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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Taylor expansion of cumulant generating function
For the characteristic function $\mathbf E e^{i t X}$ of a random variable $X$ with $n+1$ finite moments, there is the well known and easy to prove bound on the remainder of the Taylor series
$$\left\...
- 623
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Frobenius norm of the principal submatrix of a uniformly distributed random orthonormal matrix
Suppose that we have a uniformly distributed $d\times d$ random orthonormal matrix $\mathbf{X}$. Here "uniform" is defined in the sense of Haar measure, i.e., the distribution does not change up to ...
- 1,127
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Maximal entropy distribution with given conditionals
It is well known that of all the joint distributions $p(x,y)$ with fixed marginals $p(x),p(y)$, the one with the highest entropy is:
$$
p(x,y)=p(x)p(y).
$$
Suppose instead that we have conditionals. ...
- 2,129
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Transitive closure of balanced mass transport in Z (move to close)
Given two atomic measures $\mu$ and $\nu$ on $\mathbb{Z}$, write $\mu \sim \nu$ iff there exist countable decompositions $\mu = \mu_1 + \mu_2 + \cdots$ and $\nu = \nu_1 + \nu_2 + \cdots$ along with ...
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Location of maximum of Brownian motion with rough drift
I am interested in the distribution of the $\text{argmax}_{t \in [0,1]} \{B(t) + f(t)\}$, where $B$ is a Brownian motion (or Brownian bridge) and $f:[0,1] \to \mathbb{R}$ is a continuous function. ...
- 93
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425
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Measurability for disintegration of a kernel
Let $(x, A) \mapsto P(x, A)$ be a probability kernel whose "target" (wikipedia terminology) is a product space $Y \times Z$, and say both $Y$ and $Z$ are compact metric spaces. For every $x$ there is ...
- 2,560
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Longest induced cycles in random geometric graphs near criticality
We make a random geometric graph $X(n;r)$ as follows. Choose $n$ points uniformly, independently, in the unit square $[0,1]^2$, for vertices, and then connect a pair of vertices $\{ p,q \}$ by an edge ...
- 7,857
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Axioms for mutual information
I am interesting in axiomatic justifications for concepts in information theory. I have found many axiomatizations for Shannon's entropy and for the Kullback-Leibler divergence, as well as their ...
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438
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Potts model simulation
I was wondering what were the state-of-the-art methods to simulate low temperature configurations of Potts-like models that exhibit a discontinuous phase transition. For models with a continuous phase ...
- 2,133
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The cars problem, again
Consider the following simple problem: We are given $2n$ parking spots, labelled from 0 to $2n-1$. There are $n$ cars on the first $n$ spots, and the remaining $n$ spots are free. At every step, every ...
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Expectation inequality for sampling without replacement
Is the following proposition correct?
$X_1, X_2, X_3$ are uniformly at random sampled from a finite set $\mathcal X$ without replacement.
$f : \mathcal X^2 \rightarrow \mathbb R_{\ge0}$ is symmetric:...
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Proof of Karlin-Rubin's theorem
I asked this question on Math Exchange, but as I did not receive a successful answer, maybe you could help me.
Karlin-Rubin's theorem states conditions under which we can find a uniformly most ...
- 141
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Conditional law as a random measure and convergence of random measures
I'm looking for a reference book or article for the following two facts. In both statements, a Polish space $E$ and an ambient probability space $(\Omega, {\cal A}, \Pr)$ are given, and I consider ...
- 2,560
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Random walks on graphs: Cover time and blanket time
Winkler and Zuckerman conjectured that the blanket time is within a constant factor of the cover time. The conjecture was recently proved. The cover time $C$ is the expectation of the first time $t$ ...
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Infinite sum of random variables: subtle convergence question?
I have a sequence Xj of random variables, each of which individually is uniformly distributed on the unit circle in the complex plane, and a corresponding sequence cj of positive coefficients. My ...
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One step forward, one step back
$N \geq 2$ players play a cooperative game on the integers $\mathbb Z$. All of them start from $0$. At each turn, they are simultanously given the same yes or no question to answer.
The questions ...
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Is there an infinite dimensional Stein's lemma?
Classical Stein's lemma says that if $\mathbf{X}$ is a centered Gaussian random vector and $g$ is a function which is nice enough, we have
$$
\mathbb{E} \, X_i \, g ( \mathbf{X} )
= \sum_k \...
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Probabilistic proof for derivative of invariant distribution of a Markov chain
Let $P$ be an irreducible Markov matrix, and $\pi$ its stationary distribution. Let $D$ be a perturbation matrix which is zero except for two entries in row $r$:
$$D_{rg}=+1 \qquad D_{r\ell}=-1.$$
Let ...
