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.
908 questions
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Normal approximation of tail probability in binomial distribution
My problem: From the Berry--Esseen theorem I know, that $$\sup_{x\in\mathbb R}|P(B_n \le x)-\Phi(x)|=O\left(\frac 1{\sqrt n}\right),$$ where $B_n$ has the standardized binomial distribution and $\Phi$ ...
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5
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Expected value of determinant of simple infinite random matrix
Suppose we have a matrix $A \in \mathbb{R}^{n\times n}$ where
$$A_{ij} = \begin{cases} 1 & \text{with probability} \quad p\\ 0 &\text{with probability} \quad1-p\end{cases}$$
I would like to ...
- 355
16
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1
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Random polycube shapes
I am wondering if it is hopeless to obtain any firm results
on the following model of a "random polycube shape."
First, a polycube in $\mathbb{R}^3$
is a connected face-to-face gluing of unit cubes.
(...
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15
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4
answers
2k
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Positivity of certain Fourier transform
Is the Fourier transform of the function
$$ f(\xi) = e^{-t|\xi|^{2m}}$$
positive for $t>0$ and $m \in \mathbb{N}_0$?
- 9,853
15
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2
answers
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Convergence of moments implies convergence to normal distribution
I have a sequence $\{X_n\}$ of random variables supported on the real line, as well as a normally distributed random variable $X$ (whose mean and variance are known but irrelevant). I know that the ...
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14
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8
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Relevant mathematics to the recent coronavirus outbreak
I would like to ask about (old* and new) reliable mathematical literature relevant to various mathematical aspects of the recent coronavirus outbreak: In particular, standard statistical/mathematical ...
14
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2
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Error term for renewal function
Consider a sequence of independent uniform $[0,1]$ random variables, and for nonnegative real $t$, let $m(t)$ be the expected number of terms in the first partial sum that exceeds $t$. For instance it'...
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12
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1
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Square root of normal distribution
Let $X$ and $Y$ be independent random variates with the same probability distribution, $P(x)$. Assuming that the product $Z=XY$ is a random variate with normal distribution, say $$f_Z(x) = \frac{1}{\...
- 377
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3
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Area Enclosed by the Convex Hull of a Set of Random Points
Consider $n$ points generated randomly and uniformly on a unit square. What is the expected value of the area (as a function of $n$) enclosed by the convex hull of the set of points?
- 123
12
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2
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The Borel $\sigma$-algebra of the set of probability measures
Let $X$ be a compact metric space and $M(X)$ the set of all Borel probability measures on $X$.
It is know that $M(X)$ is a convex compact metric space endowed with the weak-* topology i.e.
$(\mu_n)_n \...
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11
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1
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Has anyone seen this series?
I come across the following infinite series.
$$
\sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}.
$$
In particular, I am interested in the case where $a=1/4$.
...
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11
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2
answers
1k
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Can every discrete martingale be embedded in a continuous martingale?
Let $(X_k)_{k=0,1,..., n}$ be a discrete martingale defined on some probability space $(\Omega,\mathcal{F},\mathbb{P})$. I would like to know whether there exists a (continuous) martingale $(\tilde{X}...
- 1,835
11
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4
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Another colored balls puzzle
This is a puzzle a colleague asked me recently.
Imagine you have $n$ balls in a bag that are colored from $1$ to $n$. At each turn you take two balls at random out that have different colors and ...
- 131
11
votes
1
answer
609
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Tighter Caratheodory on the moment curve?
The moment curve is the set of points of the form
$$(t,t^2,t^3,...,t^n) \in R^n$$
Let $M$ be the portion of the moment curve where $t\in [0,1]$, and let $\overline{M}$ be the convex hull of $M$.
...
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11
votes
1
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Find the area of the region enclosed by $\sin^p x+\sin^p y=\sin^p(x+y)$, the $x$-axis and the $y$-axis (comes from a probability question)
Consider the graph of $\sin^p x+\sin^p y=\sin^p(x+y)$, where $x$ and $y$ are acute, and $p>1$.
Here are examples with, from left to right, $p=1.05,\space 1.25,\space 2,\space 4,\space 100$.
Find ...
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11
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4
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If the sum of two independent random variables is discrete uniform on $\{a, \dots,a + n\}$, what do we know about $X$ and $Y$?
Basically I want to know whether the sum being discrete uniform effectively forces the two component random variables to also be uniform on their respective domains.
