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.
9,027 questions
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Is there MDPs (Markov Decision Process) which have a non deterministic optimal policy?
I'm working on Markov Decision Process and I have not found yet an example of MDP that has a stochastic (non deterministic) optimal policy. Is there MDPs that have a stochastic optimal policy or is it ...
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How does a tournament's structure affect the likelihood that the best player will win?
Background
The origin of this question is a conversation I had with some friends a few years ago. At the time, Roger Federer and Tiger Woods were dominating professional tennis and golf, respectively,...
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Topos with $\Omega = [0,1]$?
For weakly cohesive toposes, there exists a notion of contractability, and toposes with a subobject classifier $\Omega$ that is contractible are of special interest (see here).
It occured to me that ...
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Random permutations without double rises (avoiding consecutive pattern $\underline{123}$)
A permutation avoiding a consecutive pattern $\underline{123}$ is permutation
$\pi = \pi_1 \pi_2 \ldots \pi_n$ with the property that there does not exists $i \in [1, n-2]$
such that $\pi_i < \pi_{...
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How to interpret couplings in optimal transport?
Let $\mu$ and $\nu$ be two measures on some (at least measurable) space $X$. In optimal transport theory, Monge's problem to
$$ \text{minimize} \quad \int c(x,T(x))\mu(dx) \quad \text{over measurable ...
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640
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Does a random sequence of vectors span a Hilbert space?
Let $\mathcal{H}$ be a separable Hilbert space. Let $v$ be a random variable taking values in $\mathcal{H}$ such that $P(v \perp h) < 1$ for all $h \in \mathcal{H}.$ Suppose we sample an infinite ...
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Extending the product measure on $2^\omega$
Consider the standard completed product measure $P$ on $\Omega=\{0,1\}^\omega$ corresponding to an i.i.d. sequence of fair coin-flips.
Given $n\in\omega$, let $\rho_n$ be the bijection of $\Omega$ ...
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What is the probability that these sets intersect?
Let $A$ be the subset of $\mathbb{R}^n$ defined by $A=\{x\in\mathbb{R}^{n}:|x_{1}-x_{n}|+\sum_{i=1}^{n-1}|x_{i+1}-x_{i}|\leq d\}$ for a given $d$. Next, sample a point $p$ uniformly in the unit cube, ...
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Moment matching: construction of a mixture of Gaussian distribution with lower moments identical to Gaussian
This is a question related to the statistical model behind independent component analysis (ICA).
We assume that $Z \sim N(0,1)$. Our goal is to construct a random variable $X$ that follows a ...
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Equalizing Geometric means of Graph Cycles
Consider a strongly connected directed graph $G$. I have been stuck on the following question: can you assign real numbers in $[0,1]$ to each edge of $G$ so that the geometric mean of all cycles are ...
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How to calculate expected value of matrix norms of $A^TA$?
Let $A$ be a random $m$ by $n$ rectangular sign matrix, chosen uniformly at random, with $m < n$. Let $B = A^T A$. We know, for example, that $B$ is a square and symmetric $n$ by $n$ matrix with ...
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A generalization of Jensen's Inequality
Jensen's inequality is well known as
$$E\big[f(X)\big]\le f\big(E[X]\big)$$
where $X$ is a integrable random variable and $f: R\to R$ is a bounded concave function, see also http://en.wikipedia.org/...
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Nonexistence of stable random variables
Is there an "elementary" proof that $\alpha$-stable random variables only exist for $0 < \alpha \le 2$? By elementary I mean without using Fourier transforms. I'd be happiest with either a direct ...
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Does Multiplicative Version of Azuma's Inequality Hold?
It is known that there are multiplicative version concentration inequalities for
sums of independent random variables. For example, the following
multiplicative version Chernoff bound.
Chernoff bound:...
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total variation distance between two solutions of SDE
Suppose we have two stochastic differential equations with the same initial conditions:
$$d X_t^1= b_1(t,X_t^1)dt + dW_t$$
$$d X_t^2= b_2(t,X_t^2)dt + dW_t,$$
$X_0^1=X_0^2=x_0$; $W_\cdot$ is a ...
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Topological necessary and sufficient condition for tightness
Recall the definition of tightness for a probability measure $\mathbb P$ on the Borel $\sigma$-algebra of a metric space $(S,d)$:
For each $\varepsilon>0$, we can find a compact subset $K$ of $X$...
- 3,993
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Van Den Berg-Kesten-Reimer inequality
Van Den Berg-Kesten-Reimer inequality
Let $n$ be a positive integer. For $i\in[n]$, let $\Omega_i$ be a finite set and $\mu_i$ a probability measure on it. Set $\Omega=\Omega_1\!\times\!\ldots\!\...