- 1,068
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Sizes of connected components from a random choice in a grid
This is inspired by the illustration in this recently updated question. So we take a (fairly big) $n$ and an $n \times n$ grid where we draw at random one diagonal in each of the $1 \times 1$ squares. ...
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Characterization of KL divergence for continuous variables?
This is an analog of an older question:
What characterizations of relative information are known?
With the modification that I’m interested in the case when the distribution is over something that’s ...
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Is this a martingale sequence?
I have a sequence of random variables $X_1, X_2, \ldots X_N$ such that $|X_i| \leq R \ \forall \ i $, satisfying
$$|E[X_n|X_1,X_2,\ldots X_{n-1}]| \leq |X_{n-1}|, $$
Can I construct a sub/super-...
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Tail bound of a distribution
Let $X_1, X_2, \ldots, X_n, Y_1, Y_2, \ldots, Y_n$ be independent binary random variables each being $1$ with probability $\frac{1}{k}$.
Let $Z = X_1(Y_1 + \cdots + Y_k) + X_2(Y_2 + \cdots + Y_{k+1})...
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Uniqueness of a Solution for a Convex Optimization Problem
I have the following convex optimization problem:
$$\begin{array}{ll} \text{maximize}_{{f,g}} & \displaystyle\int_{\Omega} g^u{f}^{1-u}\mathrm{d}\mu\\ \text{subject to} & \displaystyle\int_{\...
- 359
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Base schemes and Bayesian priors
One of Grothendieck's dicta about algebraic geometry is to consider "the relative situation", where one doesn't consider the category of schemes but of schemes over a fixed base scheme.
In Bayesian ...
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limiting distribution of the random walk from irrational rotation
Motivation:
If I recall correctly, the simple symmetric random walk from i.i.d binary steps converges in distribution to the Wiener measure (if scaled with $a_n = \sqrt{n}$). What I am wondering is ...
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Is there a regular Dirichlet form with no associated Feller process?
I'm reading Dirichlet Forms and Symmetric Markov Processes by M. Fukushima, Y. Oshima, and M. Takeda (hereafter, [FOT]). In Chapter 7, where they discuss the construction of a Markov process ...
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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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Cohomology dimensions are well approximated by Gaussian for multiply-fibered manifolds ? (Topological central limit theorem)
Consider some manifold $M$ say compact smooth. Let $b_i$ be its Betti numbers (non-zero), i.e. its cohomology dimensions.
Assume $M$ can be subsequently fibered by many manifolds, i.e. there is $ M_{...
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Decay of orthogonal contributions in a random set of vectors
Suppose we sample $k$ vectors $v$ from normal distribution centered at zero and diagonal covariance with diagonal entries $1,\frac{1}{2},\ldots,\frac{1}{d}$ and normalize $v$:
$$\frac{v_1}{\|v_1\|},\...
- 2,252
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423
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Non-affine smooth transformation of Gaussian is Gaussian
Suppose $Z\sim N(0,1)$ (standard Gaussian) and $f: \mathbb{R} \to \mathbb{R}$ is a differentiable function such that $f(Z)\sim N(0,1)$. My question is whether there exists any such $f$ other than $f(x)...
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"Meritocratic" pyramid schemes
There have been a couple of times in my life when people from multi-level marketing organizations attempted to recruit me. I listened to what they had to say, and both times I did not get involved ...
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Is the bicategory of sets and relations a Markov category?
I am reading Patterson's paper Knowledge representation in bicategories of relations. It looks like it has many of the properties of the Markov categories which Fritz has been detailing in A ...
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Maximum probability of a set of vectors from $ \mathbb{F}_2^n $ being linearly independent
Suppose $ m $ vectors from the vector space $ \mathbb{F}_2^n $ are selected independently according to a distribution $ P $ over $ \mathbb{F}_2^n $. Here $ \mathbb{F}_2 $ denotes the field with two ...
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Variations on Gauss' trick
Cross-posted from MSE. This question is inspired by these two:
Non-trivial values of error function erf(x)?
Where is the mass of a hypercube?
Upon reading these two, I realized there might be a ...
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Self-avoiding walks on strips
A strip is a locally finite graph which admits a quasi-transitive (i.e. finitley many orbits on vertices) action of $\mathbb Z$. A self avoiding walk is a walk which visits no vertex more than once.
...
