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.
9,024 questions
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Nash equilibria of a "minority game"
An odd number $N \geq 3$ of players are playing a game - they bet on the outcome of a biased coin that comes up heads $p > \frac{1}{2}$ of the time, where $p$ is known to all of the players in ...
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Sub-Gaussian analysis via bounded decomposition?
Let $\psi_\alpha(x) := \exp(x^\alpha)-1$.
The Sub-Gaussian Norm $\lVert X \rVert_{\psi_2}$ of a random variable $X$ is defined as
$$
\lVert X\rVert_{\psi_2} = \inf\{c>0\mid \mathbb{E}[\varphi_2(|X|/...
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How do the total variation distances of the marginals relate to the total variation distance of the joint under independence?
Suppose there are two sets of random variables $X_1,...,X_n$ and $Y_1,...,Y_n$ with all the variables being defined over the same sample space, but not necessarily being identically distributed. Is ...
- 2,183
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Upper bounds on quotients of binomial coefficients
Let $\gamma>1$ be a real number and let $n\in \mathbb{N}$.
Define $f\colon\mathbb{N}\to[0,1]$
$$
f(n_0) = \frac{\binom{n-n_0}{m}}{\binom{n}{m}},
$$
where
$$
m = \Big\lfloor{\frac{n}{\lceil\gamma ...
- 128k
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1
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Sub-Gaussian concentration without the sub-Gaussian norm
A random variable $X$ is said to have sub-Gaussian tails with parameter $\sigma>0$ if
$$\Pr[|X|\geq t] \leq 2\exp(-t^2/(2\sigma^2))$$
I am interested if $X_0, X_1$ are independent, and have sub-...
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"Relative compactness of a family of probability measures" and relative compactness & sequential compactness of sets
I'm studying Billingsley's convergence of probability measures, and wondering why the definition of "Relative compactness of a family of probability measures" reasonable.
In the discussion ...
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Resource request (probability theory, computability theory, algebra)
I'm a first year graduate student trying to explore specific topics I might be interested in researching. Currently, I enjoy algebra, probability theory, and the computability theory side of logic, ...
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Expected survival time in Russian Roulette not monotone?
Let $a, n$ be positive integers with $a < n$. A revolver with $n$ chambers is loaded with $a$ bullets, where the distribution is uniform among all $\binom{n}{a}$ possible choices of $a$ objects ...
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A distribution defined via an ODE for its Laplace trnsform
Fix a parameter $0 < c < \infty$.
As the solution to a certain problem,
there is a probability density function $f_c(t)$ on $0 < t < \infty$ with mean $1$ and
whose Laplace transform $L(\...
- 236
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Uncountable families of measurable sets with pairwise positive intersections
Let $(X,\mathcal{B},\mu)$ be an arbitrary finitely additive probability measure space, let $a>0$ and let $(A_i)_{i\in I}$ be an uncountable family of subsets with measure $\geq a$.
Is there an ...
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What are alternative mathematical definitions of observers beyond Bennett and Hoffman's framework?
Motivation:
This question is inspired by a talk from Avi Wigderson given on Randomness, where the idea that the randomness is in the eye of the observer is suggested.
In the study of information ...
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Can an SDE be made to follow the flow lines of a vector field?
Let $V: \mathbb R^n \to \mathbb R^n$ be a Lipschitz vector field. Consider a one dimensional Brownian motion $W$ and the SDE
$$dX_t = V(X_t) \, dW_t,$$
where we identify $V(X_t) \in \mathbb R^n$ with ...
- 6,213
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Hypothesis testing for not identically distributed random variables conditioned on the outcome of a subset
I encountered the following problem (I give more details of the problem at the end of the post) and I am trying to figure out the best way of performing a null hypothesis testing. I looked for similar ...
CommunityBot
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Existence of linear stochastic differential equation given solution
Normally if you have a linear SDE given such as
$dx_t = (A(t)x_t + a(t))dt + \sigma(t) dW_t$, we want to find $x_t$, more precisely we want to find the mean and variance of $x_t$ at each timestep $t$. ...
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A balls-and-colours problem
A box contains n balls coloured 1 to n. Each time you pick two balls from the bin - the first ball and the second ball, both uniformly at random and you paint the second ball with the colour of the ...
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Reference to get quickly to modern discrete probability theory
I've had some formal training in Analysis - Functional Analysis, Basic Operator Algebra - and I've started working on probability - specifically Combinatorial Statistical Mechanics and Spin-Glasses. ...
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Why optional stopping theorems require continuity conditions of martingales?
If we want to prove some form of optional stopping theorem (with a stopping time $T$) for continuous time martingales $M_t$, a typical strategy is to assume that $\mathbb E[M_{T\wedge n}] = \mathbb E[...
