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.
908 questions
1
vote
0
answers
416
views
When does a proper Zariski closed set have measure zero with respect to a conditional measure?
Assume we have a probability measure $\mu$ over $\mathbb{R}^d$ that is absolutely continuous with respect to Lebesgue measure.
Given $m$ polynomials $p_1,\ldots,p_{m}\in \mathbb{R}[x_1,\ldots,x_d]$ ...
- 61
1
vote
3
answers
3k
views
Any reference on Brownian Motion continuity
Hi,
I've started studying brownian motion, and gathered some books on the subject but
something looks odd to me : All of the presentations I've seen this far consider the continuity of the brownian ...
- 244
1
vote
1
answer
264
views
How to prove that upper bound of the hitting time holds with high probability?
Let $G$ be a symmetric Gaussian random matrix with iid $E[G_{ij}]=0$ and $E[G_{ij}^2]=\frac{1}{n}$, and ordering its eigenvalues $\lambda_1\le \lambda_2\le \dots \le \lambda_n$ corresponding ...
- 288
1
vote
1
answer
166
views
Question abouth Skorokhod representation of random variables (II)
This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ \...
- 1,835
1
vote
2
answers
139
views
Inaccurate results for the analytical expression of $\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]$
I'm trying to plot a graph for the following expectation
$$\mathbb{E}\left[ a \mathcal{Q} \left( \sqrt{b } \gamma \right) \right]=a 2^{-\frac{\kappa }{2}-1} b^{-\frac{\kappa }{2}} \theta ^{-\kappa } \...
1
vote
0
answers
95
views
Prove that a local martingale with spatial parameter is differentiable
Let
$(\Omega,\mathcal A,\operatorname P)$ be a complete probability space
$T>0$
$I:=(0,T]$
$(\mathcal F_t)_{t\in\overline I}$ be a complete and right-continuous filtration on $(\Omega,\mathcal A,\...
- 167
1
vote
1
answer
215
views
Does $\mathcal{KL}(D)$ admit the "yanking" axiom
Bob Coecke made the "yanking" axiom famous as he applied it to teleportation in Quantum Computing:
This is normally presented on the category of Hilbert spaces, and so here is a derivation ...
- 331
1
vote
1
answer
127
views
Almost certain extinction for a Markov Jump Process
I'm studying a simplification of a biological neuron model with $n$ neurons. We are describing the evolution of the membrane potential of each neuron. Let $(X_t)_{t\geq 0}$ be a Markov Jump Process in ...
- 203
1
vote
0
answers
103
views
Confusion optimal control abuse notation
I'm currently reading this paper describing a numerical scheme for the approximating optimal policy of a stochastic control problem. However, I run into a confusion directly on the first page where ...
- 5,405
1
vote
0
answers
1k
views
Guessing the next card colour in a deck [closed]
Hi there, here's another puzzle I've been looking at.
Suppose you are to guess the colour of the next card in an ordinary deck of 52 cards---red or black---one at a time. How many can you expect to ...
- 181
1
vote
1
answer
976
views
Concentration of the load of the maximally loaded bin ($m$ balls $n$ bins) with nonuniform bin probabilities
There is a common argument used when investigating the concentration of the maximally loaded bin (say $X$ is the maximum load) when $m$ balls are thrown into $n$ bins under the uniform distribution. I ...
- 10.4k
1
vote
1
answer
230
views
VC dimension of a certain derived class of binary functions
Let $X$ be a measurable space and let $P$ be a probability distribution on $X \times \{\pm 1\}$. Let $F$ be a function class on $X$, i.e., a collection of (measurable) functions from $X$ to $\mathbb R$...
- 6,853
1
vote
1
answer
216
views
Rademacher complexity of function class $(x,y) \mapsto 1[|yf(x)-\alpha| \ge \beta]$ in terms of $\alpha$, $\beta$, and Rademacher complexity of $F$
Let $X$ be a measurable space and let $P$ be a probability distribution on $X \times \{\pm 1\}$. Let $F$ be a function class on $X$, i.e., a collection of (measurable) functions from $X$ to $\mathbb R$...
- 6,853
1
vote
1
answer
377
views
Order statistics of iid uniform RV and Pólya's urn model. Question about a.s. convergence
Let $U_1,U_2,U_3,\dots$ be IID uniform on $[0,1]$. For each $n\geq 1$ let
$$U_{1:n}<U_{2:n}<\dots<U_{n:n}$$
be the order statistic of $(U_1,\dots,U_n)$. Independent of the $U$ process there ...
