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.
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Do invariant measures maximize the integral?
Update: The negative answer to the following question has been provided by Matthew Daws, who won, but also rejected, the bounty of 100 euro that I set over the question.
Let $\mathcal M(\mathbb Z)$ ...
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Intuition of law of iterated logarithm?
Let $X_i$ be iid random variables with $EX_i = 0$ and $Var X_i=1$ and $S_n=X_1+\cdots+X_n$. Then the law of the iterated logarithm says almost everywhere we have
$$\limsup_{n\to\infty}\frac{S_n}{\...
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What is a good method to find random points on the n-sphere when n is large?
As part of a more complex algorithm, I need a fast method to find random points of the n-sphere, $S^n$, starting with a RNG (random number generator). A simple way to do this (in low dimensions at ...
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Is a random subset of the real numbers non-measurable? Is the set of measurable sets measurable?
One might say, "a random subset of $\mathbb{R}$ is not Lebesgue measurable" without really thinking about it. But if we unpack the standard definitions of all those terms (and work in ZFC), it's not ...
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If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are other proofs of this known?
I know a proof of the theorem that if $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. The proof uses an integral representation of the absolute value,
$$\int_0^\...
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Random knot on six vertices
This question is inspired by Joseph O'Rourke's beautiful question on random knots. Choose an random ordered 6-tuple of points on the unit sphere in $\mathbf{R}^3$, and form a knot by connecting ...
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Combinatorial Morse functions and random permutations
This question has its origin in combinatorial topology. In the 90s R. Forman proposed a discrete counterpart of Morse theory. In his case, a Morse function on a triangulated space is a function ...
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Probability of generation of ${\mathbb Z}^2$
What is the probability that three pairs $(a,b) $ , $(c,d) $ and $(e,f) $ of integers generate $\mathbb Z^2$? As usual the probability is the limit as $n\to \infty$ of the same probability for the $n\...
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Random Alternating Permutations
An alternating permutation of {1, ..., n} is one were π(1) > π(2) < π(3) > π(4) < ... For example: (24153) is an alternating permutation of length 5.
If $E_n$ is the number of alternating ...
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Moments of area of random triangle inscribed in a circle
The $2m$th moment of the (random) area of the triangle whose vertices are three independent, uniformly distributed random points on the unit circle appears to be $((3m)!/(m!)^3)/16^m$. Can anyone ...
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Why is free probability a generalization of probability theory?
Note: This question was already asked on Math.SE nearly a week and a half ago but did not receive any responses. To the best of my knowledge, free probability is an active topic of research, so I hope ...
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Probability of a Random Walk crossing a straight line
Let $(S_n)_{n=1}^{\infty}$ be a standard random walk with $S_n = \sum_{i=1}^n X_i$ and $\mathbb{P}(X_i = \pm 1) = \frac{1}{2}$. Let $\alpha \in \mathbb{R}$ be some constant. I would like to know the ...
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Why are two "random" vectors in $\mathbb R^n$ approximately orthogonal for large $n$?
I saw that two random independent vectors are approximately orthogonal in high dimensional space.
How can I prove this?
And is there an intuitive explanation?
Thank you.
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Rate of convergence of $\frac{1}{\sqrt{n\ln n}}(\sum_{k=1}^n 1/\sqrt{X_k}-2n)$, $X_i$ i.i.d. uniform on $[0,1]$?
Let $(X_n)$ be a sequence of i.i.d. random variables uniformly distributed in $[0,1]$; and, for $n\geq 1$, set
$$
S_n = \sum_{k=1}^n \frac{1}{\sqrt{X_k}}\,.
$$
It follows from the generalized central ...
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When do 3D random walks return to their origin?
The probability of a random walk returning to its origin is 1 in two dimensions (2D) but only 34% in three dimensions: This is Pólya's theorem. I have learned that in 2D the condition of returning to ...
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An $L^0$ Khintchine inequality
Suppose that $\epsilon_1,\epsilon_2,\ldots$ are IID random variables with the Bernoulli distribution $\mathbb{P}(\epsilon_n=\pm1)=1/2$, and $a_1,a_2,\ldots$ is a real sequence with $\sum_na_n^2=1$. ...