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Entropy of the Ising model
Consider the standard Ising model on $[0,N]^2$ for $N$ large. By that I mean the square-lattice Ising model without external field, inside an $N$-by-$N$ square. What is its entropy for $N$ large? It ...
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What do smooth signatures give you?
My background is in rough paths theory.
In short, if you have an irregular function $f:[0,T]\to\mathbb R^d$ and you want to make sense of integrals $\int_s^t \cdot \ df(r)$, the right objects that are ...
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Optimally betting a beta-biased coin
This question is inspired by How to optimally bet on a biased coin? by Nate River but generalized slightly. I decided the generalization might be interesting enough to be its own question.
A number $p$...
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On a matrix inequality
$\newcommand{\R}{\mathbb R}\newcommand{\tr}{\operatorname{tr}}$It follows from Proposition 7 and this recent answer that, for any positive-definite $n\times n$ symmetric real matrices $A$ and $B$,
$$\...
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Lower Bound of KL-Divergence Between Two Gibbs Measures
Suppose we have two Gibbs measures with densities
$$
p_f(x) \propto \exp(f(x)),\quad q_g(x)\propto \exp(g(x)).
$$
Consider the KL-divergence between $p_f$ and $q_g$, as a functional of $f$ and $g$, ...
- 1,127
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Approximation of Wasserstein distance between $p_\theta$ and $p_{\theta + d\theta}$
Given a parametric family of distributions $\{p_\theta\mid\theta \in \Theta\}$, one can show that under some regularity conditions, the following approximation is valid
$$\operatorname{KL}(p_\theta\...
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Mixed moments for the birthday problem
Let $X_1,X_2,\dots$ be iid draws from the uniform distribution on $\{1,2,...,m\}$, and let the random variable $N$ be the minimum $j$ such that $X_j = X_i$ for some $i<j$.
I'm aware that the ...
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Question about Wasserstein metric
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^n$ with finite first moment. Denote by $d:=W_1(\mu,\nu)$, where $W_1(\cdot,\cdot)$ stands for the Wasserstein distance of order $1$.
My ...
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Is the Gaussian Correlation Inequality universal?
T. Royen proved the Gaussian correlation inequality in the context of Gamma distributions back in 2014, which was since popularized by Latala and Matlak. The properties of Gaussian integration seem ...
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How to generate Voronoi diagram with polygons of equal area?
I would like to generate some random set of points so that their Voronoi diagram consist of equal-area polygons. Is it possible to impose some constraints on the points in order to have the same areas ...
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Is conditional expectation with respect to two sigma algebra exchangeable?
$(\Omega, \mathcal{F}, P)$ is a probability space. $X$ is a r.v. defined on it, and $\mathcal{G}_1, \mathcal{G}_2$ are two $\sigma$-algebra, can we claim the following:
$$
\mathbb{E}\{\mathbb{E}[X|\...
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Is there an $\infty$ version of the Wasserstein distance between two distributions?
If I have two probability distributions $\mu$ and $\nu$ defined on $X$ and $Y$ respectively, then the $p$-th Wasserstein distance between the two of them is defined as $$W_p(\mu,\nu) = \left(\inf_{\pi\...
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Invariant measure of Euler-Maruyama Discretisation of an Ito diffusion
Let $(X_t)_{t \geq 0}$ be a diffusion process with dynamics governed by the stochastic differential equation
\begin{equation}
dX_t = b(X_t)dt + \sigma(X_t)dW_t, ~~ X_0 = x_0,
\end{equation}
where $b,\...
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Escape Time of Fractional Brownian Motion
Let $B(t)$ be Brownian motion with $B(0)=x>0$ and let $A>x$. It is well known that the expected time for $B(t)$ to escape the interval $[0,A]$ is equal to $x(A-x)$.
Is the expected time known ...
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derivative in the Wasserstein space
Villani gives the following formula to find the gradient of a function $F$ of a probability density function $\rho$ in the Wasserstein space :
$$\nabla_W F(\rho) = -\nabla.(\rho \nabla \frac{\delta F}{...
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Many Brownian motions moving together
Let $ (B^i),\:{{i=1,\ldots,n}}$ be a set of independent Brownian motions. By $(X^i)$ we denote $(B^i)$ conditioned on the event
$|B^i_t-B_t^{i+1}|\leq 1,\quad \forall_{1\leq i\leq n-1}, \forall_{t\...
