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.
9,022 questions
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Gaussian white noise model in application
I am interested in applications (to data) of non-parametric statistics, and my question concerned the Gaussian white noise model defined by,
$$
X_{t_1, \ldots, t_d}=f\left(t_1, \ldots, t_d\right) d ...
- 73
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68
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Step in the derivation of the total idle time distribution of an M/G/1 queue
I'm trying to work my way through the proof of Thm. 1.11 in Kyprianou's Introductory Lectures on Fluctuations of Levy Processes with Applications but really struggle to understand the following step. ...
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93
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Can we use epsilon-net method on an open set?
Let $X_{t\in T}$ be a random function where $T$ is a subset of $\mathbb{R}^n$.
Since $T$ has inifite points, we are not able to use union bound to estimate $\sup X_t$. Thus instead, when $T$ is ...
- 49
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74
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Probability distribution for a Bayesian Update
I am struggling with a process like this:
$$X_t=\begin{cases}
\frac{\alpha\omega_t}{\alpha\omega_t+\beta(1-\omega_t)} & \text{with prob } p\\
\frac{(1-\alpha)\omega_t}{(1-\alpha)\omega_t+(1-\beta)(...
- 21
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195
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Anti-concentration for Bernoulli summation
Suppose $\{ Y_i\}_{i = 1}^n$ is i.i.d. Bernoulli distribution with mean $p$. Denote the sample of $\{ Y_i\}_{i = 1}^n$ as $\overline{Y} = \frac{1}{n} \sum_{i = 1}^n Y_i$. I want to know where there ...
- 331
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1
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198
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Spectral norm of matrices of bounded random variables
Assume $A\in \mathbb{R}^{n\times n}$ with each entry being i.i.d. bounded r.v. in $[a,b]$, is $\Vert A\Vert_2$ is sub-Gaussian?
Intuitively, since $\{A_{ij}\}_{i,j=1,...,n}$ is bounded, then
$$\Vert A ...
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79
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Geometry of inner products between the unit vector and several given vectors
Let $\mathcal{S}$ denote the set of all unit complex-valued $d$-dimensional vectors, i.e.,
$$
\mathcal{S} \triangleq \left\{ \mathbf{s}\in \mathbb{C}^{d} \mid \mathbf{s}^{\mathrm{H}}\mathbf{s}=1 \...
- 550
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284
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Second Borel-Cantelli with correlations
Theorem 2.3.8 of Durrett's Probability Theory and Examples gives the following strengthening of the 2nd Borel-Cantelli Lemma:
If $A_1,A_2,\ldots$ are pairwise independent events and $\sum_{n=1}^\infty ...
- 6,541
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78
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Different measurability of Hilbert-space valued random variable
My question is motivated by this link.
Let $(\Omega,\mathcal{F})$ and $(Y,\mathcal{B})$ be measurable spaces, a measurable map $T:\Omega\to Y$ is called a $Y$-valued random variable.
Now let $H$ be a ...
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Norms of Wigner matrices under power law decay
Suppose $\Sigma=\operatorname{diag}(h)$ where $h=(1^{-p},2^{-p},3^{-p},\ldots,d^{-p})$ and $p> 1$
$X$ is a matrix with $b$ rows sampled independently from $\operatorname{Normal}(0,\Sigma)$
Suppose $...
- 2,252
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78
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Kernel density estimation is sub-gaussian
Let $X_1, ..., X_n$ be i.i.d. samples drawn from a pdf $f(x)$ on the real line. The kernel density estimator is defined as follows,
$$\hat{f_n}(x) = \frac{1}{nh}\sum_1^n K(\frac{x-X_k}{h})$$
where $K:\...
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Connectivity constant for lattices
A celebrated result due to Duminil-Copin and Smirnov states that the connectivity constant for the honeycomb lattice is equal to $\sqrt{2+\sqrt{2}}$.
My question is the following: apart from the ...