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How to prove that $ \sum_{m=0}^{\infty} { \Gamma\{(1+2m)/\alpha\}\over \Gamma(1/2+m)} { (-t^2/4)^{m}\over m !} \ge (\alpha/2)^{3}\exp(-t^{2}/4) $
I would love to prove the following inequality
$$
{1\over \sqrt{\pi} } \sum_{m=0}^{\infty}
\Gamma\{(1+2m)/\alpha\}
{ (-t^2)^{m}\over (2m) !}=$$
$$
\sum_{m=0}^{\infty}
{ \Gamma\{(1+2m)/\alpha\}\over \...
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What are the tempered Gibbs measures of classical $\phi^4$-theory?
I consider classical $\phi^4$-theory on the lattice. The model is defined in finite volume with Hamiltonian
\begin{align*}
H(\phi) = - \sum_{x \sim y} J_{x,y} \phi_x \phi_y
\end{align*}
and a-priori ...
- 1,054
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Distribution domination for sums of independent random variables in Banach spaces
Let $X$ be a Banach space and let $(\xi_n)$ and $(\eta_n)$ be independent mean-zero random variables with values in $X$ satisfying
$$
\sum_n \mathbb P(\xi_n \in A) \leq \sum_n \mathbb P(\eta_n \in A),
...
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Concentration inequality for minimal eigenvalue of sample covariance
I was reading an article of matrix completion and met the following lemma
The concentration inequality for $\sigma_{\max}$ part is a standard result. However, I didn't find any results like the $\...
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Pursuit-evasion with many slow pursuers
Question: Suppose that intelligent pursuers with speed $v<1$ are randomly scattered on the plane with area density $1/r$ ($r>0$ is distance from the origin). If you start at the origin ...
- 7,545
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How to prove that the KL divergence is increasing with more noise
Assume I have a continuous random variable $X$, whose support is all $\mathbb R$. Let $Z$ be a standard normal independent on $X$, and let
$$Y = X + \sigma Z$$
$Y$ essentially is equal to $X$ plus "...
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Superharmonic functions and amenability
Let $G$ be a group generated by a finite set $S$. Let $P$ be a Markov operator defined by the uniform measure on $S$. A function is superharmonic if $Pf\leq f$.
Assume that there is a set of non-...
- 4,705
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Stepanov phase transition in random graph
Consider the classical random graph model G(n,p), with p=c/n, as proposed by Erd\"os and R\'enyi.
At this scaling, the most prominent feature is arguably the abrupt change of the topology that the ...
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Quantum coupon collection: positivity of an alternating sum of matrices
It is well-known that in the classic coupon collecting problem (CCP), the expected waiting time is
\begin{equation*}
T_n(x_1,\ldots,x_n) = \sum_{k=1}^n (-1)^{k+1}\sum_{1\le i_1 < \cdots < i_k \...
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Is this 2x2 determinant sequence positive and increasing?
Let $X_1,X_2,X_3$ be three discrete (integer and non-negative valued) random variables with local probabilities $a_k:=\mathbb{P}(X_1=k)$, $b_k:=\mathbb{P}(X_2=k)$, $c_k:=\mathbb{P}(X_3=k)$ and $s_k:=\...
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Can the GUE be thought of as a uniform point in a high-dimensional polytope
I have thought about this question for a long time and could only find partial answers.
The Gaussian Unitary Ensemble (or GUE) is the eigenvalues of a random Hermitian matrix with complex Gaussian ...
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819
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Asymmetric random walk on the line with barriers
The most commonly considered random walk on the line takes one step left or right with equal probability until a barrier is reached (if there are any barriers).
More generally, suppose we fix any ...
- 82.7k
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553
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Hasse-Weil Bound and Chebyshev Inequality
I was reading about the Hasse-Weil bound for the number of points in on a curve over the finite field $\mathbb{F}_q$.
$$ \big| |C(\mathbb{F}_q)| - (q+1) \big| \leq 2g \sqrt{q} $$
However, this ...
- 22.8k
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241
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Generalised Polya's urn with i.i.d. replacement
Let $\mu$ be a fixed measure (possibly with moment conditions) on $\mathbb N$ and $X_1,X_2,\dots$ be i.i.d. samples from $\mu$. Start with one white and one black ball in the urn. At the $n$-th step, ...
- 491
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212
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Qualitative weakenings of probabilistic independence
In probability theory, independence of random variables is characterised by
$$(1)~~X~\text{independent}~Y \; \iff \; P_{(X,Y)} = P_X \otimes P_Y \enspace ,$$
where $P_{(X,Y)}$ is the joint probability ...
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