{x^3} +\frac{3}{x^5} \ \ \ \ \ \ \ $ for $ \ \ \ x>0$ ...
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Distributions over permutation groups $\mathcal{S}_n$
Partly inspired by recent developments in enumeration of pattern avoiding permutations, which is known to be connected with Brownian excursions [Hoffman&Rizzolo]. The exciting milestone is the ...
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Is a Gaussian measure on a Hilbert space determined by the coarser topology induced by the covariance operator?
I have a basic question about Gaussian measures on a Hilbert space:
Let $\mu$ be a non-degenerate Gaussian measure on a Hilbert space $(H_0,\left\langle \cdot,\cdot \right\rangle_0)$. Then the ...
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Hoeffding's inequality for Hilbert space valued random elements
Suppose that $\mathbb H$ is a separable Hilbert space and $X_1,\ldots,X_n$ are independent zero mean $\mathbb H$-valued random elements such that $\|X_i\|\le s$ for each $1\le i\le n$, where $\|\cdot\|...
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Gaussian free field limiting distribution of additive Stochastic heat eqn bounded domain
Hairer in his spdes notes on pg.6, says that GFF is the stationary solution of $u_{t}(z)=\Delta u(z)+\xi(z,t)$, where
$\xi$ is the space-time white noise
$$\xi(x,t)=\sum \sqrt{\lambda_{k}} B_{k}(t)e_{...
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Randomized version of Turán's theorem II
$\newcommand{\om}{\omega}$Let $\om(G)$ denote the number of vertices in a largest clique of an (undirected) graph $G$ with the set $[n]:=\{1,\dots,n\}$ of vertices. Then
\begin{equation}
\om(G)\ge\...
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How tight is the bound $P(\|X\|^2 \ge t |\langle a,X\rangle|) \ge 1 - t\sqrt{\frac{2}{m-1}}$, where $X \sim N(0, I_m)$ and $\|a\| = 1$?
Let $X$ be a random vector in $\mathbb R^m$ with iid $N(0,1)$ coordinates and let $a$ be a fixed unit vector in $\mathbb R^m$. In another post (SE link here https://math.stackexchange.com/a/3792730/...
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Weak convergence of Dirichlet distributions to a "multi-Bernoulli" distribution
For a positive vector $\alpha\in\mathbb{R}^n$ ($n\geq 1$), denote by $\text{Dir}(\alpha)$ the Dirichlet distribution with parameter $\alpha$. In terms of weak convergence, is it true that, if $\sum\...
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Law of the iterated logarithm in Hilbert space
The standard law of the iterated logarithm expresses that if $X_1, X_2, \ldots$ are iid real random variables with mean zero and variance $\sigma^2$,
$$
\limsup_{n \to \infty} \frac {X_1 + \cdots +...
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Distribution of the first occurrence of a maximum (record) run of zeros in the digits of a normal number (say $\pi$)
If the question was stated to appeal to the general public, it would be something like this. For a number such as $\pi$ or $\sqrt{2}$, the digits in base $b$ appear to be randomly distributed. We are ...
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Three-dimensional Apollonian spirals
Given mutually (externally) tangent spheres $S_1$, $S_2$, $S_3$, $S_4$, let $S_n$ be the unique sphere externally tangent to $S_{n-1}$, $S_{n-2}$, $S_{n-3}$, and $S_{n-4}$ for $n \geq 5$.
Let $P_{\...
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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
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Is there a tight lower bound for the expectation of the product of two positive valued random variables?
Let $X,Y$ be two (dependent) random variables with $\mathbb{P}(X\ge 0)=\mathbb{P}(Y\ge 0)=1$.
I want to find a tight lower bound of $\mathbb{E}(XY)$ when $X,Y$ are non-negative, almost surely.
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Conditions for: (local) lipschitz stability of I-projection
The following post builds on this post; I'll begin by quoting the setting.
Background from Previous Question:
$\newcommand\SS{P}\newcommand\TT{Q}$Call a Gaussian probability measure $\SS$ on $\mathbb{...
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Can one realize this as an ergodic process?
Consider the lattice $\mathbb Z^2$ and take iid random variables $Y_e$ on all edges $e$ of the graph.
