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
-1
votes
1
answer
551
views
Lower bound of an expectation
Suppose a random variable $X$ has unit variance i.e. $\sigma^{2} = 1$. Is there a positive constant $c > 0$ such that
$$\mathbb{E}[\ | X - \mathbb{E}[X] | \ ] \ge c $$
My attempt of a solution is ...
- 643
-1
votes
1
answer
74
views
Example(s) where replacing a multivariate, discrete RV with a single, univariate RV fail
Let $X_1,\ldots,X_n,Y,Z$ be $n+2$ binary random variables and define $X=(X_1,\ldots,X_n)$. In most problems, instead of treating $X$ as $n$ distinct binary random variables, there is no loss of ...
- 1
-1
votes
2
answers
421
views
How to define probability over graphs?
How can one formally define a random graph variable?
If G is a random graph variable, then any finite graph is a realization of G. Formally a r.v maps the set of outcomes to a measurable space (may be ...
- 1
-1
votes
1
answer
205
views
How to combine estimator with different variances?
Consider independent random variables $X_1,X_2,\ldots,$ that have the same expectation $\mathbb x=\mathbb E[X_1]=\mathbb E[X_2]=\ldots$
Further, assume that we know that $Var[X_i]=\sigma_i^2$.
In the ...
- 127
-1
votes
1
answer
97
views
Bounding $l^0$ norm of random quantity
There are many techniques in high dimensional probability for bounding quantities of the form
$$ \mathbf{E}( \sup_{s \in S} X_s ) $$
where $\{ X_s \}$ are a family of random variables which are not ...
- 455
-1
votes
1
answer
283
views
Lowerbounding expectation value of binomial tail
I'm trying to find a lower bound for the following expression for $q\ge p$:
$$f(q,p,n) := \sum_{v=0}^n \sum_{k=v}^n \binom{n}{v} \binom{n}{k}q^v(1-q)^{n-v}p^k(1-p)^{n-k}.$$
It can be thought of as the ...
- 702
-1
votes
1
answer
113
views
Approximating expectation of exponential of Wishart matrix
I am trying to obtain an Approximating expectation of exponential of Wishart matrix $X (N,N)$ with $\operatorname{rank} (X)=K$defined as:
\begin{align}
J = E[{e^{{v^H}Xv}}]
\end{align}
where $v$ is $...
- 377
-1
votes
1
answer
312
views
expectation of upper quantile proportion
(edited considerably following comments)
We have a collection $\boldsymbol{S}$ of $n$ discrete random variables $X_1$, $X_2$, $\dots$, $X_n$ $\overset{\small \text{i.i.d.}}{\small \sim}$ $\mathcal{D}$...
- 121
-1
votes
1
answer
114
views
Construct a probability function on the operator monotone functions, $g(t)=t g(t^{-1})$, fitting certain values
To immediately pose the question of interest to us, without first expanding upon its (quantum-information-theoretic) origin—we seek a univariate function $f$, for which we have the ("two-qubit ...
- 723
-1
votes
1
answer
196
views
Distribution of first time a 1D random walk hits n or -n
Let $(\omega_1, \omega_2, \ldots)$ be iid in $\{-1, 1\}$ and $X_k = \sum_{i=1}^k \omega_i$ be a simple one-dimensional random walk.
Let $\tau_n = \min \{i\in\mathbb{N}: |X_i|=n\}$ be the first time ...
- 526
-1
votes
1
answer
1k
views
Expected value of $W_{t_i} W^2_{t_{i+1}}$
I stuck in determining the expected value of the following product
$E[W_{t_i}W_{t_{i+1}}^2]$ where $W_{t_i}$ and $W_{t_{i+1}}$ are Brownian with normal distribution, i.e. $W_{t_i}\sim N(0,t_i)$. I ...
-1
votes
1
answer
76
views
Transforming random variables for having good property?
For arbitrary functions $A$ and $B$ and independent random variables $X$ and $Y$, assume that
\begin{align}
\Omega&\triangleq \{(x,y): A(x,y)=1\},\\
\Lambda&\triangleq \{x: B(x)=1\}.
\end{...
