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.
8,632
questions
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1
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115
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Approximation of function in general measure space
Let $\mu$ be a $\sigma$-finite measure on $R^n$ ($n\geq 1$) and $(E,d)$ be a complete metric space. For any measurable function $f: R^n\to E$ with
$$
\int_{R^n}d(f(x),f(x_0))\mu(dx)<\infty,\quad \...
0
votes
0
answers
59
views
Concentration of Sample Mode
Is there a concentration bound for sample mode, when there exists a unique mode for a density $f$ that doesn't depend on $f$ (Essentially I am looking for a Chernoff type bound for mode)?.
2
votes
2
answers
468
views
Probability space with exactly one Brownian motion
Very recently, the following question was asked:
Often, we encounder the assumption that $(\Omega,\mathcal{F},\mathbb{F},\mathbb{P})$ is a stochastic base on which a Brownian motion is defined. ...
3
votes
1
answer
106
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Asymptotic estimate of the cardinality of $H_{2n}=\{\vec{a} \in [-N,N]^{2n}:\sum_{i=1}^{2n} a_i = 0\}$
Let's suppose $a_i \sim \mathcal{U}([-N,N])$ where $[-N,N] \subset \mathbb{Z}$. We may then define:
\begin{equation}
S_n = \sum_{i=1}^n a_i \tag{1}
\end{equation}
Now, in order to estimate $\lvert ...
1
vote
1
answer
81
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Samples from a modified Bernoulli
Given i.i.d samples $X_1, X_2, \cdots$ from Bernoulli($p$) and $1<c<\frac{1}{p}$, is it possible to construct samples from Bernoulli($cp$) under the assumption that $p$ is unknown?
If $c\leq1$ ...
1
vote
1
answer
121
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Reference request concerning order statistics from the uniform distribution
Let $U_1,\dots,U_n$ be iid random variables uniformly distributed on the interval $[0,1]$, with the corresponding order statistics $U_{(1)}\le\dots\le U_{(n)}$. Let $G_i:=U_{(i+1)}-U_{(i)}$ for $i=0,\...
1
vote
1
answer
111
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Conditional distribution/independence
Suppose $X,Y$ and $Z$ are random elements on $(\Omega,\mathcal{A},\mathit{P})$ taking values in the Borel spaces $U,V$ and $V$ respectively. Moreover, let $\mathcal{F}\subset \mathcal{A}$ be a $\sigma-...
5
votes
2
answers
1k
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Relationship between $\alpha$-divergences?
I am working with $\alpha$-divergences and was wondering how understand the relationship between the definitions of Renyi and Amari?
Renyi:
$D_{\alpha}[p||q] = \frac{1}{\alpha - 1} \log \int p^{\...
1
vote
0
answers
248
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Wiener isometry for semimartingales
Suppose that $Y_t$ is a special square-integrable $\mathbb{R}$-valued semi-martingale and let $\mathcal{L}^2(Y)$ denote the set of $Y$-predictable processes satisfying
$$
\mathbb{E}\left[
\int_0^{\...
4
votes
1
answer
254
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On the convergence of the ratio of order statistics of gaps induced by $n$ uniform points on $[0,1].$
In an MO question here @IosifPinelis shows that the ratio of expectations $\mathbb{E}(A)/\mathbb{E}(B)$ of the largest (say $A$) and smallest (say $B$) gap resulting from $n$ uniform random variables ...
4
votes
1
answer
689
views
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:...
3
votes
1
answer
300
views
Expected value of "longest bit / shortest bit" in $n$ uniformly distributed points on $[0,1]$
Let $n\geq 2$ be an integer. We pick $n$ points in $[0,1]$ with uniform distribution. Let $A$ be the minimum distance that two adjacent points have, and let $B$ be the maximum distance that two ...
213
votes
0
answers
16k
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Why do polynomials with coefficients $0,1$ like to have only factors with $0,1$ coefficients?
