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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Functions between Markov chains that preserve local harmonicity
Given two Markov chains with respective state-spaces $S$ and $T$, say that a function $\phi$ from $S$ to $T$ is holomorphic iff for all states $t \in T$, every real-valued function $f$ on $T$ that is ...
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Fixed marginals of joint distribution: status
One of the well-known problems of classical probability theory is the determination of the set of all extreme points in the convex set of all probability distributions in a product Borel space $\left (...
- 421
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Eigenvalue distributions of finite dimensional Wishart matrices
I am trying to obtain the eigenvalue distribution of a finite dimensional Wishart matrix. Let $A_{n\times n}\sim\mathbb{W}(\Sigma_{n\times n},m)$ where $\mathbb{W}(\Sigma_{n\times n},m)$ denotes the ...
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Density of countably additive measure in the set of all finitely additive measures.
Let $S$ be a countable discrete set, the following two results are quite easy to prove:
Every countably additive probability measure $\mu$ on $S$ commutes (in Fubini's sense) with every finitely ...
- 6,034
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Taylor approximation of a function of a random variable
Suppose we have a random variable $X$ and a smooth function $g$. We want to calculate the expectation value $\mathbb{E}(g(X))$. To be able to write down at least an approximate solution, we perform a ...
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Question on randomness extractors
Person A has a source $W$ with min-entropy($W$) = $k$. He also has an extra piece of information about the random source, denoted with $y$, such that min-entropy($W|y$) = $k/3$.
The adversary doesn't ...
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A formula for moments of the limit distribution of singular values in the proof of the circular law
One of the steps in the proof of the circular law in random matrix theory is obtaining the limiting spectral distribution for the matrix
$(\frac{1}{\sqrt{n}} X_n - zI)(\frac{1}{\sqrt{n}} X_n - zI)^\...
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A formal definition of Scaling Limits?
I'm looking for a formal definition of scaling limit in a rigorous math sense, also, if somebody knows a good translation to spanish. A good bibliography could be helpful.
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Probability that planar Brownian motion doesn't "encircle" 0
Suppose $B_t$ is a standard Brownian motion in $\mathbb{R}^2$ and $T = \text{inf}\{t : |B_t| = 1\}$. Let $E$ denote the event that $0$ is contained in the unbounded component of $\mathbb{R}^2 \...
- 71
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Expected cardinality of a randomly chosen element of the family of subsets of $\{1,\ldots,n\}$ with at most $k$-elements
Assume that $1\le k \le n$ and let $\mathscr{Z}$ be the family of all subsets of $\{1,\ldots,n\}$ with at most $k$ elements. Pick a random element $X$ of $\mathscr{Z}$ (we consider the probablity ...
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Random Walks in $Z^2$/$Z^2$-intrinsic characterization of Euclidean distance Part II
For some context see Random Walks in $Z^2$/$Z^2$-intrinsic characterization of Euclidean distance
As per Noah's answer and JBL's comment this was false as stated. However, I think the following ...
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A curious martingale
Does there exist an almost surely continuous martingale $X$ with $X_t \to +\infty$ almost surely?
Remark: Note that such a martingale exists in discrete time, or equivalently in continuous time if the ...
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Blue and red balls puzzle
I was sent this puzzle and wondered if it is known or if its origin is known? (I see colored ball puzzles are also in vogue.)
Consider a bag with $n$ red balls and $n$ blue balls. At each turn you ...
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Collisions between rooks taking random flights on an N by M chessboard
I randomly place $k$ rooks on an (arbitrarily sized) $N$ by $M$ chessboard. Until only one rook remains, for each of $P$ time intervals we move the pieces as follows:
(1) We choose one of the $k$ ...
- 133
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Sections measure zero imply set is measure zero?
I have a subset $B\subset\mathbb{R}^n\times\mathbb{R}^m$ that I want to show has measure zero. I know that the sections $B^x = \{y : (x,y)\in B\}$ all have measure zero. I do not know if $B$ is ...
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Bound on sum of complex summands involving binomial coefficients
I am trying to find the asymptotic behavior of the sum:
$$ \sum^n_{i=0} \begin{pmatrix} 2n \\ i \end{pmatrix} x^i y^{2n-i}$$
as $n\rightarrow\infty$. Here $x$, $y$ are complex numbers and I have $|x|...
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What is a random number? (poll experiment) [closed]
Imagine the following experiment: you wait say at a subway exit, and ask everyone passing "please tell me a number" (positive integer, of course). You do this day after day, until you reach say 1M ...
