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.
9,026 questions
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Random variables invariant under almost automorphisms.
Let $\Omega$ be a standard atomless probability space, we can assume $\Omega=(0,1)$ with Lebesgue measure. A bijection $f:\Omega/A_1\to\Omega/A_2$ is almost automorphism, if $P(A_1)=P(A_2)=0$, $f(A)$ ...
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Applied Problems in Probability which can not be modelled on Polish spaces
Probabilist often work on Polish spaces. Does somebody know an ("non-exotic") example, for which it is not possible to work on a Polish space, but instead one has to work on a general measurable space?...
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A question on infinite dimensional Gaussian measure and affine tranformations.
Let $\gamma_\infty$ denote the product Gaussian measure on $\mathbb{R}^\mathbb{N}$. Which $a,b \geq 0$ satisfy that for every Borel set $K\subseteq \mathbb{R}^\mathbb{N}$ of positive measure, $a K + ...
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Probability of return vs. probability of return in minimal number of steps
Consider a random walk on a connected graph $G=(V,E)$. That is, associate to each neighbouring nodes $a,b\in V\ $ transition probabilities $\mathbb{P}(a\rightarrow b), \mathbb{P}(b\rightarrow a) $ ...
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Random Walks in $Z^2$/$Z^2$-intrinsic characterization of Euclidean distance
Problem: Consider a random walk on the lattice $\mathbb{Z}^2$ where on each iteration a particle either stays at its current location or moves to a neighboring vertex with probability 1/5. We start ...
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Higher or lower? (#2)
$N \geq 2$ players play a game - at the start of the game, they are each given independently and uniformly a number from $[0, 1]$. On each round, they are to guess whether their number is higher or ...
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Uniform sampling from general simplex with a twist
This is part of a question I had asked elsewhere, and then some of the links redirected me to CS stack exchange.
Given $0\leq a_1\leq\dots\leq a_D\leq1$ (all strictly positive), I want to draw points ...
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Defining functions pointwise vs. almost everywhere (w.r.t. uncountably many mutually singular measures)
My question is motivated by a general measure-theoretic problem that one frequently encounters in probability: the need to work with uncountably many mutually singular measures at once, and with ...
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Product rules are local and covariance identities are global
Start with the simple identity:
$$(f(x) - a)(g(x) - b) + a(g(x) - b) + b(f(x) - a) = f(x)g(x) - ab.$$
If $a$ and $b$ are the respective values of $f$ and $g$ at some point, then, after dividing both ...
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Coalescing random walks: a bound for the full coalescence time?
Start a random walk from each vertex of a graph $G$. Let the walkers evolve independently, except that when two of the walkers meet (ie. occupy the same vertex at the same time), they coalesce into ...
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Is the infimum of the Ky Fan metric achieved?
Consider the probability space $(\Omega, {\cal B}, \lambda)$ where
$\Omega=(0,1)$, ${\cal B}$ is the Borel sets, and $\lambda$ is Lebesgue measure.
For random variables $W,Z$ on this space, we define ...
user6096
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Points on binary hemispheres of the n-sphere
Let $\mathbb{S}^{n-1}=${$ x\in \mathbb{R}^n| \sum_{k=1}^n x_k^2 =1 $} be the $n-1$ sphere and $n_i\in\mathbb{R}^n$ with components $n_{ij}\in${$-1,1$}$\ \forall\ j=1,2,\dots,n$. There are obviously $2^...
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Kullback-Leibler divergence of scaled non-central Student's T distribution
What is the Kullback-Leibler divergence of two Student's T distributions that have been shifted and scaled? That is, $\textrm{D}_{\textrm{KL}}(k_aA + t_a; k_bB + t_b)$ where $A$ and $B$ are Student's ...
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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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Two dice yielding uniform distribution, part 2
Since this question is on the front page again, a generalization.
Let $p$ be prime, and let $a$ and $b$ be positive integers with $a+b=p-1$. Is it possible to have two loaded dice, one with sides ...
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Combinatorics for the action of Virasoro / Kac–Schwarz operators: partition polynomials of free probability theory
In the background sections below, I establish the relations among characterizations of the action of Virasoro / Kac–Schwarz operators of 2D gravity models presented in terms of Laurent series by ...
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Visibility in a growing orchard
This is a variant on Polya's orchard problem.1,2
Suppose trees are planted randomly in the plane.
The question is: How many trees are visible from the origin as
their radii grow?
