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.
9,023 questions
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What probability distribution is this?
Thank you in advance for any suggestions or feedback.
I have a discrete 1D probability distribution represented as a vector $\textbf{p}$, $p_i = p(x_i)$.
I am interested in finding the Wasserstein (...
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87
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How does one define weak convergence of probability measures in $L^{\infty}(\Omega)$?
I am reading the following article and on page 9/17 (above Eqn (4.9)) the authors state that if $\gamma_{\epsilon_k}|\_G_{\delta}\times \Omega\to \gamma|\_G_{\delta}\times \Omega$ as $\epsilon_k\to 0$ ...
- 537
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113
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How much a probability distribution is non-uniform in a convex subspace of $\mathbb{R}^d$?
I know a number of (standard and well known) ways to measure the distance between two probability distributions and, more in general, to quantify how much one is far from another.
Could you please ...
- 1,677
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113
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Martingale limit theorem with random starting point
For each $n$ let $M_{n}(t)$ be a martingale on $[0,\infty)$ and $\mathbb{E}(M_n(0))=0$. Also $\sigma(t)\geq 0$ be a continuous function such that
$$
[M_n,M_n]_t \xrightarrow{p} \sigma(t), \,\,\&\,\...
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257
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Solving SDE with sign function in drift term?
Consider the following SDE with $X_0 = 1$,
$$
dX_t = X_t\operatorname{sign}(X_t) \, dt + X_t \, dW_t,
$$
where $\operatorname{sign}(x) = \mathbb{1}\{x \ge 0\}$. How am I supposed to solve this SDE?
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176
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CLT for random variables with positive support (e.g. exponential)
I have a bunch of iid $\{X_i\}$ with $X_i \sim \exp(\lambda)$ - let's say $\lambda = 1$. Now, classic version of CLT tells me:
\begin{equation}
\sqrt{n}\left(1-\bar{X}_n\right) \rightarrow \mathcal{N}\...
- 89
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62
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Why does the three points follow by making the two assumptions about the conditioned intensity function?
The intensity function is defined as
$$\lambda^*(t)=\frac{f(t|H_{t_n})}{1-F(t|H_{t_n})}$$
where $f$ is the density function and $F$ is the distribution function, and $H_{t_n}$ is the history of all ...
- 11
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144
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Optimization over the set of all bounded probability measures
Given $X$ finite, fix a continuous function $\theta \in \Delta^+ (X) \to [0,1]$, fix a probability measure $\mu^*$, and a $\varepsilon > 0$. Consider:
$$
\max_{\mu \in \Delta^+ (X)} \theta (\mu), \...
- 67
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141
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Arbitrarily bad rates of convergence in Wasserstein metric
Suppose $W_p(\mu_n,\mu)\to 0$ and $d(E(\mu_n),E(\mu))<r_n$. Here, $W_p$ is the $p$th-order Wasserstein distance (with respect to the metric $d$) and $\mu_n,\mu$ are probability measures on some ...
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59
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Examples of strongly continuous measure-valued functions
Let $X$ be a compact geodesic metric space and let $P_p(X)$ be the set of all finite Borel measure on X with finite $p^{th}$ moment. We equip $P_p(X)$ with the total variation topology metric. What ...
- 5,405
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71
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Conditions for existence of a semi-martingale representing a system of probability measures
Let $(\nu_t)_{t \in [0,1]}$ be Borel probability measures on a stochastic basis $(\Omega,\mathcal{F},(\mathcal{F}_{t \in [0,1]})_t,\mathbb{P})$.
Does there exist a semi-martingale $(X_t)_{t\in[0,1]}$ ...
- 5,405
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83
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Constrained MDP
I have a question that is an extension of this one.
My question is: Can we say that for every policy, there exists a deterministic policy in case of a finite-state, finite-action infinite-horizon ...
- 154
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151
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Definition of conditional expectation for singleton
Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability space and let $\mathcal{G} \subset \mathcal{F}$ be a sub-$\sigma$-algebra. Furthermore, let $X, Y$ be two random variables from our probability ...
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69
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Law of large numbers over each mean of $h$ consecutive variables
Let $X_1, X_2, \dots$ be i.i.d. random variables with finite mean $\mu$.
The (weak) law of large numbers says that
$$\forall\varepsilon > 0\quad \lim_{n \to \infty} \mathbf{Pr}\!\left[\,\left|\...
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139
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How many moments determine a normal distribution?
I know that a Gaussian distribuion is determined by its moments. I was wondering if there is a result of the form:
if we know that the first thousand moments of a random variable are Gaussian, then is ...
- 3,062
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302
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Convergence of characteristic functions vs. weak convergence of measures and the Ito-Nisio theorem
In section 2.6 of Linde's Probability in Banach Spaces: Stable and Infinitely Divisible Distributions the author is pointing out that in infinite-dimensional Banach spaces the convergence of ...
- 167
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64
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How to compute the following probability involving two normal random variables?
$\alpha$ and $\alpha'$ are two independent standard normal random variables. What's the conditional probability $$\mathbb{P}[\alpha >0, \alpha' >0|c_1<|\alpha - \alpha'|<c_2],$$ where $c_1$...
