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.
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Factorization of permutations.
Let $n,k$ be positive integers such that $3n=2k$ and $N = \lfloor \alpha n\rfloor$ for some constant $0<\alpha<1$. Let $S_{3n}$ denote the permutation group of order $3n$. Consider the following ...
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Is an L_1 bounded sequence of random variables with uniformly converging CDFs uniformly integrable?
Changing my question in light of Dan's answer. Thanks, Dan.
Consider a sequence of real random variables $X_i$ bounded in $L_1$, that is $\mathbb E\left|X_i\right|\leq M$ for all $i$. Suppose that ...
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Expected minimum face angle of random convex polyhedron in $\mathbb{R}^3$
Let $P_n$ be a "random convex polyhedron" in $\mathbb{R}^3$ of $n$ vertices, where "random" could follow any one
of a number of models:
(1) the convex hull of $n$ points randomly and uniformly ...
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Compute the expected value of the product between a Lebesgue–Stieltjes type integral and an Ito integral
Hi, I have the following expected value to compute
$E[ \int_{o}^{T} f(t) dt \int_{o}^{T} H(s) dW(s)]$,
where $f(t)$ and $H(s)$ are two stochastic processes adapted to the filtration generated by the ...
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Convergence of Dirichlet Forms
If a sequence of Dirichlet forms convergence to 0, then what about the diffusion processes associated with these Dirichlet forms? Do the finite dimensional distributions of them converges weakly? and ...
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What is the cover time of a random walk on a cube?
I can't quite figure this problem yet. There is an ant at one vertex of a cube. The ant goes from one vertex to another by choosing one of the neighboring vertices uniformly at random. What is the ...
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Completion time of a process on a tree
Given is a constant degree rooted tree of depth $D$. It is also known that the total number of nodes in the tree is at most $D^2$. There is a probabilistic process with discrete time steps on the ...
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Calculating a specific joint probability involving sums of binomial distributions
The following might look like a simple problem - but the question has been unanswered for more than a week on math.stackexchange.com, and I have asked quite a few of the Ph.d. students at our ...
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Bounds for number of coin toss switches
I toss $n$ biased coins and I want to count the number of times you get a H followed by a T or a T followed by a H. I call these switches. So for example if I get HHTTHTHHHT then I have $5$ switches ...
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Expectation of a random sum
Let $X_1, X_2, X_3,\dots$ be an i.i.d. sequence of random variables with finite mean. Write $S_n=X_1+X_2+\dots+X_n$.
Let $N$ be a non-negative integer-valued random variable with finite mean. $N$ may ...
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game theory - coin flipping question
Lets say 2 players A and B try to have the most money at the end after playing a casino game in which they have a $49\%$ chance to double a wager.
Here are the rules to the bet between A and B:
Both ...
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Probability of summing products of irreducible polynomials in a finite field to zero
Let $f(x), g(x), h(x)$ be randomly chosen irreducible polynomials over the finite field $GF(2^n)$.
What would the probability be for $\sum_{(i,j,k:i,j,k\in\mathbb{N},i+j+k=C)} f^i(x)g^j(x)h^k(x)=0$, ...
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How to generate a random (Weyl) curvature operator ?
Given a dimension $n$, the space of curvature operators is the space $S^2_B(\Lambda^2\mathbb{R}^n)$ of symmetric endomorphisms $R$ of $\Lambda^2\mathbb{R}^n$ which satisfy the first Bianchi identity :
...
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Probability of all combinations of k numbers among n being coprime
A simple argument shows that if we choose $n$ positive integers at random, the probability of their greatest common divisor being 1 is $1/ \zeta (n)$ (in the sense that if we choose the numbers among $...
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Convexity of a Certain Set of Covariance Matrices
Hello,
My question is about a certain set of matrices being convex or not. I'll start with some preliminaries in order to define myself properly. Let $X_1,U,X_2$ be three zero-mean Gaussian random ...
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Coupling of vectors
Let $X = (X_1,X_2)$ and $\hat X = (\hat X_1,\hat X_2)$ be two random variables where $X_i,\hat X_i$ are taking values over the Polish space $E_i$ endowed with their Borel $\sigma$-algebras, where $i=1,...
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What is the expected value for this
If there are $8$ random points in the plane whose horizontal coordinate
and vertical coordinate are uniformly distributed on the open interval
$\left(0,1\right)$, what is the expected largest size of ...