- 287
-1
votes
1
answer
76
views
transformation of two measures on different space
Let $\{e_1,e_2,...,e_n\}=E $ be the standard bases of $\mathbb{R}^n$, and $U\subset\mathbb{R}^n$ be a linear space generated by $\{e_1,e_2,...,e_n\}$.
Let $\Sigma_U$ be the smallest $\sigma-$ field ...
- 1
-1
votes
1
answer
428
views
Bins and colored balls
Consider $n$ color balls. We throw them as follows. For a given ball $i$, randomly choose $k$ bins; create $k$ 'copies' of the ball (i.e., of the same color of the ball $i$); throw a 'copy ball' into ...
- 367
-1
votes
2
answers
512
views
Deriving the joint distribution of multivariate normal transformed into Bernoulli
Given a covariance matrix $\sum_{ij}$ and a mean vector $\mu$ I have sampled $N$ multivariate normal vectors $Z = (z_1,...z_n)$ My goal is to create a vector of Bernoulli random variables $Y = (y_1,......
-1
votes
1
answer
460
views
Orthogonal decomposition of conditional expectations
Suppose I have a random variable $x$ and a set of conditional distributions on $x$. Here is an example where the conditionals are nested:
$$q_1 := E(x|y_1), \quad q_2 := E(x|y_1,y_2),\quad q_3 := E(x|...
- 427
-1
votes
1
answer
2k
views
Variance of euclidean norm of Gaussian vectors
Let $X$ be a Gaussian vector in dimension $n$, with $0$ mean and covariance identity. Let $A$ be a square matrix of size $n$, and $Y = A X$. Let $N$ be the square of $Y$ euclidean norm: $N = \sum Y_i^...
- 11
-1
votes
1
answer
1k
views
Rank of covariance matrix whose diagonal elements are same [closed]
Suppose A is a covariance matrix whose diagonal elements are same, i.e. $A_{1,1}=A_{2,2}=\cdots=A_{N,N}$, can we conclude that A is full rank?
Suppose the absolute values of the off-diagonal elements ...
-1
votes
1
answer
696
views
Can singular measures be viewed as vanishing distributions? (Answer No!)
Hello,
Here is my original question: let $\mu$ be a singular measure with respect to the Lebesgue's measure on $R$. Is it true that $\int \psi \mu(d x)=0$ for any test function $\psi\in C_c^\infty(R)$...
- 1,649
-1
votes
1
answer
129
views
How to compute the expectation of $\frac{Y^L}{Y^L + (N-Y)^L}$ where Y is Binomial(n,p)
How to compute the expectation of $\frac{Y^L}{Y^L + (N-Y)^L}$ where $Y$ is Binomial(n,p)? If it is not exactly computable, then are their ways to approximate this qty?
- 1
-2
votes
3
answers
447
views
Determinant of matrix from set {-1, 1} [closed]
Let $A \in \mathbb{R}^{11 \times 11}$ and it's elements are form set $\{ -1,1 \}$. $\mathbb{P}(-1) = \mathbb{P}(1) = 0.5$. What is a probability to get such a matrix, that $\det A > 4000$?
I have ...
- 45
-2
votes
1
answer
260
views
On Impossible events
Let's consider a continuous random variable $X$ distributed according to a PDF $p(x):\mathbb{R}\mapsto \mathbb{R}_{\geq 0}$.
Is there a meaningful sense in which one could say that for any $x_0:p(x_0)=...
- 181
-2
votes
1
answer
110
views
Generating a binary probability combination function [closed]
I have been trying to develop a function that can combine two probabilities using the rules:
$f(x,y)\in C^\infty (\mathbb{R}^{2})$
$f(x,y)=f(y,x)$
$f(x,1-x)=\frac{1}{2}$
$f(1-x,1-y)=1-f(x,y)$
$f(0,x)=...
-2
votes
1
answer
283
views
Does convergence in probability implies L^1 convergence in probability density function, for bounded random variables?
Let $X_1,X_2,\cdots$ and $Y$ be random variables on $[0,1]$ with smooth density functions $f_1,f_2\cdots$ and $f$. Suppose $X_n\to Y$ in probability. Can we get some convergence of the density ...