- 265
1
vote
0
answers
83
views
Tracy Widom type results for asymptotic distribution of the $k$-th largest eigenvalue of the sample covariance when $n, p \to \infty$?
Earlier I asked a question: Distribution of the $k$-th largest eigenvalue of in the sample covariance matrix?, but I forgot to mention that I'd like results for asymtotic regime. So, I'm posting here ...
- 1,467
1
vote
1
answer
182
views
From probability distribution in $\mathbb{R}^3$ to probability distribution in $\mathbb{R}^4$
I am working on a research paper where I need to investigate conditions for the existence of probability distributions satisfying certain characteristics. I have already asked a related question (here)...
- 108
1
vote
1
answer
338
views
Expected values of two non-negative, integer-valued random variables related to an urn problem
Consider an urn containing $c$ distinguishable balls, $\alpha$ of which are red, $\beta$ of which are blue, and $\gamma$ of which are green, and $\alpha+\beta+\gamma=c$. We assume $\alpha,\beta,\gamma&...
- 145
1
vote
1
answer
632
views
Does sequence almost sure convergence imply almost sure convergence?
This is a cross-post of this and this questions from math.stackexchange.com since I have not received any response there. I would like to seek help here.
Suppose $x(t,\omega): [0,T]\times\Omega\...
- 2,239
1
vote
1
answer
561
views
What do you call a Markov kernel continuous w.r.t. the weak topology?
Let $X$ and $Y$ be Polish spaces and $K$ a Markov kernel from $X$ to $Y$. That is, $K$ is a mapping $X \times \mathcal{B}_Y \rightarrow [0,1]$ (where $\mathcal{B}_Y$ is the $\sigma$-algebra of Borel ...
- 1,368
1
vote
3
answers
173
views
Is $\sum_{\substack{s\:\ge\:0\\\Delta X_s\:\ne\:0}}1_B(s,\Delta X_s)$ measurable for fixed $B\in\mathcal B([0,\infty)\times\mathbb R)$?
Let $(X_t)_{t\ge0}$ be a càdlàg Lévy process on a filtered probability space $(\Omega,\mathcal A,(\mathcal F_t)_{t\ge0},\operatorname P)$ and $B\in\mathcal B([0,\infty)\times\mathbb R)$.
How can we ...
- 167
1
vote
1
answer
151
views
If $f(x_1,x_2)=f(x_2,x_1)$, $f(x_1,x_2)=\sum_k \lambda_k f_k(x_1)f_k(x_2)$? [closed]
Consider a symmetric function
$$
f(x_1,x_2):R^n \times R^n \to R
$$
satisying $f(x_1,x_2)=f(x_2,x_1)$. Are there functions $f_k:R^n \to R$ such that
$$
\int_{x\in R^n}f_k(x)f_l(x)dm=\delta_{kl},
$$
...
1
vote
1
answer
152
views
Discrepancy of random bipartite graphs (2)
This question is a modification of the one asked here, which turned out to ask for something too strong to be true.
Given $k>0$ and a positive integer $n$, let $X, Y$ be two vertex sets of size $n$ ...
- 3,446
1
vote
2
answers
1k
views
Probability spaces involved in using Bayesian Inference
I am currently reading "Statistical and Inductive Inference by Minimum Message Length" by C.S. Wallace. In this, Wallace gives a fairly informal account of Bayesian Inference which, in the case ...
- 119
1
vote
0
answers
177
views
Building random homeomorphisms of the torus $\mathbb T^2$
In https://arxiv.org/abs/0912.3423, a family of random homeomorphisms of the circle is constructed. Main Question: Can the construction be generalized to higher space dimensions, e.g. to $\mathbb T^2$?...
- 101
1
vote
1
answer
649
views
Extreme Points of a set of distributions with moment and/or support constraint
Let $X$ be a random variable with the distribution $F$ (cdf).
What are the extreme points of the sets of the form:
\begin{align}
P_1&=\left\{ F: \int |x|^k dF\le c \right\},\\
P_2&=\left\{ F:...
