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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An Easy Sanov-Type Theorem for Markov Chains?
First, the (simple!) setup:
I have a Markov chain X t on some finite state space Ω with stationary distribution π, and a function f from Ω to R. I'd like to estimate the integral of ...
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1
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How to choose $L$ size-$m$ subsets of $\{1,\ldots,n\}$ to maximize expected max overlap with another randomly chosen subset?
GIVEN: Positive integers $n,m,L$ and probabilities $p_1, p_2, \ldots, p_n$.
GOAL: Choose $L$ size-$m$ subsets $S_1, S_2, \ldots, S_L$ of $\{1,2,\ldots,n\}$ to maximize $\displaystyle \mathbb{E}[ \...
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Probability in number theory
I am hearing that there are some great applications of probability theory (or more general measure theory) to number theory. Could anyone recommend some good book(s) on that (or other types of ...
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Average distance between numbers of the form $2^{a}3^{b}$
I want to order all numbers of the form $2^a3^b$. I need to find the average distance between a random consecutive pair.
For example, in case of a random consecutive pair $2^{n'}$ and $2^{n'+1}$, the ...
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devise a joint distribution of $\alpha$ and $\beta$
If we assume probability density distribution functions of random variables $\alpha$, $\beta$ and $\alpha/ \beta$, we would like to devise a joint distribution of $\alpha$ and $\beta$. Although ...
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Where can I learn about master equation?
I am reading a paper by Dorogovstev on structure of growing complex networks with preferential linking. I need to learn master equation for this.
I need a reference for the same.
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Integral determines function behaviour
Let us define:
$f(t) = t^{-1} \int_{\mathbf{R}^{3}} Exp[-\frac{x^2}{2t}] h(x) dx,$
for a real function h. What can I say about this function if I know that
$f(t) \rightarrow 1$.
I think that the ...
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A random variable: is it a function or an equivalence class of functions? [closed]
A random variable: is it a function or an equivalence class of functions?
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limsup and liminf for a sequence of sets
how does limsup and liminf for a sequence of sets, apply to probability theory. any real world examples would be much appreciated
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univariate prior corresponding to weighted sum of L1 and L2 penalties?
Is there a univariate probability distribution $p_{\lambda,\alpha}(\beta)$ over the reals, parameterized by $\lambda > 0$ and $1 >= \alpha >= 0$, such that $p_{\lambda,\alpha} \propto \exp(-\...
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Correlation of Statistical Tests
Suppose I have a sequence $\{x_i\}_{i=1}^\infty$ of zeros and ones. I want to test if they are randomly generated according to a conjectured scheme (the example to keep in mind is that they are ...
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Extension of some feature of SDE Ornstein-Uhlenbeck type
Hi everyone,
I am looking for some ideas (or references) in order to get an explicit SDE (if it exists) which would have a stylised property extending in some sense the mean-reversion property of SDE ...
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Reconstructing an ordering of a multiset from its consecutive submultisets
We have a multiset $S$ of size $t$ with $r$ distinct elements, where $t$ is much larger than $r$. We want to reconstruct an ordering $s_1, s_2, ... s_t$ of the elements of $S$ given the values of $t$ ...
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Local view of setting p*n out of n bits to 1
For p a constant in (0,1) and n going to infinity such that pn is an integer,
consider the distribution on n bits that selects a random subset of pn bits, sets those to 1, and sets the others to 0.
...
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probability puzzle - selecting a person
there are n people on a round table. one of the them is the head and he plans to make another person from the rest the new head. he has a coin. he flips the coin. if he gets a head he gives the coin ...
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Heuristically false conjectures
I was very surprised when I first encountered the Mertens conjecture. Define
$$ M(n) = \sum_{k=1}^n \mu(k) $$
The Mertens conjecture was that $|M(n)| < \sqrt{n}$ for $n>1$, in contrast to the ...
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When does the ratio X/Y of two random variables have a finite moment-generating function?
Let $X$ and $Y$ be two positive random variables with $Y < X$; these may be highly correlated. I would like a reasonable condition on $X$ and $Y$ so that the ratio $X/Y$ has a finite moment-...