-2
votes
2
answers
389
views
Equality of two conditional expectations
I would like to show that for any random variable $X$ and $Z$ such that $X$ and $Z$ are independent and for any measurable functions $f$ and $g$,
$$ \mathbb E \left[ f(g(X),Z) | g(X) \right] = \...
- 19
-2
votes
1
answer
283
views
How to work with infinite random graph(s) ?
Hi,
In the case where we are dealing with an infinite random graph (RG with infinite nodes).
How do we model/work with notions like degrees, degree distribution ? How are they defined ?
Thanks!
- 167
-2
votes
1
answer
292
views
Probability distribution needed [closed]
Let me clarify my needs. The PDF must comply to:
1. The mean is always in the shorter tail
2. Should have an inverse function
3. Be defined in the interval [0, 1]
4. Should have a shape parameter that ...
-2
votes
1
answer
43
views
$E(\mathbf{y}|\mathbf{x}+\mathbf{z})=g(\mathbf{x})$ almost surely, if $\mathbf{z}\perp \!\!\! \perp \{\mathbf{y},\mathbf{x}\}$ jointly?
Let $\mathbf{y},\mathbf{x}$ and $\mathbf{z}$ be real-valued random vectors with possibly different dimensions.
If $\mathbf{z} \perp\!\!\!\perp \{\mathbf{y},\mathbf{x}\}$ (i.e., $\mathbf{z}$ is ...
- 193
-2
votes
1
answer
210
views
Giving meaning to and solving a second-order stochastic differential equation with white noise
I have encountered a second-order stochastic differential equation (SDE) of the form:
$$
\frac{d^2 T}{dr^2} = (1 + W(r)) (r - A)(r - B)$$
where $r \in (A, B)$ and $W(r)$ is, for example, white noise. ...
- 31
-2
votes
2
answers
280
views
Balls into bins with random number of balls
In the classical balls into bins we throw $m$ balls into $n$ bins. We throw the balls independently of each other and the probability of choosing the bins is uniform. For $n=m$ it is known that the ...
-2
votes
1
answer
247
views
Minimum number of people such that 2 can be expected to sit next to each other [closed]
We are given a large, round table with $n$ seats. It is easy to see that whenever $p\geq \text{int}(\frac{n}{2}) + 1$ people are seated, at least $2$ people will sit next to each other (here $\text{...
- 48.9k
-2
votes
1
answer
190
views
Dixon's Theorem [closed]
I am going through a sketch of the proof of Dixon's Theorem (the probability that two randomly chosen elements of A_n generate A_n -> 1 as n -> infinity) due to M. Liebeck and its underlying idea is ...
- 65
-2
votes
1
answer
347
views
Forms of multivariate CLT [closed]
I am looking for a good reference for differnt kinds of multivariate central limit theorems. I was wondering how far the i.i.d. condition of the standard multivariate clt can be relaxed, as in can the ...
-2
votes
1
answer
890
views
Determine noise distribution [closed]
I'm trying to solve the following least squares problem:
$\underset{x}{\text{min}} ||Ax - \tilde{b}||_2$
where $Ax = b$ and $\tilde{b} = b + w$
Question:
How do I determine which probability ...
- 35
-2
votes
2
answers
2k
views
probability of subset sum after rolling dice 4 times [closed]
If we roll 4 dices (fair), what is the probability of "sum of subset" being 5. e.g. 1432,1121, 2344, 2354 have a subset sum of 5. Can you illustrate how to calculate this.
- 1
-2
votes
1
answer
152
views
Branching process with varying offspring distribution at each step
Consider a simple branching process $Z_0,Z_1,Z_2...$ such that at every discrete step, a particle splits into $k\geq1$ particles where $k$ follows a discrete distribution with probability mass $p(k)$.
...
- 109
-2
votes
1
answer
181
views
Stationary distribution of a weighted directed acyclic graph
Is there any way to calculate the equilibrium (stationary) distribution for a weighted directed acyclic graph?
Some references emphasized adjacency matrix to be symmetric.
https://arxiv.org/abs/1012....