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Martingale representation theorem for Levy processes
Is there an equivalent of martingale representation theorem for Levy processes in some form? I believe there is no such theorem in generality, but maybe there are some specific cases?
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MicroArray, tesing if a sample is the same with high variance data.
I'll explain the problem but what I am looking for is a few suggested methods to approach this problem.
You don't need to know what a microarray but if you are interested look here link text
The info ...
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Scheduling "parent talks" at school
Real life motivation. In my younger son's class, there are $18$ students. His teacher provided $18$ time slots for the parents of each child to have a 30-minute conversation of their kid's progress in ...
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Stochastic dominance between (products of) binomials
Suppose $p \leq q \leq 1/2$, and $n,m\geq 1$ two integers. Let $X\sim \mathrm{Bin}(n,p)$, $Y\sim \mathrm{Bin}(m,p)$ and $X'\sim \mathrm{Bin}(n,q)$, $Y'\sim \mathrm{Bin}(m,q)$ be independent.
Is it ...
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How often a random walk with irrational increments is close to 0?
Let $\omega$ be an irrational number, and $X$ a random variable taking values $1,-1,\omega,-\omega$ each with probability $1/4$. Let then $X_i$ be iid variables with the same law as $X$ and $S_n=\sum_{...
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Probability of good colorings in randomly-colored graphs
Each vertex in a graph is randomly and independently colored either red or blue with equal probability.
A coloring is called $r$-good, for some fraction $r\in[0,1]$, if at least a fraction $r$ of the ...
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Median and mean of the sample mean of i.i.d. log-normal
Let $y:=\frac1n\sum_{i=1}^n x_i$, where $\{x_i\}_{i=1}^n$ is a set of i.i.d. random variables, and every $x_i$ has a lognormal distribution $x_i \sim\text{Lognormal}(\mu,\sigma^2)$. Let $\text{Med}[y]$...
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Rate of convergence of Bayesian posterior
Suppose a data generating process (DGP) is parameterized by some unknown parameter $\theta_0$, say $P_{\theta_0}$, and we want to estimate the value of $\theta_0$ using Bayesian method. Let $\pi(\...
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Geometry description of the GSR riffle shuffle model
In 1992 Diaconis and Bayer announced their famous result which is now a well-known folklore: Seven shuffles is enough to randomize a deck of cards.
One of the key ingredients in their proof is that ...
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Distribution of entries of a doubly-sorted random matrix
Take an $n \times n$ random matrix whose entries are i.i.d. with uniform distribution in $[0,1]$. Look at the sums of the elements of each row and then permute the rows so that these sums form an ...
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What is the early history of the concepts of probabilistic independence and conditional probability/expectation?
In the 1738 second edition of The Doctrine of Chances, de Moivre writes,
Two Events are independent, when they have no connexion one with the other, and that the happening of one neither forwards nor ...
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A q,t-extension of Plancherel Measure thru Yang-Mills Theory ?
Buried in the physics paper by Nekrasov and Okounkov, a strange identity is proven:
$$ \prod_{n > 0} (1 - q^n)^{\mu^2-1} = \sum_{\mathbf{k}} q^{|\mathbf{k}|} \prod_{\square \in k} \left( 1 - \frac{\...
- 22.8k
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Distribution of big component of set partitions
Consider the set $S_n = \{1, \dotsc, n\},$ and consider the set $P(n, k)$ of partitions of $S_n$ into $k$ parts (the cardinality of $P(n, k)$ is the Stirling number of the second kind $S(n, k).$ ...
- 96.4k
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CLT for the squares of unbounded non-identically independently distributed random variables
I have a sequence of independent but not identically-distributed random variables $X_1, X_2, \ldots, X_n$ where $X_i\sim A_i$, with each $A_i$ having a support over $\mathbb{R}$ and subject to the ...
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Order statistics (e.g., minimum) of infinite collection of chi-square variates?
Hi everyone,
This is my first time here, so please let me know if I can clarify my question in any way (incl. formatting, tags, etc.). (And hopefully I can edit later!) I tried to find references, ...
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Probability of a deviation when Jensen’s inequality is almost tight
This is a cross-post to a yet unanswered question in Math StackExchange
https://math.stackexchange.com/questions/3906767/probability-of-a-deviation-when-jensen-s-inequality-is-almost-tight
Let $X>0$...
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330
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q-Means and the mode of a distribution
Let $f:\mathbb{R} \rightarrow [0,\infty)$ be a continuous probability density function on $\mathbb{R}$ such that
\begin{equation}
\int_{\mathbb{R}} |x| f(x)\, dx < \infty,
\end{equation}
and ...
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