- 1,561
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When is the image of $T \colon \ell^2 \to \ell^2$ a Gaussian random variable?
In finite dimensions, if $T$ is a linear operator and $x$ is a (centered) Gaussian random variable, then $Tx$ is again a (centered) Gaussian random variable.
Now suppose that $x$ is a (say, centered) ...
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Predictability of the mild solution of a SPDE
Consider the following theorem (picture below) taken from Pardoux's lecture notes: Stochastic partial differential equations available at scholar google: https://scholar.google.ca/scholar?q=etienne+...
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46
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Conditional probability calculation for altering a sequence of data
I am trying to understand a paper with the hope of implementing it in code. I have a data sequence and would like to alter an element based on given probabilities.
Say I have datapoint $X = [0,1,2,1,0,...
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34
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Inequalities for generalized variance
Let $(X, \mu)$ be a measured space with $\mu(X) = 1$.
Given $\phi \in L^\infty(X, \mu)$, $\phi > 0$, let me define, for $\alpha \geq 1$, $\beta > 0$, the quantity
$$
I(\alpha, \beta) = \left(\...
- 1,263
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293
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Can we prove the following anti-concentration inequality of polynomials of square Gaussian variables?
Following this question Anti-concentration of Gaussian quadratic form. We have the following inequality:
Let $X_1,\dots,X_n$ denote i.i.d. standard Gaussian random variables. For every $\epsilon>0$...
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Modification of a lemma on the boundness of a stochastic process
Lemma 1 is widely used in the stability proof of stochastic process.
Lemma 1 Assume that $\xi_k$ is a stochastic process and there is a stochastic process $V(\xi_k)$ as well as real numbers $\upsilon_{...
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Probability of polynomials products to be bounded by a given bound
I am given a quotient ring $R=\frac{\mathbb{Z}[x]}{\left< x^n +t\right>}$ for $t\in\mathbb{Z}$,
and two polynomials from $R$, $A$,$B$ and let $C$ to be there product.
Defining the norms $$\Vert ...
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65
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Can I explore the infinite cluster of Bernoulli percolation in $\mathbb{Z}^2$?
In Bernoulli percolation on the square lattice $\mathbb{Z}^2$ every edge is kept with a probability $q$ and erased with probability $1-q$. It is classical that whenever $q > \frac{1}{2}$ there is ...
- 1,054
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205
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Inhomogeneous Markov chains and the product-integral as a solution to the Kolmogorov forward equation
We have a inhomogeneous continous $K$-State Markov chain $X(t)$ with transition intensity matrix $Q(t)$. Therefore its entries are:
$$q_{ij}(t)= \lim_{\delta \to 0} \frac{1}{\delta} \mathbb{P}(X(t+\...
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82
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WLLN for bootstrap means of stationary ergodic processes?
Setup:$\quad$
Suppose that $(X_n)$ is a stationary ergodic process with $E|X_1|<\infty$.
Given $X^{(n)}=(X_1, \dots, X_n)$, select a standard Efron bootstrap subsample $(X_{n,1}^*, \dots, X_{n,m(n)}...
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72
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A moment-based stochastic order
Given that a Borel probability measure $\mu$ on [0,1] is characterized by its moments, it seems natural to consider the following stochastic order: say that $\mu\le\mu'$ if $$\forall k\in\mathbb N,\...
- 234
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53
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Continuity of exit times on path spaces
Let $(E,d)$ be a locally compact separable metric space. Let $\mathcal{D}=\mathcal{D}([0,\infty),E)$ denote the space of right continuous functions on $[0,\infty)$ having left limits and taking ...
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Comparison of Rademacher and Gaussian expected values under linear transformations
As per suggestion, I have decided to post the following as a new question, but it is a follow-up to this one: Comparison of Rademacher and Gaussian moments under linear transformations
Let $X$ be an $...