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$\binom{x}{2}+\binom{x}{4}+\cdots+\binom{x}{2u}$ is a convex function on $[0,+\infty)$?
Let $f(x)=\binom{x}{2}+\binom{x}{4}+\cdots+\binom{x}{2u}$, where $u\in\mathbb{Z}^+$ and $\binom{x}{l}=\frac{x(x-1)\dots(x-l+1)}{l!}$ for all $l\in\mathbb{Z}^+$.
Then can we prove $f(x)$ is a convex ...
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Persistent homology of Gaussian fields in Euclidean space
If you generate points in $\mathbb R^n$ via a process that respects a Gaussian normal distribution, then compute the persistent homology / barcodes, to my eye something fairly regular seems to be ...
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Some models for random graphs that I am curious about
G(n,p)
We are familiar with the standard notion of random graphs where you fixed the number n of vertices and choose every edge to belong to the graph with probability 1/2 (or p) independently. This ...
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Drawing natural numbers without replacement.
Suppose we start with an initial probability distribution on $\mathbb{N}$ that gives positive probability to each $n$. Let's call this random variable $X_1$ so we have $P(X_1=n)=p_{1,n}>0$ for all $...
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What upper bounds are known for the diameter of the minimum spanning tree of $n$ uniformly random points in $[0,1]^2$?
Let $P$ be a pointset consisting of $n$ uniformly random elements of $[0,1]^2$. It is known that the diameter (greatest number of edges in any shortest path between two points) of the Delaunay ...
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How large can $\mathbf{P}[X_1 + X_2 + X_3 < 2 X_4]$ get?
Let $\mu$ be a probability measure on $[0,\infty)$ and $X_1, \dots, X_4 \sim \mu$ independent. Then what can be said about the probability that $X_1 + X_2 + X_3 < 2 X_4$?
More precisely, what is ...
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Does a theory of stochastic differential algebras exist?
My question is motivated primarily by finance, where a non-technical student will learn how to approach SDEs using the symbolic manipulation of Itô calculus and the few basic rules of Brownian motion, ...
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What is a Gaussian measure?
Let $X$ be a topological affine space. A Gaussian measure on $X$ is characterized by the property that its finite-dimensional projections are multivariate Gaussian distributions.
Is there a direct ...
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What makes Gaussian distributions special?
I'm looking for as many different arguments or derivations as possible that support the informal claim that Gaussian/Normal distributions are "the most fundamental" among all distributions.
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Eigenvalues of permutations of a real matrix: can they all be real?
For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and define the total spectrum $TS(M)$ as the union of all their spectra (counting ...
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James-Stein phenomenon: What does it mean that a James-Stein estimator beats least squares estimator?
Background James-Stein estimator and Stein's phenomenon, as described in Wikipedia are rather counterintuitive and amazing.
It is claimed that if one wants to estimate the mean $\Theta$ of
Gaussian ...
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A random walk with uniformly distributed steps
The following problem has bothered me for a long time.
Let us imagine a point on the real axis. At the beginning, it is located at point $O$. Then it will "walk" on the real axis randomly in the ...
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How to optimally bet on a biased coin?
A number $p$ is drawn uniformly at random from $[0, 1]$. You are then given a biased coin that turns up heads with probability $p$, but the number $p$ is not known to you.
You start with a total ...
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Identities and inequalities in analysis and probability
Usually, at the heart of a good limit theorem in probability theory is at least one good inequality – because, in applications, a topological neighborhood is usually defined by inequalities. Of course,...
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Why pi-systems and Dynkin/lambda systems? On the relative merits of approaches in measure theory.
What is the point of $\pi$-systems and
$\mathcal{D}$ / Dynkin /
$\lambda$-systems?
I am an analyst in the process of consolidating my measure theory knowledge before moving on to harder/newer ...
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Do these polynomials have alternating coefficients?
In answering another MathOverflow question, I stumbled across the sequence of polynomials $Q_n(p)$ defined by the recurrence
$$Q_n(p) = 1-\sum_{k=2}^{n-1} \binom{n-2}{k-2}(1-p)^{k(n-k)}Q_k(p).$$
Thus:
...