We then define random variables $X_i:=\sum_{e \text{ adjacent to } i}Y_e.$
In other words: For ...
user135480
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A Simple Stochastic Dynamic Billiard
Consider the following stochastic dynamical system.
Fix $a > 0$, $b > 0$, and $v > 0$, and let $\mathbf{r}(t)=(x(t),y(t))$ be the position at time $t$ of a point which moves in the ...
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Moment problem for discrete distributions
Let $x_1, \dots, x_N \in \mathbb R$ and consider the discrete distribution $\mu := \frac{1}{N} \sum_{i=1}^N \delta_{x_i}$, where $\delta_x$ denotes the Dirac measure, i.e. for any measurable set $B \...
user45183
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On a reflecting Brownian motion and its boundary local time
I have a question about a reflecting Brownian motion and its boundary local time.
Bass and Hsu studied the existence of Reflecting Brownian motion and boundary local time on a bounded Lipschitz ...
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A Really Simple Stochastic Dynamic Billiard
Consider the following stochastic dynamical system.
Fix $a > 0$, $b > 0$, $c>0$ and $v > 0$, and let $\mathbf{r}(t)=(x(t),y(t),z(t))$ be the position at time $t$ of a point which moves ...
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Berry-Esseen bound in 2 dimensions for linear combinations
Let us say have a sequence of $n$ 2-$D$ random variables $X_i=(\varepsilon_i/\sqrt{n},i\varepsilon_{i}\sqrt{6}/n^{3/2})$, where $\varepsilon_{i}$ are independent random variables such that $\mathbb{P}(...
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Optimal linear measurement operator
Let $x\in R^n$ be an unknown vector. Suppose I am allowed to choose any $A\in R^{m\times n}$, under the constraint that each row of $A$ has $\ell_2$ norm at most $1$. Then I carry out a "measurement", ...
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$\mathbf{y}=f(\mathbf{x},\mathbf{z})=g(\mathbf{x})$ if $\mathbf{z}\perp \!\!\! \perp \{\mathbf{y},\mathbf{x}\}$ jointly?
Let $\mathbf{y},\mathbf{x},\mathbf{z}$ are real-valued random vectors with possibly different dimensions. Assume $\mathbf{y}=f(\mathbf{x},\mathbf{z})$ for some function $f$.
If $\mathbf{z} \perp\!\!\!\...
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Independent input feature z can be removed: if y=f(x+z,z), then y=g(x)?
Let $y\in \mathbb{R}$ and $\mathbf{x},\mathbf{z}\in\mathbb{R}^p$ be random variable and random vectors. Assume $y=f(\mathbf{x}+\mathbf{z},\mathbf{z})$ for some function $f$.
Is the following statement ...
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Difficult Gaussian-sum inequality for large random Bernoulli-Toeplitz matrices
I have come across the following problem in an attempt to prove an entropy bound for large random Bernoulli-Toeplitz matrices (Conjecture 1 on p. 16 of this preprint by Clifford et al. 2015), which is ...
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possibility of bounding one functional by another functional
This is a natural follow-up question related to one of my previous questions at here. Assume that $\rho$ is a log-concave probability density function with support $[0,\infty)$ and fixed mean $\mu >...
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Normal approximation to the pointwise/Hadamard/Schur product of two multivariate Gaussian/normal random variables
Let $X \sim \mathcal{N}\left( {{\mu _x},\sigma _x^2} \right)$ and $Y \sim \mathcal{N}\left( {{\mu _y},\sigma _y^2} \right)$ be two univariate and independent Gaussian/normal random variables and let $...
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For a SDE with smooth transition densities, if every point is "path-accessible", is every positive-measure set probabilistically accessible?
Suppose we have a $C^\infty$ manifold $M$ and $C^\infty$ vector fields $b,\sigma_1,\ldots,\sigma_k$ on $M$, and for convenience define the set of vector fields
$$ \mathcal{S} = \{b,\sigma_1,-\sigma_1,\...
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Component properties in Euclidean graphs with distance threshold
In the context of Euclidean graphs with vertices randomly embedded in either a 2D plane (for instance square with length $L$) or in 3D (similarly, cube of side $L$), where an edge between two given ...
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When is the entropy of a $\sigma$-algebra finite?