To be a bit more precise:
...
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10
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2
answers
2k
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Birkhoff Ergodic Theorem and Ergodic Decomposition Theorem for Continuous-Time Markov Processes
I have a couple of questions regarding ergodicity for Markov processes in continuous time. (In particular, the first question seems like it should be particularly basic, and yet I haven't managed to ...
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9
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2
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726
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Return probabilities for random walks on infinite Schreier graphs
Question: Is there a sequence $(\delta_n)_n$ of real numbers with $\delta_n \to 0$ as $n \to \infty$, such that the following holds:
Let $F$ be a free group on two generators, let $F \curvearrowright ...
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9
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1
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What are some characterizations of the strong and total variation convergence topologies on measures?
I asked this question on StackExchange a few days ago but didn't get any response, so I thought I would try here.
The Wikipedia article on convergence of measures defines three kinds of convergence: ...
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0
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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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9
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4
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3k
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Anti-concentration of Gaussian quadratic form
Let $X_1,\dots,X_n$ denote i.i.d. standard Gaussian random variables. My question is: Do there exist absolute constants $C,c>0$ such that for every $\epsilon>0$ and positive real numbers $a_1,\...
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8
votes
1
answer
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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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8
votes
2
answers
343
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Cubic almost-vertex-transitive graphs with given spanning tree
Consider the infinite 3-regular tree. Pick a vertex $C$, the "center".
For any integer $L\ge 1$ consider the closed ball, in the graph distance, of radius $L$ around $C$. Let $T_L$ be the induced ...
8
votes
2
answers
2k
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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 ...
- 1,127
8
votes
1
answer
1k
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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. ...
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2
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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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7
votes
1
answer
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$d$-ball approximation for $d\gg 1$ with a convex hull of random points on its boundary
Given a $d$-ball $\mathcal{S}^{d}$, let $P_n$ a set of $n$ points selected uniformly at random on the boundary $\mathcal{S}^{d-1}$ of $\mathcal{S}^{d}$. Let $\mathcal{C}_n$ the convex hull of $P_n$. ...
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7
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0
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233
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Growth of spheres in FINITE nilpotent groups - Gaussian approximation (central limit theorem)?
Standard setup. Consider a group and choose generators. Word-metric (or in the other words - distance on the Cayley graph of the group+generators) - converts a group into a metric space, which is ...
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7
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1
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What makes Gaussian distributions special? Local field version?
This question is inspired by the recent one about Gaussian measures over the reals:
What makes Gaussian distributions special?
I would be interested in a similar list of characterizations for the ...
7
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3
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Prove that a sub-Gaussian random vector over a finite set $S \subset\mathbb R^n$ implies that $|S|$ is exponentially large
Let $X$ be an isotropic random vector (i.e. $E[XX^T]=I_n$) and $X$ takes value in a finite set $S \subset\mathbb R^n$. If $X$ is a sub-Gaussian random vector and the norm $\|X\|_{\psi_2}\le C$ where $...
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2
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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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7
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2
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Integral of the product of Normal density and cdf
I am struggling with an integral pretty similar to one already resolved in MO (link: Integration of the product of pdf & cdf of normal distribution ). I will reproduce the calculus bellow for the ...
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2
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What's the probability distribution of a deterministic signal or how to marginalize dynamical systems? (functional integrals in probability theory)
Because I still have no idea how it is possible for me to write down seemingly important equations ... that don't make any sense (at least for me) and because I haven't got any helpful comment so far, ...
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6
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2
answers
274
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Expectation of period length of functions $f:\{1,\ldots,n\}\to \{1,\ldots,n\}$
For $n\in\mathbb{N}$, let $[n]:= \{1,\ldots,n\}$. Let $\text{Fun}(n)$ denote the set of all functions $f:[n]\to[n]$. To $f\in\text{Fun}(n)$ associate a sequence $\text{seq}(f))$ defined recursively by
...
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6
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0
answers
339
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What is the algebraic equivalent of independent elements?
The definition/notion of independence is always a bit odd in measure theoretic probability theory.
Definition Given a probability space $(\Omega,\mathcal{F},P)$, two sets $A,B\in\mathcal{F}$ are ...
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6
votes
1
answer
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Lipschitz function of independent subgaussian random variables
This question was asked here, but I have reason to believe that it's a serious research question appropriate for this forum (also, the answers given at the link aren't satisfactory).
If $X\in\mathbb{...
