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.
920 questions
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Probability of commutation in a compact group
It is well known that if $G$ is a finite group, then the probability that two elements commutte is either $1$ (if $G$ is abelian) or less than or equal to $\frac58$.
If instead $K$ is a compact group,...
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412
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Transitivity of balanced mass transport in Z
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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What is known about the Gaussian measure of the unit ball in a Hilbert Space?
Let $X$ be an infinite dimensional separable Hilbert Space with norm $||\cdot||$ and let $\mu$ be a Gaussian measure on $X$ such that $\mu(X) = 1$. What do we know about $\mu(B(0,1))$, where $B(0,1)$ ...
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Gaussian processes, sample paths and associated Hilbert space.
Given a Gaussian process on some topological space $T$, with a continuous covariance kernel
$C(\cdot,\cdot)\colon T\times T\to R$, we can associate a Hilbert space, which is the reproducing kernel ...
- 2,600
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2
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Geometric characterization of martingales
Recently I've read a paraphrasing from Ito saying that he sometimes thinks of martingales as geodesics in a very large dimensional manifold.
My question is, is there any research studying this idea?
...
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710
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Minimizing total variation under constraint
For $p\in[0,1]$, we write $\mathrm{Ber}(p)$
to denote the Bernoulli measure on $\{0,1\}$;
that is, $\mathrm{Ber}(p)(0)=1-p$,
$\mathrm{Ber}(p)(1)=p$.
For $n\in\mathbb{N}$ and $p=(p_1,\ldots,p_n)\in[0,1]...
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Idempotent measures on the free binary system?
Let $(S,*)$ be the free (non associative) binary system on one generator (so $S$ is just the set of terms in $*$ and $1$). There is an extension of $*$ to the space $P(S)$ of finitely additive ...
- 3,547
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KL divergence and mixture of Gaussians
Do we have an exact formula to compute the KL divergence between 2 mixtures of Gaussians (i.e convex combinations of a finite number of Gaussian distributions)?
If not exactly known, are there good ...
- 2,246
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How nearly abelian are nilpotent groups?
It is not uncommon to read that "nilpotent groups are 'close to abelian'."1,2
Can this sentiment be made precise
in the sense of the
Turán and Erdős definition of "the probability that two elements of ...
- 151k
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random walk and Brownian motion on Riemannian manifold
As we know, the random walk on $\mathbb{Z}/n$ will converge(in some sense) to the Brownian motion on $\mathbb{R}$ when $n\to\infty$. I would like to know is there some higher dimensional analogy ...
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Does there exist an event independent of a given sigma-algebra?
The following question came up in a discussion with my advisor:
Let $(\Omega, \mathcal F, \mathbb P)$ be a non-trivial probability space, and suppose that $\mathcal G$ is a proper sub-$\sigma$-...
- 8,512
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'Nonclassical' abstract Wiener space
Is it possible to construct an abstract Wiener space $(W,H,\mu)$ such that $C^{0,\frac{1}{2}}(\Omega)\subset H$ and $W$ is a normed function space such that the convergence in norm implies convergence ...
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Can we do better than Azuma-Hoeffding when the variance is small?
The Azuma-Hoeffding Inequality says that if $X_1,X_2, \ldots$ is a martingale and the differences are bounded by constants, $\|X_i - X_{i-1}\| \le 1$ say, then we should not expect the difference $\|...
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How to sample a uniform random polyomino?
A polyomino is formed by joining finitely many unit squares edge to edge. It may be regarded as a finite subset of the regular square tiling with a connected interior. In particular, for us, ...
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Gaussian distribution, maximum entropy and the heat equation
I have asked this question on MathSE, but I got no replies, so I thought of trying here.
Consider the Gaussian distribution on $\mathbb{R}$ with mean $m$ and variance $t=\sigma^2$. This has the ...
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What is the probability a random Turing machine is isomorphic to a DFA?
This is a sort of Chaitin/Omega constant type question, and so I do not expect this probability to be computable to arbitrary precision. However, it is also a very practical thing to know from the ...
- 2,392
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Mean of i.i.d Random Variables With No Expected Value
Let $X$ be an integer-valued random variable and let $X_n$ be the sum of $n$ independent realizations of $X$. I would like to understand the behavior of $X_n/n$ for large $n$ in some cases where $X$ ...
- 23k
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Mixtures of Gaussian distributions dense in distributions?