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What is the probability distribution function for the product of two correlated Gaussian random variable?
Suppose we have pair $(X,Y)\sim Normal([\mu_x,\mu_y],{{\sigma_x^2\atop\rho \sigma_x\sigma_y } {\rho \sigma_x\sigma_y \atop \sigma_y^2} }] $
How is $U=X\cdot Y$ distributed?
I've tried to compute this ...
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What's the use of a complete measure?
A complete measure space is one in which any subset of a measure-zero set is measurable.
For what reasons would I want a complete measure space? The only reason I can think of is in the context of ...
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Does War have infinite expected length?
My question concerns the (completely deterministic) card game known as War, played by seven-year-olds everywhere, such as my son Horatio, and sometimes also by others, such as their fathers.
The ...
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Brownian Approximation of Downswings of Walks with Positive Drift
I'm interested in the downswings of discrete walks w(t) whose steps are IID, bounded, and have positive mean. A simple example might have steps which are +1 with probability 2/3, and -1 with ...
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Sample from uniform distribution vs. Sample from random distribution
I could sample a set of m elements from the uniform distribution over a universe $U$ of n >> m elements. Alternately, I could select a random probability distribution $\mathcal{D}$, and sample $m$ ...
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Name for probabilistic version of Pascal's identity and differentiation formula for binomial distribution
I'm trying to find a standard name or standard reference for two simple-to-prove relations involving binomial distributions.
Define:
$b(n,r,p) := \binom{n}{r}p^r(1 - p)^{n-r}$
i.e., it is the ...
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Differential Entropy of Random Signal
Prove that the Normal (Gaussian) Distribution with a given Variance $ {\sigma}^{2} $ maximizes the Differential Entropy among all distributions with defined and finite 1st Moment and Variance which ...
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How to estimate the growth of the probability that $G(n, M)$ contains a $k$-clique
Let $k\geq 3$ be a fixed positive integer. Define
$t_k(M)=\Pr[G(n, M) \text{contains a}\ k-\text{clique}]$, where $G(n, M)$ is the random graph uniformly distributed on all $n$-vertex graphs with $m$...
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What is the probability that 4 points determine a hemisphere ?
Given 4 points ( not all on the same plane ), what is the probability that a hemisphere exists that passes through all four of them ?
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Is there any random variable which has unbounded fourth moment? [closed]
In many statements in probability, there is an assumption like bounded fourth moment. So is there any random variable which has unbounded fourth moment?
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Why isn't likelihood a probability density function?
I've been trying to get my head around why a likelihood isn't a probability density function. My understanding says that for an event $X$ and a model parameter $m$:
$P(X\mid m)$ is a probability ...
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Integrating a simple exponential over the space of matrices that define a metric
I want to interpret an $n\times n$ matrix $D$ as a set of pairwise distances, and assume that $D$ obeys metric properties. Namely, $D_{ii} = 0$, $D_{ij} \geq 0$, $D_{ij} = D_{ji}$ and $D_{ij} \leq D_{...
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Efficiently sampling points from an integer lattice.
Let $\mathcal{L}$ = {x$\in$ $N^n$ : ||x||$_1$ $\leq$ m} denote the set of integer points in the positive orthant of the $\ell_1$ ball of radius $m$, where $m < n$. For each $x \in \mathcal{L}$, let ...
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Optimal monotone families for the discrete isoperimetric inequality
Background: the discrete isoperimetric inequality
Start with a set $X=\{1,2,...,n\}$ of $n$ elements and the family $2^X$ of all subsets of $X$.
For a real number $p$ between zero and one, we consider ...
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Methods for choosing a result from a multiple output node Neural Network
I have a MLP with multiple nodes in its output layer which is predicting membership of classes, one class per output node. I am currently using a "winner takes all" rule for determining which output ...
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How to estimate the fraction of graphs with small clique among the graphs with certain edges
Among all $n$-vertex graphs with $M$ edges and constant $k$, how to estimate the fraction of graphs of clique less than $k$? Thanks.