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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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Show there is no positive r.v. $U$ such that $\frac{1}{2} = \frac{\mathbb{E}[U^k 1_{U \ge (k+1)/2 }]}{\mathbb{E}[U^k]}, \, \forall k \in \mathbb{N}_0$
Let $U$ be a non-negative random variable such that for all $k \in \mathbb{N}_0$
\begin{align}
\frac{1}{2} = \frac{\mathbb{E}[U^k 1_{U \ge \frac{k+1}{2} }]}{\mathbb{E}[U^k]}.
\end{align}
In ...
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Gaussian mixtures are dense in total variation?
Let $M_{TV}(\mathbb{R}^d)$ denote the set of probability measures on $\mathbb{R}^d$ with finite total variation norm which are absolutely continuous with respect to the Lebesgue measure.
By a Gaussian ...
- 128k
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The unique weak solution to some SDE yields the unique strong solution?
For some filtered probability space $\big(\Omega,\mathcal F, (\mathcal F_t),\mathbb P\big)$, consider a stochastic differential equation (driven by a real-valued Brownian motion $W$) for $X=(X_t)$, ...
- 63.9k
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Quantile convergence
Let $X^1,\dots,X^n$ be a sample of (not necessarily iid) random variables and denote
$$F^n(x)=\frac{1}{n}\sum_{i=1}^n \mathbf 1_{X^i\leq x}$$
the empirical distribution function. Suppose that we know ...
CommunityBot
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1
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255
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Sufficient conditions for decomposition of a bounded random variable into several small pieces
Given a random variable $X$ with $\mathsf{supp}\, X \subseteq [0,1]$ and $n$ positive numbers $h_1,\cdots,h_n$ with $\sum_{i=1}^n h_i=1$, I want to know some sufficient conditions for decomposing $X$ ...
CommunityBot
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Asymptotic mixing time and Euclidean probability distance for path graphs
We are given a simple path graph $P(V,E)$ with vertex set $V$ and edge set $E$, having $n=|V|$ nodes. Given an initial distribution $\mathbf{\mu}$ over $V$, let $d_t(\mathbf{\mu},\pi)$ be defined as $\...
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Existence and sharpness of Bernstein-type bounds on the moment-generating function
Let $X$ be a centred random variable with variance $\sigma^2$, and whose moment-generating function exists in an open neighbourhood of the origin.
Say that $X$ satisfies a 'Bernstein-type' MGF bound ...
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Is the limit of compound Poisson random variables a compound Poisson r.v.?
Let $Y$ be an infinitely divisible (I.D.) random variable.
Let $\nu$ be any measure not necessarily finite: $\nu(\mathbb R)\leq \infty$. Suppose that $Y \sim (0, \nu,0)_0$ according to the notation on ...
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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 ...
CommunityBot
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2
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519
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Cramér–Rao type bound for absolute estimation error
Let $\{X_1, X_2, \dotsc, X_n\}$ be independent and identically distributed (i.i.d.) random variables sampled from a common distribution with density $f_{\theta}(x)$, where $\theta$ is an unknown ...
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Subgraphs of random graphs with a given degree sequence
Let $\mathbf{d}=(d_1,\dots, d_n)$ be a given degree sequence with $3\leq d_i\leq \Delta$ for every $i$, where $\Delta$ is constant. Let $G(n,\mathbf{d})$ denote the random graph uniformly distributed ...
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A functional equation coming from a distribution function
Currently, I am working on a random series as follows. Let $\{Y_k\}$ be a sequence of i.i.d. Bernoulli random variables with expectation $p$. Then we define
$$
S = \sum_{k=1}^\infty \prod_{\ell=1}^k 2^...
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1
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Proving an exponential sum inequality for symmetric Hamming distance sequences in binary vectors
Background: Let $X = \{0,1\}^k$ represent the set of all binary vectors of length $k$. For two binary vectors $x, y \in X$, the Hamming distance $d_H(x, y)$ is defined as the number of positions where ...
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1
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Expectation bounds on supremum of family of martingales
Suppose I fix a filtered probability space $(\Omega, \mathcal{F}, \mathbb{F}, P)$ and on it a Brownian motion $B$. Let $\tau_\alpha$ denote a set of stopping times which satisfies $\sup_\alpha \tau_\...
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Can one parameterize transition rate matrices such that the stable distribution becomes independent of the transition rates?
I am trying to model a problem in which I need to describe a set of continuous time markov chains that depend on some parameter $v$. Thus, for each $v$, let $K(v)$ be $n\times n$ transition matrix ...
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Class of covariance matrices invariant under permutations
I am reading a paper on covariance matrix estimation, and in this paper is introduced a class of covariance matrices:
\begin{equation}
U(q, c_0(p),M)=\{\Sigma: \sigma_{ii}\leq M,\quad \max_j\sum_{j=1}^...