It seems that a mixture of Gaussians can approach any probability distribution, as the number of mixture components approaches infinity. Is this true? And if so, is it precise and correct to say ...
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An "inchworm-like" random walk on an integer interval
Imagine I place $k$ stones on an infinite one-dimensional integer interval $Z$ s.t. no stone is more than some distance $d$ from any other stone. For example, if $d=1$ and $k = 5$, we might place the ...
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Looking for sufficient conditions for positive Fourier transforms
I am looking for some sufficient conditions for an even, continuous, nonnegative, non-increasing, non-convex function to be non-negative definite. In other words
$$
\int_0^\infty f(x)\cos(x\omega) \, ...
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How many proofs of the Polya's recurrent theorem are there?
Polya's famous theorem states that a simple random walk on $\mathbb{Z}^d$ is transient if $d>2$ and recurrent if $d=1,2$. This theorem is included in almost every textbook on probability theory.
...
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lower-bound for $Pr[X\geq EX]$
Given n random variables, $X_1, ..., X_n$, each takes value 0 or $a_i \in[0, 1]$. $X = \sum_{i=1}^n X_i$ and $EX \geq 1$ is the expected value of $X$. Can we get a lower-bound for $Pr[X \geq EX]$? It ...
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Measure theory in nuclear spaces
Much of the literature on measure theory in linear spaces focuses on the case of normed linear spaces (e.g., the outstanding book by Vakhania, or its sequel). However, nuclear linear spaces "as far ...
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Eigenvalues of permutations of a real matrix: how complex can they be?
This is sort of complementary to this thread. I’ll repeat the definitions here:
For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and ...
- 13.4k
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How to efficiently sample uniformly from the set of $p$-partitions of an $n$-set?
Let $n,p \in \mathbb{N}_+$ with $p \leq n.$ Let $\mathcal{P}$ denote the set of partitions of $\{1, \ldots, n\}$ into $p$ nonempty sets. How can I efficiently sample uniformly from $\mathcal{P}$?
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Coin flipping and a recurrence relation
How can one solve the following recurrence relation?
$f(n) = 1 + \frac{1}{2^n} \sum_{k = 0}^n {{n}\choose{k}} f(k)$
$f(0) = 0$
As it happens, I can show $f(n) = \Theta(\log n)$ through other means (...
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Estimate rate of real correct/wrong from 4 answers quiz.
I recently read that one in ten students think the first man on the moon was Buzz Lightyear, a Toy story cartoon. I'm not here to discuss the data in itself, rather, this reading got me into a problem ...
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Heuristic lower bounds on small sums of roots of unity
Let $f(k,n)$ be the smallest non-zero absolute value of a sum of $k$ complex $n$th roots of unity. Asking for bounds in either direction, Tao suggested that a polynomial lower bound seemed plausible ...
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Free Boson Correlator $ \langle X(z)X(w) \rangle =- \ln |z - w| $
In physics papers, the massless free boson has a definition involving an action:
$$ S(X) = \frac{1}{8\pi} \int d\sigma^2\, \partial X \overline{\partial X}$$
The random functions $X(z)$ are ...
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Entropy arguments used by Jean Bourgain
My question comes from understanding a probabilistic inequality in Bourgain's paper on Erdős simiarilty problem: Construction of sets of positive measure not containing an affine image of a given ...
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Time integral of an Ornstein-Uhlenbeck process
Let $X_t$ be an Ornstein-Uhlenbeck process solving $dx_t = \theta (\mu-x_t)\,dt + \sigma \,dW_t$.
The solution is known and given by:
$$ x_t = x_0 e^{-\theta t} + \mu(1-e^{-\theta t}) + \int_0^t \...
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Resultant probability distribution when taking the cosine of gaussian distributed variable
I am trying to do a measurement uncertainty calculation. I have a gaussian distributed phase angle (theta) with a mean of 0 and standard deviation of 16.6666 micro radians. The variance is the ...
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Pursuit-Evasion type game on graph ("Flyswatter game")
An instance of the "flyswatter game" is defined by a graph $G$ and positive integer $k$. There are two players, A (the 'fly') and B (the 'swatter'). Essentially, the fly moves around $G$ and the ...
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Uniformization/measurable selection theorems
Let $X,Y$ be measurable spaces and $F\subseteq X\times Y$. We say that $f:X\to Y$ is a uniformization map for $F$ if $(x,f(x))\in F$ for each $x\in \pi_X(F)$ where $\pi_X$ is the left projection map. ...