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Number of uniform rvs needed to cross a threshold
Let $N(x)$ be the number of uniform random variables (distributed in $[0,1]$) that one needs to add for the sum to cross $x$ ($x > 0$). The expected value of $N(x)$ can be calculated and it is a ...
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Counting lattice points on an n-simplex
Imagine an n-simplex, the solution set for the expression: $a_1$*$x_1$ + $a_2$*$x_2$ + ... + $a_n$*$x_n$ = S, where:
$a_1$ through $a_n$ are positive bounded integers
$x_1$ through $x_n$ are ...
5
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2
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Difference between Beta Process and Dirichlet process
I'm trying to understand the definition of a Beta process, as given in the paper:
www.ece.duke.edu/~lcarin/Paisley_BP-FA_ICML.pdf
The problem is that from the definition it follows that every ...
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How can I sample uniformly from a surface?
Given an equation of a parametric surface, is there a general way to sample of points uniformly distributed on that surface?
I'm interested in this problem for purposes of visualisation - rather than ...
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An Expectation of Cohen-Lenstra Measure
The Cohen-Lenstra measure on the set of abelian p-groups assigns $\mathbb{P}(G) = \prod_{i \geq 1} \left( 1 - \frac{1}{p^i}\right) \cdot |\mathrm{Aut}(G)|^{-1} $. Apparently, this is equivalent to ...
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Probability distribution of the median
Suppose we have $2k + 1$ points $a_1, ..., a_{2k+1}$. Each point is uniformly distributed between 0 and N. What is the distribution of the median (i.e. of the k+1-th point) ?
What happens if $a_1, ......
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Can you explain a step in an expectation maximization algorithm in a Nature article?
I am currently going through the following article: http://www.nature.com/nbt/journal/v26/n8/full/nbt1406.html
In this article, how did they arrive at the values in the Estimation step (Figure 1 Step ...
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Range of binomial probability, given a certain number of observations?
Let's say I am given $n$ flips of a coin, $k$ of which are heads.
These are iid flips.
Can I say, with probability $p > 1/2$, that the true probability of heads is in range $[p_1, p_2]$ ?
What is ...
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Random values and their probability of reoccuring [closed]
I have a web application that prompts users to answer a question when the computer they are using is not recognized. A user complained today saying she is always prompted for the same question. I ...
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The shortest path in first passage percolation
Update (January 17): The problem has now been solved by Daniel Ahlberg and Christopher Hoffman. (Thanks to Matt Kahle for informing us.)
Consider a square planar grid. (The vertices are pair of ...
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Concentration of measure for gaussian inner products
There exists extensive theory for the concentration of Gaussian measure. Through that, it can be easily proved that the square of the $\ell_2$ norm of a length $n$ zero mean Gaussian vector ${\bf x}$ ...
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randomness in nature [closed]
What is the explanation of the apparent randomness of high-level phenomena in nature?
For example the distribution of females vs. males in a population (I am referring to randomness in terms of the ...
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linear recurrence relations with random coefficients
Are there such things as recurrence equations with random variable coefficients. For example, $$W_n=W_{n-1}+F\cdot W_{n-1}$$ where $F$ is a random variable. I tried to see if I could make sense of it ...
user577
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Units in Ornstein-Uhlenbeck(OU) process
Take an OU process characterized by
X(0) = x
dX(t) = - a X(t) dt + b dW(t)
where a,b >0. The parameter a is usually interpreted a dissipative term, and b is a ...
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for a natural exponential family, A is the cumulant function of h?
Reading "Monte Carlo Statistical Methods" by Robert and Casella, they mention that if
$f(x) = h(x) \exp(\langle \theta, x \rangle - A(\theta))$
defines a family of distributions for $X$, parametrized ...
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28
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Probabilistic proofs of analytic facts
What are some interesting examples of probabilistic reasoning to establish results that would traditionally be considered analysis? What I mean by "probabilistic reasoning" is that the approach should ...
- 1,695
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4k
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How to generate random points in $\ell_p$ balls?
How do I feasibly generate a random sample from an $n$-dimensional $\ell_p$ ball? Specifically, I'm interested in $p=1$ and large $n$. I'm looking for descriptions analogous to the statement for $p=2$:...
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