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Anti-concentration of the $\ell_2$ norm of log-concave measures
This question is regarding a special case of this question, for which it is plausible the details are known.
The Carbery-Wright inequality is an "anti-concentration inequality" that states ...
- 2,183
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118
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A measure on the group of homeomorphisms of $\mathbb T^2$
Let us consider the group of measure-preserving homeomorphisms of $\mathbb T^2$ (with transformations identified if they agree almost
everywhere) called $G[\mathbb T^2, \mathcal L^2]$. We shall ...
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29
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k-means errors for a block Gaussian vector
Consider a standard centered Gaussian vector $(X_1,...,X_n)$ with an approximate block structure, i.e. there is $q$ and a partition of $\{1,...,n\}$ in $q$ classes such that if $i,j$ are in the same ...
- 1,352
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69
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Likelihood ratio of non-trivial cycles in an inhomogeneous random square lattice graph embedded on a toroidal surface
Consider a square lattice (random) graph $G$ embedded on a toroidal surface. Each edge $(i, j)$ of the graph has an associated likelihood probability $p_{ij}$. The probabilities $p_{ij}$ come from a ...
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181
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What to do when the second moment method does not provide a sufficient bound for $P(X=0)$
We have that for a real valued random variable $X$,
$$
P(X=0) \leq \frac{\text{Var}(X)}{\left(\mathbb{E}(X)\right)^2}
$$
known as Chebyshev's inequality. Consider a random variable $X \in \{0,1,2,\...
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Does such probability distribution exist?
I'm hunting for a probability distribution with the following properties:
The support is $(0,\infty)$.
Denote by $F(x)$ the CDF of this distribution.
If $X_1, X_2,...$ are independent random ...
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If $\kappa$ is a Markov kernel with density $p$, does it generally hold $p(x,z)=\int p(x,y)p(y,z)\:{\rm d}y$?
Let $(E,\mathcal E)$ be a measurable space and $\kappa$ be a Markov kernel on $(E,\mathcal E)$. Assume that $$\kappa(x,B)=\int_Bp(x,y)\:\lambda({\rm d}y)\;\;\;\text{for all }(x,B)\in E\times\mathcal E$...
- 167
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227
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Constructing Markov chain
Let $(A_1,B_1)$ and $(A_2,B_2)$ be two random variables with the joint distributions $p_{A_1B_1}$ and $p_{A_2B_2}$, respectively. Moreover, we have
$$\mathbb{P}[(A_1,B_1)\neq (A_2,B_2)]=\alpha.$$
Then,...
- 287
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468
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The relationship between measurability and weak measurability
For a Banach-valued random mapping $f:\Omega\rightarrow X$, there are three kind of measurability: strong measurability (can be approximated by sequence of simple
functions, measurability (the ...
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139
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How to prove the independence of infinite sequence of random variables? (feat. "$N$ bins and $N$ balls" problem)
Consider a triangular array of random variables
$$X^1_1\\
X^2_1, X^2_2\\
..............\\
X^N_1, X^N_2, ..., X^N_N\\
....................\\
X_1, X_2, ..................
$$
For each $N$ ($N=1,2,\ldots$)...
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Question regarding properties of map which produces measures that are invariant to orthogonal rotation
Let $\mathcal{M}_1$ denote the set of probability measures on the unit ball in $\mathbb{R}^d$ (which comes with its Borel $\sigma$-field). Denote by $\sigma$ the uniform measure on the orthogonal ...
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If $X$ is a right-continuous process, is $t\mapsto\operatorname E\left[X_\tau\mid\tau=t\right]$ right-continuous as well?
Let
$(\Omega,\mathcal A,\operatorname P)$ be a probability space;
$(X_t)_{t\in[0,\:\infty]}$ be a real-valued process on $(\Omega,\mathcal A,\operatorname P)$;
$\tau$ be an $[0,\infty]$-valued random ...