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Probability that random weights on $K_n$ satisfy triangle inequality
Given $K_n$, if a random real weight between $[0, 1]$ is chosen for every edge, what is the probability that the graph satisfies the triangle inequality? How about the discrete version, where the ...
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what is the probability that a scissor became the champion?
Here is a question from one of my students:
suppose 8 players are in an elimination match. The players are marked with marked with either R (for rock), P (for paper) or S (for scissors). If two ...
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How can I randomly draw an ensemble of unit vectors that sum to zero?
Inspired by this question, I would like to determine the probability that a random knot of 6 unit sticks is a trefoil. This naturally leads to the following question:
Is there a way to sample ...
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Enumeration and random selection
In Peter J. Cameron's book "Permutation Groups" I found the following quote
It is a slogan of modern enumeration theory that the ability to count a set is closely related to the ability to pick a ...
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Probability that biggest area stays greater than 1/2 in a unit square cut by random lines
The square $[0,1]^2$ is cut into some number of regions by $n$ random lines. We can chose these random lines by randomly picking a point on one of the four sides, picking another point randomly from ...
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The Angel and Devil problem with a random angel
In the classic version of Conway's Angel and the Devil problem, an angel starts off at the origin of a 2-D lattice and is able to move up to distance $r$ to another lattice point. The devil is able ...
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Is the circle in the square best at avoiding random lines?
This question is inspired by a recent one (and takes a great deal from the answers there). Given a convex subset $\Delta$ of the unit square, let $p(\Delta)$ be the probability that a random line does ...
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Measure induced on [0, 1] by infinite tosses of biased coin
It is well-known that one can get the Lebesgue measure on [0, 1] by tossing a fair coin infinitely (countably) many times and mapping each sequence to a real number written out in binary.
I was ...
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A geometric interpretation of independence?
Consider the set of random variables with zero mean and finite second moment. This is a vector space, and $\langle X, Y \rangle = E[XY]$ is a valid inner product on it. Uncorrelated random variables ...
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Time-inhomogeneous Markov chains
I'm trying to find out what is known about time-inhomogeneous ergodic Markov Chains where the transition matrix can vary over time. All textbooks and lecture notes I could find initially introduce ...
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Precise estimate for probability an $n$-point set has diameter smaller than $1$
This question was inspired by an earlier question that I answered but would like a more precise bound for.
Consider random points $x_1, \dots, x_n$ in the unit ball in $\mathbb R^d$, uniformly and ...
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Graph with Poisson Clock at each Vertex
Let $G$ be a connected, undirected graph, with countably infinite set of vertices and countably infinite set of edges. Assume that the degree of each vertex is finite, and moreover, the degrees of all ...
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What is the probability that two random walkers will meet?
It is a well known result that a random walk on a 2D lattice will return to the origin see Polya's random walk constant. Based on this, it is not a big stretch to conclude that the random walk will ...
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Anti-concentration of Bernoulli sums
Let $a_1,\ldots,a_n$ be real numbers such that $\sum_i a_i^2 =1$ and let $X_1,\ldots,X_n$ be independent, uniformly distributed, Bernoulli $\pm 1$ random variables. Define the random variable
$S:= \...
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Reference for a strong intermediate value theorem for measures
Let $\mu$ be a finite nonatomic measure on a measurable space $(X,\Sigma)$, and for simplicity assume that $\mu(X) = 1$. There is a well-known "intermediate value theorem" of Sierpiński that states ...
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most general way to generate pairwise independent random variables?
Is there a sort of structure theorem for pairwise independent random variables or a very general way to create them?
I'm wondering because I find it difficult to come up with a lot of examples of ...
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Entropy and total variation distance
Let $X$, $Y$ be discrete random variables taking values within the same set of $N$ elements. Let the total variation distance $|P-Q|$ (which is half the $L_1$ distance between the distributions of $P$ ...
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Is defining measures as functionals ever insufficiently general in practice?
Crossposting from Math Stack Exchange, as it has yet to receive any answers there; the original question is here.
The way I learned measures was as set functions on a $\sigma$-algebra with certain ...
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