Let two (countably-generated) $\sigma-$algebras $\mathscr{F,G}$ on the event space $\mathbb{R}$ be given. I believe we also need the atoms of $\mathscr{F,G}$ to be the points of $\mathbb{R}$.
Let $\...
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Almost sure convergence vs convergence of probability density functions
Let $X_n, X$ be $[0, 1]$-valued random variables whose laws are absolutely continuous with respect to Lebesgue measure. Suppose $X_n \to X$ a.s. Does this imply that the pdfs of $X_n$ converge to that ...
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distribution discretization
Let $\mu$ be a distribution on $\mathbb{R}^n$. We partition $\mathbb{R}^n$ into small cubes congruent with $[0,\delta)^n$, parallel to the axes. In each cube, pick a point $x$ (for instance, the ...
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Discrepancy of random bipartite graphs
This is a crosspost from MathStackExchange (original question).
Fix $k>0$ and let $X, Y$ be two vertex sets of size $n$ a positive integer (we're interested in the limit $n\to \infty$).
Define a ...
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Expected number of random binary vectors so that the form a basis
I would like to compute the expected number of vectors in $\mathbb{F}_2^n$ we need to draw (following a uniform distribution) so that they form a basis of $\mathbb{F}_2^n$, i.e., that we have $n$ ...
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Non-existence of integral with respect to Poisson Random Measure
Let $\xi$ be a Poisson Random Measure of intensity $\mu$ (informally $\mathbb E\xi = \mu$).
(For $f \ge 0$, say) when does $\xi f = \infty?$ Kallenberg (Foundations of Modern Probabilility) claims ...
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Reference request: “A random integral and Orlicz spaces” [duplicate]
I need to find the following paper:
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, astronomiques ...
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Symmetric distribution optimization problem of distances between points in $[0,1]$
Let $\mathcal{D}$ be a probability distribution with support $[0,1]$. Let $x, y, z$ the outcomes of three i.i.d. random variables $X, Y, Z$ with distribution $\mathcal{D}$, sorted in increasing order, ...
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Extreme couplings
Let $X,Y$ be Polish spaces, and $\mu$ and $\nu$ are probability measures on $X$ and $Y$ respectively. We say that $M$ is a coupling of $\mu$ and $\nu$ if it is a probability measure on $X\times Y$, ...
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Chernoff style concentration bound for ratio of variables
Suppose I have two random variables $X_1$ and $X_2$. $X_1,X_2$ are both sums of random variables, and I can find Chernoff bounds for both variables independently. That is to say, I have
$$Pr[\mid X_i -...
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A ratio of two probabilities
I am concerned about the monotonicity of the following ratio
$
f(\eta)=\frac{\sum_{x=K}^{N}\left(\begin{array}{c}
N\\
x
\end{array}\right)\left(q_{G}\eta\right)^{x}\left(1-q_{G}\eta\right)^{N-x}}{\...
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Probability of one species reaching zero before the other in a Markov process on a 2d lattice
$\textbf{Background}$: Say we've got a two-variable system of stochastic chemical reactions, with quantities $\vec{x}(t) = (x_1(t),x_2(t)) \in \mathbb{N}^2$ evolving according to the following system, ...
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Asymptotic results for smallest gap of Gaussian random matrix
For a symmetric Gaussian random matrix $G=\{G\}_{1\le i,j \le n}$ with iid $E[G_{ij}]=0$ and $E[G_{ij}^2]=1/n$ (it is normalized), ordering its eigenvalues $\lambda_1\le \lambda_2\le\cdots \lambda_n$.
...
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Asymptotics of the maximum of binomial random variables
Let $B_i(n,1/2)$ be independent identically distributed binomial random variables. I am interested in the asymptotic growth of the maximum of $n$ such random variables. In https://math.stackexchange....
user32786
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Where does directed random walk hit the boundary of a region?
I have a problem that I more or less know the answer to (in an ad hoc way), but would really like to see it done in a systematic way. In spite of this, I will pose the question in quite a concrete way....
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Probability that a randomly filled Go board has a set of white stones connected through their von Neumann neighborhoods
I have an $N$ by $M$ grid (a Go board for example), where for every square in the grid, I place a white stone with probability $p$ and a black stone with probability $(1-p)$. We call two white stones ...
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