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6
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1
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Map from the Multiset Monad to the Giry Monad: From Data to Probabilities
The Mulitiset monad, aka the free commutative monoid monad or "Bag" monad, takes a set to the set of all Multisets for that set. A Multiset is like a set, but can have duplicates. It is used in ...
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5
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0
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352
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0-1 matrix combinatorial problem
Let $M \in \{0,1\}^{n \times n}$ and let $r_i$ be its $i$-th row. Given constant $p \in (0,1/2]$, let the number of $1$s in each row be at least $p\,n$. Given constant $c \in (0,1)$, what is the ...
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2
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Endpoint of Brownian motion conditional on high maxima
Note: This question is closely related to an earlier question: A large noise limit.
Let $W$ be a standard one dimensional Brownian motion.
For every $\varepsilon > 0$, let $A_\varepsilon$ denote ...
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2
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Probability of general Brownian (or non) bridge to be higher than given parameter?
Consider general Brownian bridge W(0)=0; W(T) = a. (Here "general" means: $W(T)\ne 0$).
What is the probability W(t) >= b, for all $ t \in [0, T] $ ?
Is there close simple formula in terms of a,...
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5
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2
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516
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Anticoncentration of the convolution of two characteristic functions
Edit: This is a question related to my other post, stated in a much more concrete way I think.
I am interested in anything (ideas, references) related to the following problem:
Suppose that $A \...
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4
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1
answer
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*Full proof* references for Markov generators with various boundary conditions
(Note: I've migrated this question from math.stackexchange, as the lack of answers there made me believe it was perhaps too advanced for that forum.)
Consider the one-dimensional heat equation
$$\...
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2
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274
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Paper request : “A random integral and Orlicz spaces” from K. Urbanick
I tried all my methods to find the paper :
“K. Urbanik and WA Woyczynski, A random integral and Orlicz spaces, Bulletin de l'Académie Polonaise des Sciences, Série des sciences mathématiques, ...
4
votes
1
answer
812
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On the largest and smallest spacings for the uniform distribution
Let $Z_1,\dots,Z_n$ be iid random variables (r.v.'s) each uniformly distributed on $[0,1]$. Let $Z_{n:1}\le\cdots\le Z_{n:n}$ be the corresponding order statistics. For $i=1,\dots,n-1$, let $G_i:=Z_{n:...
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4
votes
1
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When is $\prod_{i=0}^\infty (I-x_i x_i^T)=0$ for isotropic Gaussian $x_i$?
Suppose $x_i$ is sampled IID from isotropic zero-centered Gaussian random variable in $d$ dimensions with covariance $\Sigma=c*I$. When is the following true with probability 1?
$$\prod_{i=0}^\infty (...
- 2,242
4
votes
1
answer
771
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Maximal component of a multivariate Gaussian distribution
Suppose you have a general random Gaussian vector $\mathbf{X}\sim\mathcal{N}\left(\boldsymbol{\mu},\boldsymbol{\Sigma}\right)$. I'm looking for the simple way to calculate the distribution of the ...
- 968
4
votes
2
answers
2k
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Change of time or change of measure
Consider simple diffusion $dX_t = \sigma dw_t$ and a parameter $a>0$ and $X_0=x$. Let us denote $Y_t = X_{at}$ - thus we made a change of time. Let us denote an original measure as $P$. How to find ...
- 1,655
4
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2
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1k
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Expectation of the trace of inverse of a Gaussian random matrix
Given a $N×M$ random complex gaussian matrix $X$ and $N×K$ random complex gaussian matrix $Y$ I'm interested in approximating the expectation expressed as:
\begin{align}
E[trace({(aX{X^H} + I)^{ - ...
- 377
4
votes
1
answer
5k
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Asymptotic behavior of max of chi-squared distribution
Suppose $X_{\max}$ is the maximum in a sequence $X_1,X_2,\ldots,X_n$ where each $X_i\sim\chi^2_k$ is an i.i.d. chi-squared random variable with $k$ degrees of freedom.
Since chi squared distribution ...
- 907
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3
answers
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Arcsine law for Brownian motion with drift
Let
$$X_t = m \cdot t + W_t$$
where $W_t$ is a Brownian motion. Let
$$Z = \sup \{ t\in [0,1] : X_t = 0\}.$$
It is known that if $m = 0$ then the distribution of $z$ is given by
$$\mathbb{P}[Z \leq y ]...
- 1,322