- 1,363
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Randomly contracting edges of a graph - expected number of vertices?
Let $G'$ be a graph obtained from $G$ after contracting each edge with probability $p$. Let $n = |V(G)|, e = |E(G)|$.
I would like to compute (or at least obtain a lower bound) for $E[|V(G')|]$ in ...
- 3,463
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988
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Missing mass conjecture
Let $n,t$ be positive integers and $p_1,p_2,\ldots,p_n$ positive numbers summing to 1. Conjecture:
$$
\sum_{i=1}^n p_i (1-p_i)^t \le \frac{n(1-1/n)^n}{t}
$$
always holds.
The motivation comes from my ...
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Can a non integrable random variable satisfy a strong law of large numbers principle?
Given a random variable $X$, we denote by $X_1, X_2, \dots$ a sequence of iid copies of $X$.
Question: Does there exist a random variable $X$ with $\mathbb E[X^+] = \mathbb E[X^-] = +\infty$, but
$$\...
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Concentration results for inner products of two independent random gaussian vectors
Hi,
I wanted to know if there are standard results on concentration of absolute
value of inner products of two random vectors. Thus if $X, Y \in R^m$ are two
independent random vectors with each ...
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Recent impressive combinatorial developments in probability theory
In the preface to the second edition of Daniel Stroock's book "Probability Theory: An Analytic View", there is this striking claim (on p. xv)
... I suspect that, for at least a decade, the most ...
- 1,302
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Two-dimensional random walk
Suppose we have a particle in the plane at the origin $(0,0)$. It moves randomly on the integer lattice $Z^2$ to any of the adjacent vertexs with equal probability $1/4$. What's the probability of ...
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Singular distributions: Applications and Instances
Singular distributions are special mathematical objects. They have an interesting property of not having a density function, defined on a set with Lebesgue measure zero. Cantor distribution is the ...
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Is the space of tempered distribution second countable?
Let $\mathcal S '(\mathbb R^d)$ be the space of Schwartz tempered distributions equipped with the weak-* topology. I need to know if this space is second countable, i.e. if this topology has a ...
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Is a semicontinuous real function Borel measurable?
Let $f(x,u): [0,1]^2 \mapsto \mathbb{R}$ be a continuous
function.
[Q] Is $g(x) = \inf_{u\in [0,1]} f(x,u)$ always Borel measurable?
If not, can one find a counter-example?
Note that, for any $c$,
...
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Problem about expectation of maximum partial sum
Given a number $m$, a random composition (strong) of this number into $n$ positive parts so that we can get $n$ random variable $X_1, X_2,\dots, X_n$ with $$X_1+X_2+\cdots+X_n=m$$
Note that all ...
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Why is $\mathbb R^{\mathbb N}$ not high-dimensional enough?
In this paper [1], the authors consider the limiting distribution of $$S_{n,p}:=\frac{1}{\sqrt n}\sum_{k=1}^nX_k$$ for $p\rightarrow\infty$ as $n\rightarrow\infty$, where $X_1, X_2,\dots, X_n$ are ...
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maximal coordinate on a sphere
What is the easiest (preferably without calculations) way to see that the mean value of $\max(x_1,x_2,\dots,x_n)$ on the sphere $\mathbb{S}^{d-1}= \{ (x_1,\dots,x_n):\ x_1^2+\dots+x_n^2=1 \}$ behaves ...
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Can one divide algebraic manifolds ? Make sense: $Gr(2,n)/ Gr(2,n+m) = P^{n-1}/P^{n+m-1} P^{n-2}/P^{n+m-2}$
Let's start from a little bit far.
Basic probability theory - chain rule reads:
$$ P(AB) = P(A)P(B|A)$$
Example: consider n+m balls, where n - white balls, m - black balls,
consider A - first ...
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Spiral lattice random walk
Execute a random walk from the origin on the integer lattice, but bias
the four compass-direction probabilities from $\frac{1}{4}$ each to prefer
to step in a spiraling direction.
Calling the four ...
- 151k
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Packing density of randomly deposited circles on a plane
Let's say that I have a rectangular two-dimensional surface of bounded dimensions, $[0,A]$ and $[0,B]$:
Under "no overlap" constraints, I sequentially deposit circles of radii $r_c$ on this surface,...