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"Soft" Voronoi cells or statistical criterias
It is probably some basic statistics question, but...
Informally 1: How to choose "criteria", such that it will guarantee that error decision probability is less than "epsilon", and maximize ...
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convex combination of two covariance estimates
I am interested in covaraince matrix estimation. In brief: I have two estimates of the covariance matrix, and now I want to form a bona fide convex combination of the two.
Background: I have studied ...
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Approximating a hitting time for some state using the stationary distribution?
Provided a random walk on a bounded interval, with step probabilities, $p$ and $q$ and a stationary distribution $\pi$, how "bad" of an approximation is to assume that the hitting time for a position $...
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A q,t-extension of Plancherel Measure thru Yang-Mills Theory ?
Buried in the physics paper by Nekrasov and Okounkov, a strange identity is proven:
$$ \prod_{n > 0} (1 - q^n)^{\mu^2-1} = \sum_{\mathbf{k}} q^{|\mathbf{k}|} \prod_{\square \in k} \left( 1 - \frac{\...
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Runs in coin flips
Let $P(j,k,n)$ be the probability of getting $j$ uniform runs of length $k$ from $n$ fair coin flips. What's the best way to compute $P$? I have no idea how difficult it might be; if it's a very ...
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Are numbers $h_{r,s} = \sum_{k} P(r;s;k) \frac{1}{n^{2k}} \bigg(1-\frac{1}{n}\bigg)^{n-2k}$ irrational?
I asked this question on MSE and Mike Spivey gave an insightful answer. I decided to put it here nevertheless in case someone else gets interested. If this violates rules on MO, please let me know, I'...
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What is the probability that a random subset of a finite group is generic?
Definition 1: Given a group $G$, a subset $X \subseteq G$, and a natural number $k$,
we say that $X$ is (left) $k$-generic in $G$ if there are $k$ many left translates of $X$ that cover $G$.
That is, ...
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Prove an inequality related to moments
I am reading a paper and stuck with an inequality used in that paper.
$\varepsilon^n=(\varepsilon_1^n, \varepsilon_2^n,\ldots,\varepsilon_n^n)^T$ is a vector of i.i.d. random variables with mean 0 ...
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Genericity of sets without unique mean value
Following Rosenblatt and Yang, I say that a subset $A$ of $\mathbb Z$ has a unique mean value if for all invariant means $\lambda_1,\lambda_2$ on $\mathbb Z$, one has $\lambda_1(A)=\lambda_2(A)$.
...
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minimum of different independent Poisson random variables
Let $X_1,\ldots,X_N$ be independent Poisson distributed random variables with unequal parameters $\lambda_1,\ldots,\lambda_N$.
Is there any closed form expression or at least a good approximation for ...
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Is there a relationship between Entropy of a fininte distrete probability distribution and the squre sum of the values of probability mass function of that distribution?
Sorry for the long title. What I mean is that for two vectors (a_1,...,a_n) and (b_1,...,b_n) with the property $a_i,b_i \geq 0 $ and $ \sum a_i =\sum b_i =1$.
If $ -\sum a_ilog(a_i) > -\sum ...
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derivative of conditional expectation
Suppose $H:\Omega\times X\mapsto Y$
for some borel subset $X\subset \mathbf{R}$, Euclidean space $Y$, and probability space $(\Omega, \mathcal{F},P)$.
Further suppose that $H$ is $C^1$ for each fixed ...
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What is a random number? (poll experiment) [closed]
Imagine the following experiment: you wait say at a subway exit, and ask everyone passing "please tell me a number" (positive integer, of course). You do this day after day, until you reach say 1M ...
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Support of an infinitely divisible measure.
Hello,
if $G$ is a compact Lie group. Let $\mu$ be an infinitely divisible measure on $G$, such that $e$, the neutral element of $G$, is in the support of $\mu$. Is that true that the support of $\...
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Streamlined probability measure for tossing infinitely many coins
The standard probability measure over countably many independent coin tosses (i.e., the probability that you get a prescribed prefix of length $v$ is $2^{-v}$) is usually obtained via results in ...
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Area under Gaussian sample path curve
Dear All,
We know that the coastline paradox is related with fractal dimension of a curve. Now I want to know how to estimate the area under a sample path curve of a Gaussian process:
Given a ...