Conjecture. Let $P(x),Q(x) \in \mathbb{R}[x]$ be two monic polynomials with non-negative coefficients. If $R(x)=P(x)Q(x)$ is $0,1$ polynomial (coefficients only from $\{0,1\}$), then $P(x)$ and $Q(x)$ ...
2
votes
0
answers
49
views
Finding E[X] based on infinitely many values of its moment generating function
Suppose X is a random variable. I have infinitely many values of the form $E[e^{k \alpha X}]$ for $k=0,1,2,3,...$ where $\alpha \in (0,1)$ is a constant real number. Based on these values is there any ...
15
votes
2
answers
671
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On sums of independent random variables in Banach spaces
Let $(\xi_n)_{n\ge 1}$, $(\eta_n)_{n\ge 1}$ be independent mean-zero random variables with values in a Banach space $X$ such that
$$\sum_n\mathbb P(\xi_n\in A)\le\sum_n\mathbb P(\eta_n\in A)$$for any ...
0
votes
0
answers
74
views
Optimizer of a semi-discrete optimal transport problem
Provided two probability distributions $\mu(dx)=\rho(x)dx$ and $\nu(dx)=\sum_{i=1}^n p_i\delta_{y_i}(dx)$ that are supported on some measurable set $\Omega\subset\mathbb R^d$, we consider the semi-...
7
votes
0
answers
563
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Guises of the noncrossing partitions (NCPs)
From "Noncrossing partitions in surprising locations" by Jon McCammond:
Certain mathematical structures make a habit of reoccuring in the most diverse list of settings. Some obvious ...
6
votes
1
answer
215
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De Finetti-style theorem for Point Processes
I am new to point processes. I know there are a number of theorems along the lines that if a point process $\eta$ satisfies:
Complete independence (the random variables $\eta(B_1), \ldots, \eta(B_n)$...
2
votes
0
answers
75
views
$\sigma$-fields as closure systems
Let $(\Omega,\mathcal A, P)$ be a probability space and let $\Sigma(\mathcal A) \subset 2^{\mathcal A}$ be the collection of all sub-$\sigma$-fields of $\mathcal A$. Then, $\Sigma(\mathcal A)$ is ...
2
votes
1
answer
358
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Existence and uniqueness of a stationary measure
This same question was also posted on MSE https://math.stackexchange.com/questions/3327007/existence-and-uniqueness-of-a-stationary-measure.
Recently I have posted the following question on MO ...
2
votes
0
answers
81
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Zero-One law for Hamiltonian path subgraphs of Hamming Distance Graphs?
$(\alpha,\beta,d)$-Hamming Distance Graph $G_d(\alpha,\beta)$ for $\alpha,\beta\in(0,1]$ is a graph on $2^d$ vertices $v_0,\dots,v_{2^d-1}$ with edges $(v_i,v_j)\in\mathcal E(G_d)$ iff $0<\sum_{t=1}...
2
votes
1
answer
226
views
Overview of interpretations of classical probability
The Stanford Encyclopedia of Philosophy has a nice overview of numerous different interpretations of probability (classical as opposed to quantum) with an extensive bibliography.
What books would ...
2
votes
2
answers
246
views
Model for random graphs where clique number remains bounded
In the Erdös-Rényi model for random graphs,the clique number is seen to go to infinity as the number of vertices grows. Is anyone aware of models for random graphs with bounded clique number?
1
vote
0
answers
68
views
Concentration or distribution of the scaled $l_p$ norm of a correlation matrix
Background:
Among Hermitan random matrices, correlation matrix has a lot of applications in statistics. People have studied the "empirical spectral distribution (ESD)" of a correlation matrix, the ...
1
vote
0
answers
216
views
Gaussian mean width of normal random cones
Suppose $1 \leq n < m < \infty$ are integers. For $g \sim \mathcal N(0, I_n)$ define the gaussian mean width of a non-empty set $T \subseteq \mathbb R^n$ by
$$
w(T) := \mathbb E \sup_{x \in T} \...