- 671
1
vote
0
answers
235
views
Two increasingly correlated Brownian motions and Williams decomposition
The Williams decomposition is
Let $(B_t-\nu t)_{t\geq 0}$ be a Brownian motion with negative drift $\nu>0$ and let $M_\infty^{-\nu}:=\sup_{t\in [0,\infty]}(B_t-\nu t)$. Then conditionally on $M_\...
- 5,474
1
vote
1
answer
118
views
Comparison of Rademacher and Gaussian moments under linear transformations
Let $X$ be an $n$ dimensional standard Gaussian and let $U$ be an $n \times n$ orthogonal matrix. Then, the random vector $Z = U^\top X$ is also distributed as a standard Gaussian in $R^n$ and we have ...
1
vote
2
answers
327
views
Use covering number to get uniform concentration from pointwise concentration
Let $\Theta$ be a subset of a metric space. Suppose $(X_\theta)_{\theta \in \Theta}$ is a random process on $\Theta$ which is $L$-Lipschitz and with the property that there exists constants $A, B>0$...
- 6,853
1
vote
1
answer
385
views
How fast does this Gaussian random walk move away from the origin?
Suppose $z_i$ are IID zero-centered $d$-dimensional Gaussian random variables with unit-trace covariance $\Sigma$ and $g(z_i)$ is the sum of its components.
Consider the following random walk:
$$x_s=\...
- 2,252
1
vote
0
answers
463
views
How far away is the maximum of $n$ i.i.d. chi-squared random variables from the rest of the sequence as $n$ gets large?
Suppose that I have a sequence of $n$ i.i.d. chi-squared random variables with $k$ degrees of freedom $X_1, X_2, \ldots, X_n$, and denote $X_{\max}=\max(X_1, X_2, \ldots, X_n)$. Let $k$ be increasing ...
- 907
1
vote
0
answers
100
views
Conditions on a measure to satisfy certain relation on moments.
Suppose we have a measure $\mu$ on $\mathbb R_+$ such that $\forall s>-1$ $t^s\in L^1(\mathrm d\mu(t))$.
I'd like to impose some conditions on $\mu$ so the function
$$f:p\to \frac{\int_0^\infty t^...
- 173
1
vote
1
answer
415
views
Approximate the singular values of a certain random dot-product kernel matrix (in the sense of El Karoui, Cheng-Singer, etc.)
Let $g:\mathbb R \to \mathbb R $ be a continuous function which is
"sufficiently smooth" (e.g $\mathcal C^3$) around $0$, and
"sufficiently integrable" (e.g integrable w.r.t $N(0,...
- 6,853
1
vote
2
answers
278
views
Is integral of adapted separable process adapted?
Assume $f(t,\omega)$ is (i)separable, (ii) measurable as function from $((0,T)×\Omega)$ into $R$ and (iii) is adapted to the filtration $F_t, 0<t<T$
Also $\int_0^Tf^2(s)ds<\infty$ almost sure....
1
vote
1
answer
97
views
A strict inequality for the $L^1$-norm of a symmetrized zero-mean random variable
Suppose that $Y$ is an independent copy of a random variable (r.v.) $X$ with a zero-mean nondegenerate distribution. Is it then always true that $E|X-Y|>E|X|$?
To get the non-strict version of ...
- 128k
1
vote
2
answers
190
views
PDF of $g = \frac{1}{n} \sum_{k=1}^{n}{|h_k|\exp\left( j \theta_k \right)}$?
Given the following function of random variables
$$g = \frac{1}{n} \sum_{k=1}^{n}{|h_k|\exp\left( j \theta_k \right)},$$
where $h_1, \cdots, h_n$ are i.i.d. random variables following the complex ...
1
vote
1
answer
89
views
Correlation between r.v.'s following a distribution that is the ration between complex Gaussian and Chi-square r.v.'s
Given the following two R.V.s
$$z_{1} = \frac{x_{1}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
and
$$z_{2} = \frac{x_{2}}{|x_{1}|^2 + |x_{2}|^2 + ... + |x_{M}|^2}$$
where $x_{i} \sim \mathcal{CN}(...
1
vote
1
answer
209
views
What is the drift for a convex combination of Girsanov measures?
Consider two Girsanov measures $\mu_1$ and $\mu_2$ corresponding to drifts $F_1(t)$ and $F_2(t)$ respectively. By this, I mean that we have that $B(t)\sim F_1(t)+\tilde B(t)$ where $\tilde B(t)$ is a ...