More precisely, ...
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Quadratic variation and predictable quadratic variation for martingales
Let $(M_{t})_{0\le t\le 1}$ be a continuous martingale with respect to the filtration $(\mathcal{F}_{t})_{0\le t\le 1}$. Assume that $E M_1^2<\infty$.
Fix $N$ and consider now a discrete version ...
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A Generalized Version of Maximal Correlation and Hypercontractivity of Conditional Expectation Operator
Given a pair of random variables $(X,Y)$ over a product space $\mathcal{X}\times \mathcal{Y}$, the maximal correlation coefficient is defined as
$$\rho_2(X;Y):=\sup\frac{\mathbb{E}[f(X)g(Y)]}{||f||_2||...
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Strong Markov property for Poisson point process
The question is thoroughly contained in the title. I just say that I would only like to find a reference for this question. I have searched in some books, to no avail.
Here is what I mean exactly. ...
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Finitely additive measures on $\mathbb Z_2^\omega$ with invariance and independence constraints
Let $G = \mathbb Z_2^\omega$, with pointwise addition. Assume the Axiom of Choice. I am interested in finitely additive probability measures $\mu$ defined on all of $\mathcal PG$ that can be ...
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measure with given push-forwards
Let $X,Y$ be locally compact spaces (in my specific case, they are locally compact groups). Suppose that we are given a measure $\mu$ on $X$ and a finite number of quotient maps $p_1,\ldots,p_n:Y\...
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The fraction of the sphere a fixed distance from a subspace
The following problem has a beautiful geometric interpretation in terms of the proportion of points on the Euclidean sphere in $\mathbb{R}^d$ that lie at least a certain distance away from a $k$-...
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Small crown probabilities (and infinite dimensional margin assumption)
My question is:
How do I find sharp upper bounds on $P(|q|\leq \epsilon)$ uniformly over a set of gaussian polynomes $q$ of degree two.
Notations and definitions (to make the question rigorous)
Let ...
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Does there exist such a probability distribution?
Does there exist a probability distribution over the set $\{(x,y,z)\in[0,1]^3\colon x+y+z=3/2\}$ whose projection on each of the three coordinate axes is the uniform distribution over the interval $[0,...
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Measuring the randomness of texts
The question concerns statistic properties of random words in a finite alphabet $A$.
By $A^{<\omega}$ we denote the set of all words in the alphabet $A$, i.e. finite sequences of elements of $A$.
...
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Bounding the probability that two binomials are equal
Note: This question was migrated from this earlier post, where it initially appeared. Following suggestions, I moved this into its own question.
Let $B_{n,p}$ denote the usual binomial random ...
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Can Alice ever fare the worst in this variant of the truel game?
In the well known classic three way duel puzzle, 3 players Alice, Bob and Carol take turns to shoot each other until only one survives. In his/her turn, a player can either choose to shoot or pass$^{1}...
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Positive definiteness of matrix
This question is about the positive definiteness of a (non-random) matrix that is defined using random variables as follows:
We fix the vector $v=(1,1)$ (yet, it seems the final result does not ...
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How do I draw samples from this distribution?
Let S be the the standard K-1 simplex. Consider the following probability distribution:
$$\begin{align}
f(p,\alpha,\beta) &= \prod_{k=1}^K p_k^{\alpha_k-1}(1-p_k)^{\beta_k-1}\\
Z(\alpha,\beta) &...
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Is the P.M.F. of the first return time of a random walk monotone?
Suppose $X_1,X_2,\ldots$ are i.i.d. $\mathbb Z$-valued random variables such that the random walk
$$S_n=\sum_{i=1}^nX_i$$
is recurrent with some period $k\geq1$ (i.e., $\Pr[S_n=0]>0$ if and only if ...
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Randomly placing nonoverlapping unit cuboids
Suppose one places unit cuboids of dimension $d$ with min-corners
uniformly distributed to lie in $[0,n]^d$, but with cuboid (strict) overlap forbidden.
At some point, the region is "saturated," ...
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Cramer's theorem in Hilbert spaces
I am interested under what conditions Cramer's theorem applies in random variables taking values in Hilbert spaces. Following these lecture notes, but using a Hilbert space:
Let $X_1,X_2,\cdots$, be ...
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Convergence in $L^2$ of iterated expectations
Take a probability space $(\Omega,\mathcal{F},\mathbf{P})$ and random variable $X \in L^2(\Omega,\mathcal{F},\mathbf{P})$.