- 167
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Does the convergence of $f_n$ imply the convergence of $\mathbb P[\inf_{0\le s\le t}(W_s-f_n(s))\le 0]$?
Let $(f_n)_{n\ge 1}$ be a sequence of non-decreasing and continuous functions defined on $\mathbb R_+$ and taking values in $[0,1]$. Further, for each $t\ge 0$, $n\mapsto f_n(t)$ is non-decreasing. ...
user478657
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222
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Convergence to normal distribution in total variation distance
Let $X_i$ be independent, identically distributed random variables with a uniform distribution on $\{M+1,...,2M\}$ (say), where $M$ is a positive integer. What would be a lower bound for how rapidly $...
- 20.2k
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72
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Estimates on the density of hitting time for planar Brownian motion
Consider a polygon $\Pi \subset \mathbb{R}^2$, and let $T_{\Pi,x}$ be the (random) time a Brownian motion started at a point $x$ in its interior first crosses $\Pi$.
For any such $\Pi$, do there exist ...
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1
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184
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Union Bound of two events?
Inequality 1
\begin{align}
\mathbb{P}\left(\frac{1}{n} \sum_{i=1}^{n}\left(f\left(x_{i}\right)-\mathbb{E}[f]\right) z_{i} \geq \frac{\epsilon}{8}\right) \leq 2 \exp \left(-\frac{\epsilon^{2} n d}{9^{4}...
user158501
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45
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Lower bound for the gap in an interval randomly divided into $M$ pieces
Assume we randomly take $M$ integers $t_1 \le t_2 \le \dots \le t_M$ from the set of integers $\{ 1, 2, \dots, T \}$ such that $t_M = T$. We further denote $t_0 = 1$ for convention. For each $s \in [1,...
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444
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Expectation of complex random variable
I am researching frequency offset estimation and ended up reading a paper "Cramer-Rao Lower Bound on Frequency Offset Estimation Error in OFDM Systems With Timing Error Feedback Compensation"...
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1
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267
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On the Markov property of a limit process
Let $E$ be a locally compact separable metric with countable base. We consider a sequence of Hunt processes $\{X^{(n)}\}_{n \in \mathbb{N}}$ on $E$. That is, each $X^{(n)}=(\{X_t^{(n)}\}_{t \in [0,\...
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36
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How to recalculate the weights for an event that happens multiple times and requires all outcumes to be unique?
I think it's easiest to explain with an example.
I have a weighted probability list
A : 0.15
B : 0.15
C : 0.15
D : 0.1
E : 0.1
F : 0.1
G : 0.1
H : 0.075
I : 0.075
...
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63
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The moment problem for $m_n=1/n$
What is the p.d.f. for the moments $m_n=1/n$ ?
(They are obtained from $\int_0^1 x^n/x\ dx $, but clearly $1/x$ is not a p.d.f. on $[0,1]$)
- 85
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97
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Verification of a certain computation of VC dimension
Disclaimer: I'm not very familiar with the concept of VC dimensions and how to manipulate such objects. I'd be grateful if expects on the subject (learning theory, probability), could kindly proof ...
- 6,853
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195
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Upper-bound for bracketing number in terms of VC-dimension
Let $P$ be a probability distribution on a measurable space $\mathcal X$ (e.g;, some euclidean $\mathbb R^m$) and let $F$ be a class of funciton $f:\mathcal X \to \mathbb R$. Given, $f_1,f_2 \in F$, ...
- 6,853
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83
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Distortion estimates to control Hausdorff measure of a curve
I am studying the paper Blumenthal - Statistical properties for compositions of standard maps with increasing coefficent.
I have a problem to understand how the distortion estimates are used. The ...
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189
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Proability analysis in Euclidean LSH
I am learning about LSH(Locality Sensitive Hashing) for Euclidean distance, that is, a technique to hash vectors in $\mathbb{R}^d$ and make sure close vectors (in Euclidean distance) are hashed into ...
- 9