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A simple proof for a theorem of Szekeres and Turán
Szekeres and Turán found in 1937 a formula for the sum of the squares and the sum of the fourth powers of determinants of all $n$ by $n$ matrices with $\pm 1$ entries. (The sum of squares case follows ...
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Distance between distributions and distance of moments
Let's say I have a sequence of random variables $X_n$ such that $$\mathbf E X_n^k = \mathbf E X^k+O(a_k/\sqrt{n})\quad\text{for all }k\in\mathbb N,\tag{$\ast$}$$ where $X$ is a random variable of ...
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Show that these vectors are linearly independent almost surely
So I'm doing research in control theory and I have been stuck with this problem for a while. Let me explain my issue, then my proposal, and finally my concrete question.
Problem: I have $m<n$ real $...
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What are some of the surprising results of finite sample statistical estimation?
I'm trying to familiarize myself with the latest results in finite sample statistics. It seems to me that these results can be classified into two categories:
Unsurprising results confirm that the ...
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A sum of two binomial random variables
Let $p\in(0,1)$, $n$ a positive even integer, $k,l\in\{0,\dots,n\}$, and $X_k\sim \text{Binomial}(k,p)$, $Y_{n-k}\sim \text{Binomial}(n-k,1-p)$ independent random variables. I would like to prove that
...
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Wasserstein distance in R^d from one dimensional marginals
This question occurred to me while I was reading Klartag's papers on central limit theorems for convex bodies.
Given probability measures $\mu$, $\nu$ on (the Borel $\sigma$-field of) $R^d$ with ...
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Is there any straightforward way to substitute for Gaussian/Brownian assumptions in financial mathematics?
A huge amount of financial mathematics assumes Gaussian distributions of risks and Brownian movement of prices. What efforts have there been to replace these with heavy-tailed distributions? For ...
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Exponential decay of voltage potential difference
Consider the following adjacency matrix of a complete graph:
$$A=(e^{-|i-j|})_{1\leq i\neq j\leq n}$$
with 0 on the diagonal. Let $D=diag\{d_1,...,d_n\}$ be the degree matrix where $d_i=\sum_{j\neq i}...
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Is there a differentiable random walk?
Is there a random walk which is differentiable or smooth? Like brownian motion except smoothed out on small distances. I was wondering if there is a "natural" or "canonical" analogue of brownian ...
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Random circle rotations
Weyl's equidistribution theorem states that the orbit of a point on the circle under rotation by $\alpha$ becomes asymptotically equidistributed with respect to Lebesgue (Haar) measure whenever $\...
- 8,903
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Limit of distance between two random points in a unit $n$-cube
What is the limit, as $n \to \infty$, of the expected distance between two
points chosen uniformly at random within a unit edge-length hypercube
in $\mathbb{R}^n$?
For $n=1$, the average distance ...
- 151k
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Green's function of the Ornstein-Uhlenbeck operator
The Ornstein-Uhlenbeck operator $L$ is given by
$$
Lu = \Delta u- \frac{1}{2}x\cdot \nabla u.
$$
Is there a known closed form expression of the Green's function of $L$ on $\mathbb R^d$ (for $d\geq 2$ ...
10
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759
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Full conditional probabilities and versions of AC?
A probability is a finitely additive measure on a boolean algebra with total measure $1$.
A function $P:\scr B \times (\scr B - \{ 0 \})$ is a full conditional probability on $\scr B$ (for a boolean ...
10
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2
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1k
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Probability of random (0,1) Toeplitz matrix being invertible
A Toeplitz matrix or diagonal-constant matrix is a matrix in which each descending diagonal from left to right is constant.
What is the probability that a random $n \times n$ binary Toeplitz ...
user32786
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Probability of Generating a Connected Graph
$N$ points are generated randomly within a unit square, with a uniform distribution.
What is the probability that the points form a connected graph, given that two points are connected if the distance ...
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When do maximum and expectation commute?
Hi, I'm looking for conditions on $G(t,x)$ such that
$$
\sup\limits_{t\in [0,1]}E[G(t,X)]=E[\sup\limits_{t\in [0,1]}G(t,X)]
$$
where $X$ is a random variable (it's easy to see that $\sup\limits_{t\in [...
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