- 327
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68
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Convex optimization under asymmetric loss in infinite dimensional space
The following problem is common in financial economics
$$ \min_{m \in L^2} \mathbb{E}[ \phi(y(\theta)-m)] \quad \text{s.t. } \mathbb{E}[ mx ]= q $$
That is, given a random variable $y(\theta)$ ($\...
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80
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Can we construct a surjective mapping from $\mathbb{R}^{?}$ to this space?
(Note : I'm not sure about the tags, please re-tag this if you think you have the right tag).
I am optimising a certain function over a certain space (that i will describe), and to use non-constraint ...
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97
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Wigner semicircle law and random measures
tl;dr: the proof of the Wigner semicircle law seems to confuse measures with random measures. I do not understand why. Scroll down until 'QUESTION' if you are fine with the theoretical stuff.
T. Tao ...
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150
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Define the convolution root of probability measures on a measurable group
Let $(G,\mathcal G)$ be a measurable group and $\nu^{\ast k}$ denote the $k$th convolution power of a probability measure $\nu$ on $(G,\mathcal G)$ for $k\in\mathbb N$.
Remember that a probability ...
- 167
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233
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Why does the dispersion of X about its conditional mean decreases as the σ−algebra grows? [closed]
Given $ \mathbb{E}X^2<\infty $, how can I show that if two $\sigma$-algebras $\mathscr{G}_1\subset \mathscr{G}_2$, then $\mathbb{E}[Var(X|\mathscr{G}_2)]\leq \mathbb{E}[Var(X|\mathscr{G}_1)]$ ?
I ...
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85
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If $W$ is a Markov chain and $N$ is a Poisson process, then $\left(W_{N_t}\right)_{t\ge0}$ is Markov
Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space, $(E,\mathcal E)$ be a measurable space, $(W_n)_{n\in\mathbb N_0}$ be a time-homogeneosu Markov chain on $(\Omega,\mathcal A,\...
- 167
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39
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The nonparametric estimation in generalized regression model
Let $Y_t \in \mathbb{R}$ be a response variable and $X_t$ a $d$-dimensional explanatory variable. Assume we observe the process that $(X_1, Y_1), \cdots, (X_n, Y_n)$.
\begin{equation}
Y_{t} = \mu(...
- 331
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44
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Solving nonlinear equations involving expectations
Let $X$ be a random variable and $g(x,y)$ be a function of two variables. Consider the equation
$$
\mathbb{E}_Xg(X,y) = 0
$$
Are there any specialized techniques for solving such equations (...
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533
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Follow up: Show that these vectors are linearly independent almost surely
I posted this question some time ago here. I started a bounty for it and received an answer which helped me a lot. However, I still have some issues I want to discuss regarding it. Unfortunately I can'...
- 344
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74
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Convergence of stochastic process $X_n$
Consider the discrete time random process $X_n,n\in \mathbb N$, with
$$X_{n+1}=(1-K)\cdot X_n+K\cdot\frac{G_n}{c}\cdot X_n$$
where $G_n$ is a random variable with expectation $\mathbb E[G_n\mid X_n]=\...
- 5
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156
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Total variation convergence of random matrices and convergence of empirical spectral distributions
In the paper https://arxiv.org/pdf/1411.5713.pdf, on page 17, the authors prove in Theorem 7 that the total variation distance between the joint distribution of the entries of certain Wishart matrices ...
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83
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Random walk in random enviroment
I am looking for a classical analogue of localization for quantum walks.
First, I draw for each point in $x \in \mathbb{Z}^2$ (with some distribution) the numbers $u_x,d_x,l_x,r_x$ such that $u_x+d_x+...
- 1,054
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156
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Laplace transform of sum of random variables in first hitting time problem
Let me refer to the example here.
Suppose $X$ is a birth-death (BD) process (represents population size) that evolves by:
$X \to X+1$ if a birth occurs with rate $\mu$,
$X \to X-1$ if a death occurs ...
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88
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Independent increments for the Brownian motion on a Riemannian manifold
In am not a probabilist, but I must do some stochastic-flavoured work on a connected Riemannian manifold $M$. A nice thing about the Brownian motion on $\mathbb R^n$ is that we may talk about its ...
- 5,407
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92
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Linear independence of Wishart matrices
Let $W\sim W_n(I,d)$ be a real Wishart matrix of an identity covariance matrix and $d$ degrees of freedom, i.e., $W=XX^T$ for $X$ being an $n\times d$ matrix whose entries are i.i.d sampled from a ...
- 123
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340
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Why are financial markets modeled by càdlàg processes?
When opening a book or reading an article on mathematical finance, financial markets (e.g. stock prices) are always modeled by càdlàg semimartingales. I was wondering why it is that these processes ...
- 309
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320
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Does additive Gaussian noise preserves the Shannon entropy ordering?
Suppose that $Z$ is a Gaussian random variable independent of $X$ and $Y$. Moreover suppose that $h(X) \geq h(Y)$, where $h(\cdot)$ is the differential Shannon entropy.