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Estimating the probability that one Poisson RV is larger than another
Let $X$ and $Y$ be Poisson random variables with means $\lambda$ and $1$, respectively. The difference of $X$ and $Y$ is a Skellam random variable, with probability density function
$$\mathbb P(X - Y ...
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If $H$ is a separable Hilbert space, is $L^2(H)$ separable?
Let $H$ be a separable Hilbert space, and let $\gamma$ be a Radon probability measure on $H$ with mean zero and covariance operator the identity $I$.
Is the Hilbert space $L^2(H,\gamma)$ separable?
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Brownian Motion Winding Number
Take a simple random walk $\gamma$ in the complex plane conditioned to start at point $a$ and end at point $b$. For this random walk, we can define the winding number $W_\gamma(a,b)$ around $b$ in the ...
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Expectation of a simple function of multivariate gaussians iid rvs
I would like to compute analytically the following expected value:
$$ E\left( \frac{X_i^2}{\sum_j \lambda_j^2 X_j^2}\right) $$
where the $X_i \approx N(0,1)$ are iid.
It seems to be an elementary ...
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approximately linear functions
i suppose it's fairly well known that if a (continuous, real-valued) function $f$ on the real line satisfies
$f(x-y)=f(x)-f(y)+const$
then it is necessarily linear.
are there any general ...
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Expectation for game choosing uniformly number in $[0,1]$ until it decreases
We are playing a game where we keep on choosing a number from the uniform distribution U(0,1). The game goes on until we have the current number less than the previously picked number, i.e. the game ...
7
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496
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Distributional equation X+Y=2X
Let $X$ be a positive real-valued random variable. Let $Y$ be an independent copy of $X$ and assume that the equality $X+Y=2X$ holds in distribution. Does this imply that $X$ is constant?
- 406
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A non-degenerate martingale
Let $(\Omega, \mathcal{F}, P)$ be a probability space, on which
$\mathcal{F}_t$ is filtration satisfying general conditions.
$W_t$ is
a standard Brownian motion.
Let $Y_t$ be a martingale given by
$$...
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1k
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Exponential (or other) families of distributions on manifolds.
The exponential family is a general parametrized class of probability distributions on $R^n$ that has many nice properties (ML estimation among them) and includes most of the "standard" distributions ...
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reverse KL-divergence: Bregman or not?
I am having a little trouble getting my head around the two "directions" of the Kullback-Leibler divergence:
Definition (Kullback-Leibler divergence) For discrete probability distributions $...
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Coverage of balls on random points in Euclidean space
We have n points randomly distributed in a d-dimensional unit hypercube. We randomly sample k of those points and center a ball with radius r on each of those k points. Does there exist an estimate of ...
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Probability of Brownian motion to have a zero in an interval
I have what should be a very simple questions for Brownian motion experts...
Let $[a,b]$ be a given time interval. Let $f(x)$ be the probability that a linear Brownian motion with initial value $x$ at ...
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What is the maximum entropy distribution on the natural numbers?
On the reals $\mathbb{R}$, the maximum entropy distribution with a given mean and variance is the Gaussian distribution.
Let $\mu, \sigma > 0$. What is the maximum entropy distribution on the ...
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Reference request: Martingale decompositions (positive/negative and u.i./singular)
For a paper I am writing, I need these two facts. The proofs are fairly short, but I would rather just cite them. This is for martingales index by natural numbers. Also, I call a martingale which ...
- 6,287
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643
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distribution of degree of minimum polynomial for eigenvalues of random matrix with elements in finite field
This is an attempt to extend the current full fledged random matrix theory to fields of positive characteristics. So here is a possible setup for the problem: Let $A_{n,p}$ be an $n \times n$ matrix ...
- 4,466
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4
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946
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On operator ranges in Hilbert & Banach spaces
Lemma 1 from Anderson & Trapp's Shorted Operators, II isLet $A$ and $B$ be bounded operators on the Hilbert space $\mathcal H$. The following statements are equivalent:
(1) ran($A$) $\subset$ ...
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CLT for stationary sequences with infinite variance
There is a well-known central limit theorem for as a stationary sequences.
If $( X_n )_n$ is a stationary sequence and $E X_n=0$ then under suitable mixing conditions the sequence $S_n := n^{-1/2}\...
- 1,491
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2
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689
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Independence result where probabilistic intuition predicts the wrong answer?
In some of his writings, Paul Cohen gave an informal, motivational discussion about the word generic (as it is used in forcing). While very suggestive, the discussion leaves the meaning of the word ...
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