Define the iterated expectations of X as follows: $X_0 = X$, and, ...
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Balls and bins -- concentration bounds pertaining to the minimal load bin
Consider the standard balls and bins process, where $m$ balls are thrown uniformly at random into $n$ bins. Previous work has been done on estimating the value of the maximum load (i.e., the number of ...
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Renewal process: domination by product measure
Consider a stationary process $(X(i), i\in\mathbb{Z})\in \{0,1 \}^\mathbb{Z}$ with the following structure; runs of 0s alternate with runs of 1s, with the length of all runs independent, and with each ...
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Has the Lie group preserving a probability distribution been used in Bayesian statistics?
For a (possibly signed) nondegenerate probability measure $\pi$ on $\{1,\dots,n\}$ define
$$\langle \pi \rangle := \{R \in \operatorname{STO}(n): \pi R = \pi \}.$$
Here $\operatorname{STO}(n)$ denotes ...
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Doubly stochastic matrices as squares of entires of unitary matrices
Given a unitary matrix $A$ with entries $a_{ii}$, it's clear that the matrix $B$ with entries $b_{ii} = |a_{ii}|^2$ is doubly stochastic. Is the inverse of this statement true? Namely, given a ...
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All two-point correlations equal to $0$, three-point correlation not $0$?
Let $a_1,a_2,a_3,\dotsc \in \{-1,1\}$ be a sequence. Suppose that, for all $j>0$ and all
$\epsilon, \epsilon'\in \{-1,1\}$, the proportion of $n\geq 1$ such that $(a_n,a_{n+j}) = (\epsilon,\epsilon'...
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What is the probability distribution of the $k$th largest coordinate chosen over a simplex?
Suppose we're selecting points uniformly at random from the $N$-simplex
$S_N = \{x \in \mathbb R^{N+1}: $ all $ x_i \ge 0$ and $x_1 + \ldots x_N = 1\}$.
One way to do this in practice is choose $N-...
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Why the term "geometric" rough path?
A "geometric" rough path is a rough path such that $Sym(\mathbb{X}_{s,t})=\frac{1}{2}X_{s,t}\otimes X_{s,t}$. For example the Ito rough path is not geometric because $Sym(\mathbb{X}_{s,t})=\frac{1}{2}...
user69208
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Motivation of Moment Generating Functions
What is the motivation of defining the moment generating function of a random variable $X$ as: $E[e^{tX}]$? I know that one can obtain the mean, second moment, etc.. after computing it. But what was ...
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Jensen-like inequality for random matrix: $\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$
Let $X\in M_n(\Bbb R)$ be a random matrix with iid elements following a continuous distribution.
What are the necessary and sufficient conditions for $$\Bbb E[\det X^2]\ge\det\Bbb E[X^2]$$ to hold? Is ...
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The Wiener measure of an open set
There is so much written about the Brownian motion and I suspect the answers to the questions below are hidden in somewhere in the literature but I cannot find them
Denote by $E$ the Banach space ...
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Taking points uniformly inside a general finite geometric domain
It is well known that if we want to take $n$ uniformly and randomly points inside a circle of radius $r$ and centered at the origin the following apparently correct approach for generating $x$ and $...
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What are the odds of a tie in a random election with k candidates?
Consider an election with $N$ voters and $k$ candidates, where each voter votes randomly for one of the candidates. What are the odds of a tie?
Here "tie" means that multiple candidates get the ...
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Is a measurable homomorphism on a Lie group smooth?
Let $G$ be a Lie group, and let $\mathcal B(G)$ its Borel $\sigma$-algebra. Suppose that $f : G \to G$ is a Borel-measurable homomorphism. Is $f$ smooth?
Edit: My original question said "measurable ...
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Characterising semi-definite positiveness on vectors with non-negative entries
My problem is to characterise (or find useful information on) the cone $C$ of $N\times N$ matrices $M$ ($N\geq 1$) such that $$V^t M V\geq 0$$ for every vector $V $ with non-negative entries. Is this ...
- 1,352
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References request: constructive quantum field theory
I am taking a course this semester on QFT, which deals much with constructive quantum field theory. Some of its topics so far involve relationships between non-Gaussian probability measures,Feynman ...
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probability and math puzzle books/references [closed]
Hi All,
I'd like to solve some math puzzles, especially in the context of probability theory, but I'm open to other areas too. The kind of problems that does not require much knowledge of mathematics, ...