Does relation $h(X+Z) \geq h(Y+...
- 85
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173
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The reason why a test is undersized?
Now I have a statistic $T_n$ for testing $H_0 \leftrightarrow H_1$, and I have proved that:
$$n T_n \rightarrow_d \chi_K^2$$
under $H_0$. Then an asymptotic $\chi^2$ test can be used, an asymptotic ...
- 331
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97
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Minimal perturbation of a Wigner matrix needed to produce an orthogonal top eigenvector
The instructor proposed a the following statement in the passing and suggested that we think about it (although it is not required):
For any $N \times N$ Wigner matrix, we replace $k$ entries with ...
- 519
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161
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My hypothesis about convergence of series of independent random variable I cannot prove/disprove
Let $Y_i$, $X_i$ be sequences of independent random variables. Assume both limits exist: $$\lim_{n \to \infty} \frac{\sum_{i=1}^{n} \operatorname{Var}X_i}{\sum_{i=1}^{n} \operatorname{Var}Y_i},\quad \...
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146
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Does the following sequence $\{g_n\}$ converge?
Consider a function sequence $\{f_n(t)\}$ ($n\in\mathbb{N}^+$) defined on the interval $(\frac{1}{2},1)$, where
\begin{eqnarray}\label{eqn:constraint1}
f_n(t)=\frac{\exp\left(n\left(\log R(h_t) - th_t\...
- 550
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56
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Given multiple posets, what is the probability that a randomly selected (uniform dist) subposet of their product has a max under the product order?
Given multiple totally ordered posets, how do I find the probability that a randomly selected (with uniform distribution) subposet of their product has a maximum under the product order?
I have some ...
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220
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Distributions associated with random sets and sums of random sets
Let's say you have an infinite random set $S$ of non-negative integers, and $T=S+S=\{x+y$ with $x,y\in S\}$. Let $N_S(z)$ be the number of elements of $S$ less than or equal to $z$; it is a random ...
- 3,098
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93
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Regularity with respect to the Lebesgue measure through dimensions
Let us consider two probability measures $\mu \in \mathcal{P}(\mathbb{R}^{p})$ and $\nu \in \mathcal{P}(\mathbb{R}^{q})$ with $p,q \in \mathbb{N}^{*}$. We note $\#$ the push forward operator i.e for $...
- 407
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174
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How to calculate possible arrangements of hexagons?
I was wondering someone could help. I've developed a board game which is made up of six, large hexagonal board pieces, which can be arranged in any order, and with any rotation/arrangement of sides ...
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256
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Question regarding Ito representation theorem
Let $H$ be a Gaussian Hilbert space and $H^{:n:}$ be the homogeneous chaos of order $n$.
and let $D_n:=\{(t_1,\cdots,t_n):t_1<t_2<\cdots <t_n\}$.
For each $n\geq 0$ there exists an isometry
\...
- 515
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321
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Projecting a vector onto a random subspace
Let $A\in\mathbb{R}^{k\times d}$ be matrix with i.i.d. $\mathcal{N}(0,1/k)$ entries with $k<d$, and let $B=A^{\top}A$. I would like to compute the distribution of $Bx$ where $x\in\mathbb{R}^{d}$ is ...
- 129
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106
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Upper bounding the sum with hypergeometric and binomial probabilities
Could you please help me upper bound this tricky expression:
$$P(A)=\sum_{i=0}^n{\left( 1 - \dfrac{\binom kq \binom {n-k}{i-q}}{\binom {n}{i}} \right)}^I \binom ni p^i {(1-p)}^{n-i}$$.
So far I only ...
- 1
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75
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Density function approximation with respect to $L^1$ distance
Given iid samples $X_1,...,X_N$ drawn from some unknown distribution with not necessarily continuous density function $f(x)$ are there any theorems/papers where based on the data $X_1,...,X_N$ an ...
- 103
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79
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Decaying probabilities
A coin $C$ is tossed $n$ times. The coin $C$ is known to have the following properties :
Let $p_i$ denote the probability of showing heads in the $i$-th toss, and $q_i$ denote the probability of ...
- 850
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94
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Theorem 5.3 ([Okounkov-01]) in Borodin and Gorin's lecture note
In this lecture note: https://arxiv.org/pdf/1212.3351.pdf, Theorem 5.3(P28):
Suppose that the $\lambda \in \mathbb{Y}$ is distributed according to the Schur measure $\mathbb{S}_{\rho_1; \rho_2}$. ...
- 288
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45
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On full rank submatrices of a construction
Take two matrices $T_1$ and $T_2$ in $\mathbb Z^{n\times n}$ with entries uniformly in $[-b,b]\cap\mathbb Z$ at some $b>0$. The matrices will be of rank $n$ each with probability at least $1-\frac1{...
- 1,826
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136
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expectation of the exponential of the inverse of variable with Marchenko–Pastur distribution
This question is related to another answered before
distribution on the inverse Wishart matrix eigenvalues summation
my question is, is their finite expression for the expectation of
\begin{align}
{\...
- 377