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Applications of the Giry monad in probability and statistics
In another thread, I asked about the $M$ endofunctor on the category $\operatorname{Meas}$ of measurable spaces, which sends a space $X$ to its space of measures $M(X)$.
Will Sawin described the ...
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Fixed objects of the M endofunctor on category Meas
Consider the category $\operatorname{Meas}$ of measurable spaces: its objects are sets equipped with $\sigma$-algebras, and its morphisms are measurable functions between spaces.
As Gerald Edgar &...
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Is there a known asymptotic scaling for the probability of recurrence for a walk on $Z^d$?
I'm curious if there is a known asymptotic scaling for the return-to-origin (i.e. recurrence) probability for a random on $Z^d$ as a function of $d$?
Mathworld gives the recurrence probability:
...
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Distribution of 1-norm for Gaussian Unitary Ensemble
Suppose I uniformly sample matrices X from the Gaussian Unitary Ensemble (GUE) with variance \sigma^2. Consider the Ky-Fan d norm, i.e. the sum of the singular values, of X. Let's call this Z=||X||...
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a problem on DTMC
For a Markov chain $\lbrace X_n, n\ge0\rbrace$ with transition probabilities $P_{i,j}$, consider the conditional probability that $X_n = m$ given that the chain started at time $0$ in state $i$ and ...
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karhunen-Loeve expansion of Poisson process
Let $X_t, t\geq 0$ be a Poisson process with rate parameter $\lambda$. Compute the karhunen-loeve expansion of $X$ in interval [0, T]. How about the KL expansion of the centered process $X_t-\lambda t$...
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What is the purpose of The Four Moment Theorem for Complex Matrices? [closed]
How is this theorem useful in the real world? In general, what is the point of studying limiting distributions of various statistics of random matrices?
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Simple markov chain problem
I know this is an easy problem, but I can't figure it out.
A particle takes discrete steps $σ_1,σ_2,σ_3,…,σ_n$ which take on values +1 or −1. However, $P(σ_i=+1)=p$ and $P(σ_i=−1)$ will be $1-p$.
...
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Deciding whether or not an exponentially distributed random variable exists in a set via the use of a "black box" function
I have some set of known size but with unknown elements, $(x_1, ..., x_N) \in X$, where the elements of $X$ are exponentially distributed random variables with unknown rate parameters, $(\lambda_1, ......
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Multinomial -- how many trials in order to see all the values with prob 1-\alpha
Let suppose that I have a box with $k$ different balls, each one with a different color.
At each time I have to extract a ball and observe the color. Then I put the ball back in the box.
How many ...
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Arithmetic properties of erf functions
I was messing around with Benford's law trying a proof to fill up time on a Saturday, and I ran into a problem. I have the equation $\frac{\mathrm{erf}(2x)-\mathrm{erf}(x)}{\mathrm{erf}(10x)-\mathrm{...
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Do the Eigenvectors find by use PCA on a set of data point, a good replacement for Random Projection when I later on use L1Magic to reconstruct the sparse vector?
Concretely if I use the first k eigenvectors find by PCA with a point set A,to project another sparse vector b to k dimension subspace, then use L1-magic to recover b. Will this be better than a ...
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What's the maximum entropy probability distribution given bounds [a,b] and mean?
What is the continuous probability distribution that maximizes entropy, given only the bounds of the random variable [a,b] and the mean mu of the probability distribution?
For example:
if a=0, b=1, ...
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Infinite electrical networks and possible connections with LERW
I've been exposed to various problems involving infinite circuits but never seen an extensive treatment on the subject. The main problem I am referring to is
Given a lattice L, we turn it into a ...
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Continuous Markov Process and Change of Measure
So I've been thinking about a problem for a little bit and I decided it's time to ask those that know more about the subject than I do. I've been working on some Stochastic Calculus (a new area of ...
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Balls and bins variation
How many balls have to be thrown uniformly at random into $m$ bins, such that with high probability $n_1, n_2, \dots, n_m$ are distinct numbers, where $n_i$ is the number of balls in bin $i$ ?
Is ...
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When does the limit of moments of multivariate distributions determine the limit distribution?
Hello
I'm sorry if this question is trivial but I haven't been able to find an answer. I'm trying to show that a sequence of distributions on $\mathbb{R}^n$ converges to the normal distribution by ...
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