2
votes
0
answers
113
views
Characterizing the relationship between element-wise Markov transitions and the full-conditionals of the stationary distribution
Consider a $p$ dimensional random variable with a discrete support. Consider a Markov transition kernel on the state space that is defined in terms of element-wise transition distributions.
One can ...
4
votes
1
answer
401
views
Concentration inequality for the law of iterated logarithm
The following question arose in one of my research projects. Before stating it, let me give a short background. We all know the law of iterated logarithm. It states that if $X_1,\ldots,X_n$ are i.i.d. ...
1
vote
1
answer
150
views
Predictable Projection of a Stopped Process (Typo in Jacod & Shiryaev?)
Given a filtered probability space $( \Omega, \mathcal{F}, (\mathcal{F}_t)_t, \mathbb{P})$ and an $\mathcal{F} \otimes \mathcal{B}(\mathbb{R}_+)$-measurable bounded process $X: \Omega \times \mathbb{R}...
3
votes
0
answers
176
views
Theoretical framework for a divergent random series
Consider the following random variables
The $\{m_n\}_{n\geq 1}$ are iid and satisfy
$$\mathbb{P}(m_{n}\leq x)\leq C x$$
for $x>0$ and some $C>0$.
The $\{L_{n,m}\}_{m\geq n\geq 1}$ satisfy $L_{n,...
5
votes
1
answer
204
views
Conditional expectation of random vectors
$\newcommand{\E}{\mathsf{E}}$
$\newcommand{\P}{\mathsf{P}}$
The following additional question was asked in a comment by user Oleg:
Suppose that $(\Omega,\mathcal F,\P)$ is a probability space, $B$ ...
5
votes
1
answer
364
views
Triangle inequality for Ito integral?
For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say
$$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$
Now if ...
6
votes
2
answers
429
views
A property about probability distribution
Suppose $g(x)$ is a pdf function and k is a positive real number. Let $F(\alpha)=\int_{-\infty}^{\infty}\frac{1}{\frac{g(x+\alpha)}{g(x)}+k}g(x)dx$, where $\alpha$ is positive.
I feel $F(\alpha)$ is ...
2
votes
1
answer
110
views
Sufficient conditions for inequality with integral of reliability functions
Let $Y$ and $W$ be two random variables with support $(y_1,y_2)$ and $(w_1,w_2)$ and distributions $F_Y$ and $F_W$, both twice continuously differentiable (densities $f_Y$ and $f_W$). Assume that both ...
4
votes
2
answers
363
views
Basic properties of expectation in non-separable Banach spaces
$\def\E{\hskip.15ex\mathsf{E}\hskip.10ex}$
Let $B$ be a (maybe nonseparable) Banach space equipped with the Borel $\sigma$-algebra $\mathscr{B}(B)$. Let $R:B\to \mathbb{R}$ be a bounded linear ...
1
vote
0
answers
145
views
Rate of convergence of empirical distribution with respect to Wasserstein distance induced by binary cost function
Let $\mathcal X=(\mathcal X, d)$ be a Polish space (i.e complete metric space), and let $\Omega$ be a non-empty subset. Consider the binary cost function $c_\Omega$ on $\mathcal X^2$ defined by $c_\...
1
vote
0
answers
89
views
Probability space with countable subset such that every subset of positive measure meets the subset
Let $(X, \mathcal F, P)$ be a probability space.
Question
What kind of condition is this: there exists a sequence $(a_n)_n \subseteq X$ such that
$\forall$ measurable $A \subseteq X$, $P(A) >...
2
votes
0
answers
183
views
Girsanov density as a functional on $C[0,1]$
I'll formulate the question via an example.
On $( C[0,1], \mathcal{C} )$, where $C[0,1]$ is the set of continuous functions on $[0,1]$ and $\mathcal{C}$ the Borel $\sigma$-algebra given by uniform ...
3
votes
1
answer
151
views
Central limit type theorems for compact Hausdorff topological groups?
Given a compact Hausdorff topological group $G$ and probability measures $\mu$ and $\tau$ on the Borel sets of $G$, their convolution is the probability measure
$(\tau*\mu)(A)=\int\int1_A(xy)d\tau(x)...