- 93
1
vote
0
answers
81
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
1
vote
1
answer
269
views
Can I prove that a polynomial representing the 4th moment of a weighted-sum of random variables is a sos?
I am looking at the 4th central moment of a weighted-sum of correlated random variables, which takes the form
$$\mu_4 = \sum_{i,j,k,l=1}^n w_i w_j w_k w_l \mu_{ijkl}$$
where $\mu_{ijkl}$ are the ...
- 173
1
vote
1
answer
119
views
Comparison of hitting probability of two Markov chains both with only one absorbing state
Let $N_n:=\{1,2,\cdots,n\}$. Given two finite states Markov chains $\big(X^{(j)}_i\in N_n\}\big)_{i=0}^\infty$ for $j\in\{1,2\}$, both of which have one absorbing state $1$.
Pr$(X^{(1)}_{i+1}=1|X_i=1)...
- 2,239
1
vote
1
answer
84
views
Asymptotic property of the left singular vectors of i.i.d. data matrix
Let $\mathbf{X}$ be $(n \times p)$-dimensional data matrix ($n > p$) whose rows $\mathbf{x}_i$ are i.i.d. with some finite moments:
$$
\mathbf{X}^\top = [\mathbf{x}_1, \ldots \mathbf{x}_n]^\top.
...
- 284
1
vote
1
answer
124
views
References: error and stability estimates for information projection
$\newcommand\SS{P}\newcommand\TT{Q}$I will call a Gaussian probability measure $\SS$ on $\mathbb{R}^d$ isotropic if its covariance matrix is diagonal with non-vanishing determinant; i.e. $\Sigma_{i,i}&...
- 364
1
vote
1
answer
1k
views
Predictable quadratic Variation <.> has same intervals of constancy as the process
From
Revuz and Yor - Continuous Martingales and Brownian Motion 1999
Chapter IV Proposition 1.13
it is proven, that for a continuous local martingale $M_t$ the intervals of constancy ...
- 257
1
vote
0
answers
291
views
Incremental computation of a conditional entropy
Is it possible to compute a conditional entropy (see the two following formulas) in an incremental manner ? That is, the sets C and K are not fix: each time we have a new element c, set K may increase ...
- 123
1
vote
1
answer
88
views
Independence of r.v.'s following a distribution that is the ratio between complex Gaussian and Chi-square r.v.'s
Given the following two R.V.s
$$z_1 = \frac{x_1}{|x_1|^2 + |x_2|^2 + \cdots + |x_M|^2}$$
and
$$z_2 = \frac{x_2}{|x_1|^2 + |x_2|^2 + \cdots + |x_M|^2}$$
where $x_i \sim \mathcal{CN}(0,a), \forall i$...
1
vote
1
answer
216
views
To prove a relation involving a probability distribution
I'm reading a book and have encountered a relation which seems to me to be impossible to prove, I would like to be sure if this is the case. The author gives a probability function as
$$p_n = \frac{e^...
user318428
1
vote
0
answers
78
views
Canonical representation of the a probability distribution for Hammersley Clifford Theorem
I'm reading the following paper
http://www2.stat.duke.edu/~scs/Courses/Stat376/Papers/GibbsFieldEst/BesagJRSSB1974.pdf
On page 7 they give the result that
$$Q(\textbf{x}) = \sum_{1 \leq i \leq n} ...
- 903
1
vote
1
answer
505
views
Gaussian measures on non-separable spaces
Let $X$ be a topological affine space which is neither separable nor metrizable. There are plenty of trivial Gaussian measures: each Dirac point-mass $\delta_x$ are the Gaussian measure with zero ...
- 8,512
1
vote
3
answers
270
views
Lower bounding the probability that a zero-mean sequence of random variables stays positive
Assume that $X_n$ is a sequence of a zero-mean and unit variance random variables (and maybe having density w.r.t. to Lebesgue). Can we conclude that $ P(X_n \in [0,R_n]) $ is bounded away from zero ...
- 1,731
1
vote
0
answers
428
views
When inequality in Mrs. Gerber's lemma is almost equality?
Let $X=x_1\ldots x_n$ be a random variable.
Assume that every $x_i$ takes values in $\{0,1\}$.
Assume also that for every $I \subseteq \{1,\ldots, n\}$ the Shannon entropy of random value $X_I$
[if $I ...
- 2,576