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1
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strict inequality for Fatou's lemma
It is not the well-known form of Fatou's lemma. It is shown as below:
let $g\ge 0$ be continuous. If $X_n$ weakly converge to $X$ then
$$\lim\inf_{n\rightarrow \infty} Eg(X_n)\ge Eg(X)$$
I'd like to ...
- 128k
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Local maxima of the sum of Gaussian functions in *multiple dimensions* are always strict local maxima - prove/disprove/prove conditionally?
This is a follow up of the question in one dimension, that asked to show that the all the maxima of the sum of Gaussian
$$f_n(x):= \sum_{i=1}^{n}e^{-(x-x_i)^2}, x_1 < x_2 < \dots < x_n$$
are ...
CommunityBot
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Isomorphism of Wasserstein space implies isomorphism of base spaces?
Assume $(X_i,d_i)$ are polish spaces (or compact metric spaces) for $i=1,2$.
Further assume that the 1- Wasserstein spaces $(P_1(X_1),W_1)$ and $(P_1(X_2),W_1)$ are isometrically isomorphic. Does that ...
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1
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Is Nelson-Symanzik positivity compatible with fermionic statistics?
Let $\{ S_n \}_{n =0}^\infty$ be a sequence of tempered distributions where $S_n \in \mathcal{S}'(\mathbb{R}^{nd})$ where $d \in \{2,3,4\}$ is fixed. Moreover, we put three additional conditions:
$...
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1
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When does an Itô diffusion give a semigroup on $L^2$
I would like a reference for when an Itô diffusion generates a strongly continuous semigroup on $L^2(\mathbb{R}^n)$.
I have a time-homogeneous Itô diffusion of the form
$$dX_t=b(X_t)dt+\sigma(X_t)dB_t$...
CommunityBot
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1
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MGF relevant to modified 2nd kind Bessel
Given the moment-generating function
$$
m_{0}(t)=\frac{1}{\sqrt{1-t^2}}\,\text{ for }t<1,
$$ which corresponds to a distribution with density
$$
f(u) = \frac{1}{\pi}K_{0}(\frac{u}{\pi })
$$ where $...
- 128k
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Non-atomic probability measures on N
One can intuitively imagine picking a random natural number and ask to what extent the intuition can be axiomatized.
Using the axiom of choice, there is a total finitely additive (monotonic) averaging ...
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1
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267
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On the Markov property of a limit process
Let $E$ be a locally compact separable metric with countable base. We consider a sequence of Hunt processes $\{X^{(n)}\}_{n \in \mathbb{N}}$ on $E$. That is, each $X^{(n)}=(\{X_t^{(n)}\}_{t \in [0,\...
CommunityBot
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Does smoothing a non-log-concave distribution make it more log-concave?
Suppose that $p$ is a density on $\mathbb{R}^d$ that is $C^2$ and nonzero everywhere, and such that the Hessian of its negative logarithm is lower bounded:
$$-\nabla^2 \ln p\succeq L$$
for some matrix ...
CommunityBot
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1
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Is finding the CDF from the Laplace transform well-posed?
In my study of Dynamic Light Scattering, I came across the following inverse problem. Let $F(s):[0,T]\rightarrow[0,T]$ be the Laplace transform of a probability distribution $f(t)$ on the real line ...
- 128k
1
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1
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Approximate the singular values of a certain random dot-product kernel matrix (in the sense of El Karoui, Cheng-Singer, etc.)
Let $g:\mathbb R \to \mathbb R $ be a continuous function which is
"sufficiently smooth" (e.g $\mathcal C^3$) around $0$, and
"sufficiently integrable" (e.g integrable w.r.t $N(0,...
CommunityBot
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1
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The gacha stamp collector’s problem
Let $N \gg n \geq 2$ be fixed natural numbers. In the Gacha stamp game, players are given an $N \times N$ square grid, with each point occupied by a unique stamp.
On every turn, they may choose a ...
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Is a random circle rotation weak mixing almost surely?
Consider the random circle rotation $x \to x + Z \text{ mod 1}$ on $([0, 1], \text{Lebesgue})$ where at each rotation, $Z$ is uniformly distributed on $[0, 1]$ and independent of previous rotations.
...
- 148k
1
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1
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75
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Probability of correctly guessing the maximum event probability of a multinomial distribution
I have a sample from multinomial distribution with $n$ trials, and $k=3$ options. I know that one of the event probabilities $p_i$ is larger than the two others (who are equal). I'm trying to guess ...
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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,...
- 128k
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2
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Which coupling of uniform random variables maximises the essential infimum of the sum?
Recall that a coupling of probability measures $\mu_i$ is a set of random variables $X_i$ defined on the same probability space $\Omega$ such that $X_i \sim \mu_i$.
Question: Let $\mu_1, \dots, \mu_n$ ...
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