-2
votes
1
answer
108
views
If a sequence of measures is weakly convergent outside each compact ball, the sequence itself is weakly convergent
Let $E$ be a $\mathbb R$-Banach space and $\mathcal M_+(E)$ denote the space of finite nonnegative measures on $\mathcal B(E)$.
If $\lambda\in\mathcal M_+(E)$, let $$\left.\lambda\right|_\delta(B):=\...
- 167
-2
votes
1
answer
84
views
Ensemble averaging in a random graph (or network) in the large $N$ limit [closed]
I have a random graph/network described by the adjacency matrix $(a_{ij})_{N\times N}$ where $a_{ij}=1$ with probability $p$. Each node in the graph is associated with a continuous quantity $\eta_i=\...
- 137
-2
votes
1
answer
307
views
If a sequence $X_n$ of RVs converges in probability to $X$, does the sequence $\mathbb{E}(X_n)$ also converge to $\mathbb{E}(X)$? [closed]
I couldn't find the answer in literature so any idea would be helpful.
-2
votes
1
answer
62
views
If $X$ is discrete and $Z,W$ are discrete or continuous, is it always the case that $P(X=x\mid Z) \geq P(X=x\mid Z,W)$? [closed]
Suppose $X$ is discrete and $Z,W$ are discrete or continuous, I am wondering if it is always the case (or at least non-trivially) that
$$
P(X=x\mid Z) \geq P(X=x\mid Z,W)
$$
for all $x\in X$.
It ...
- 97
-2
votes
1
answer
103
views
Estimating expectation of a slightly strange sum
Let $X$ be a random variable with support on the positive integers (you can assume $\mathbb{E}[X^2] <\infty$ if needed, or even higher moments if needed), and let $S(i)=\mathbb{P}(X\geq I)$. ...
- 526
-2
votes
1
answer
92
views
Existence or impossibility of Gaussian factory
Gaussian factory problem: given an iid sequence $x_i \sim \mathcal{N}(\mu,\sigma^2)$, $i=1,2,\dots$, with $\mu$ and $\sigma^2$ both unknown, construct a realization $y \sim \mathcal{N}(0,1)$.
-2
votes
1
answer
113
views
Demonstrations on an $L^1$ martingale [closed]
If $(X_n,\mathcal{F_n})_{n\in \mathbb{N}}$ is a martingale such that $\forall$ n $\in \mathbb{N}, \frac{X_{n+1}}{X_n}\in L^1$ How can be demonstrated that:
$\mathbb{E}[\frac{X_{n+1}}{X_n}]=1$ and ...
- 9
-2
votes
1
answer
457
views
Expectation of random integral of deterministic function
Suppose I have some random variable $W$ along with its expectation $\mathbb{E}[W]$. My goal it to compute the integral
\begin{equation}
\mathbb{E}\left[\int_{0}^{W}f(t)dt\right] = \int_{0}^{\mathbb{E}...
- 48
-2
votes
1
answer
224
views
using jensen's inequality
Suppose we have an expression
f(x, h(x,y)), for some function f and h, and x, y are random variables,
now we know that the function f(a, b) is concave w.r.t. a for given b. Can we use Jensen's ...
-2
votes
1
answer
248
views
for examples in probability [closed]
Give an example satisfying the following conditions:
give out a sequence of random variables defined on a probability space, and a sub sigma algebra: the sequence converges almost surely to a limit ...
- 105
-2
votes
2
answers
245
views
Evaluate a fair game [closed]
I'm not a mathematician, so my question may be not so clear, sorry.
Let's say we toss up an ideal coin and win 1 dollar on heads and lose 1 dollar on tails. So, expected value is M = 1×0.5 &...
- 1
-2
votes
0
answers
20
views
Hypergeometric functions in Wireless communication: Seeking guidance for Performance analysis
I am transitioning from pure mathematics to wireless communications and am particularly intrigued by the mathematical challenges in analyzing Nakagami-m fading channels. These channels are widely used ...
- 37
-2
votes
0
answers
52
views
Density of squared bessel process
I was trying to find a transition density function for a squared Bessel process. In the book "Continuous martingale and Brownian motion" by Revuz and Yor, I find a Corollary on page 441 that ...
- 11