1
vote
1
answer
585
views
Probability that random Bernoulli matrix is full rank
This is probably known already, but I could not find a quick argument.
Let $M$ be an $n\times m$ binary matrix with iid Bernoulli$(1/2)$ entries, and $n>m$. Tikhomirov recently settled that the ...
1
vote
0
answers
296
views
Wasserstein distance between rotated conditional distributions
Suppose we have a probability distribution $\rho$ on $\mathbb{R}^d$. Let $ E \subset \operatorname{supp}(\rho) $, and $R_\theta$ a rotation of angle $\theta$ such that $ R_\theta E \subset \...
0
votes
1
answer
155
views
Marginal probability mass function
I have the joint PMF
$\exp(y_1 \ln(\lambda)+y_2 \ln(c)+y_2\ln(\lambda)-\ln(y_1!y_2!)-\lambda(1+c))$
for a constant $c>0$. In canonical representation and mixed parameterization I have $\mathbf{\...
1
vote
1
answer
266
views
Expected value of square[X/sigmaX] = 1/n^2(1+1/pi)?
Please see the below link for the complete description. I already have an answer shown in the link, based on many Excel simulations ($n=4$ to $100$, $x_i$ generated by RAND() function of Excel). I ...
7
votes
1
answer
458
views
A theorem by Harald Cramér?
In the paper “On the order of magnitude of the difference between consecutive prime numbers” by Harald Cramér there is the following statement:
Suppose $\{X_n\}_{n=2}^\infty$ is a sequence of ...
3
votes
1
answer
353
views
Attractors in random dynamics
Let $\Delta$ be the interval $[-1,1]$, then we can consider the probability space $(\Delta , \mathcal{B}(\Delta),\nu)$, where $\mathcal{B}(\Delta)$ is the Borel $\sigma$-algebra and $\nu$ is equal ...
5
votes
1
answer
325
views
Bounding the sensitivity of a posterior mean to changes in a single data point
There is a real-valued random variable $R$. Define a finite set of random variables ("data points") $$X_i = R + Z_i \; \text{for } i\in\{1,\ldots,n\},$$ where $Z_i$ are identically and independently ...
2
votes
0
answers
64
views
Convergence of gPC expansions for random variables in the total variation distance
Suppose that a random variable $Y$ can be written as $Y=g(Z)$, where $g$ is a function and $Z$ is a random variable. When $Z$ is a continuous random variable with finite absolute moments, we consider ...
4
votes
1
answer
406
views
Stochastic processes and continuity of expectation
Let $X$ be a stochastic process with a.s. continuous sample paths on $[0, 1]$ such that $\mathbb E [X_t]$ is finite for all $t \in [0, 1]$. Given any non null subset $Y$ of the probability space, ...
2
votes
1
answer
97
views
"Сross сubic variation" of two Brownian motions and interpretation of the simulation result
Consider two independent 1-dimensional Brownian motions $W_{t},B_{t}$, with an equidistant partition of the interval $[0,T]$, and $n\Delta≡T$.
How to calculate the expression below? Can we rewrite ...
4
votes
0
answers
184
views
Probability that a Random Monic Polynomial Has Few Real Zeros
In the paper https://arxiv.org/pdf/math/0006113.pdf, it is shown that the probability that a random polynomial $a_0 + a_1x + \cdots + a_n x^n$ has $o(\log n / \log\log n)$ real zeros is $n^{-b + o(1)}$...
1
vote
2
answers
232
views
Find $\inf_{P_{X_1,X_2}}P_{X_1,X_2}(\|X_1-X_2\| > 2\alpha)$ , where $\alpha > 0$ and inf is over couplings
Let $\mathcal X$ be a seperable Banach space with norm $\|\cdot\|$, and let $X_1$ and $X_2$ be random vectors on $\mathcal X$ with finite means.
Question. Given $\alpha > 0$, what is value of, ...