# 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.

5,177 questions

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64 views

### Sharp tail bounds for the maximum of an iid sample of a random variable supported on $[0, 1]$

Let $X_1,\ldots,X_n$ be an iid sample from a distribution supported on $[0, 1]$.
Question
What are some sharp concentration inequalities (i.e tail bounds) empirical statistic defined by $Z_n := \max(...

**2**

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**1**answer

109 views

### About a pattern of hitting times for a simple random walk

Let $\omega_1, \omega_2, \ldots$ be uniform iid on $\{-1,1\}$, and let $X_n = \sum_{i=0}^n \omega_i$ be the corresponding simple random walk. Fix some integer $N$, and let $h^+_N$ be the first time $...

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**1**answer

58 views

### Estimating the size of the remainder in a random partition

Pick a sequence of real numbers $x_i$ as follows. Put $x_0=1$. If $x_i$ is chosen, then pick $x_{i+1}\in[0, x_i]$ according to the uniform distribution. Obviously we have $x_i\rightarrow 0$ with ...

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51 views

### Almost orthogonality of independent random vectors [closed]

If $X_1$ and $X_2$ are two independent isotropic random vectors in $\mathbb{R}^n$,
then $\mathbb{E}\|X_i\|_{2}^{2}=n$, $\mathbb{E}\langle X_1,X_2\rangle^{2}=n$.
How can I show from the above result ...

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**1**answer

32 views

### Minimizer for Mean-Variance Portfolio Optimization [closed]

Let $\lambda \in (0,\infty).$ Does there exists a minimizer for the set
$$
\{ -\text{E}[X] + \lambda \text{Var}[X],\; X \in L^2(\Omega,\mathcal{F},P) \} ?
$$

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53 views

### Given two probability density functions find a number that satisfies a given equation

I have a problem for which I either need a proof or a counterexample.
We are given two discrete random variables $x_1$ and $x_2$ in $[0, n]$ where $F_1(x)$ is the probability of $x_1\leq x$, and ...

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53 views

### What's the probability a random module element has prime annihilator?

I'm going to pose two versions of my question---an ill-defined version and a well-defined version.
Ill-Defined Question (IDQ). Let $R$ be a (commutative, unital) Noetherian ring, $M$ a finitely ...

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**1**answer

74 views

### Existence or impossibility of Gaussian factory

Gaussian factory problem: given an iid sequence $x_i \sim \mathcal{N}(\mu,\sigma^2)$, $i=1,2,\dots$, with $\mu$ and $\sigma^2$ both unknown, construct a realization $y \sim \mathcal{N}(0,1)$.

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40 views

### expected value of powers of a gaussian matrix

Let $Z$ be a fixed $d \times d$ matrix and let $G$ be a random $d \times d$ matrix with each entry i.i.d. $N(0, 1)$.
Is it true that:
$$\mathrm{Tr}(\mathbb{E}_G[ (Z^T + G^T)^\ell (Z + G)^{\ell-k-1}...

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47 views

### What is the expectation/variance of the GOE (Airy-1) point process on a partition of the real line?

Let $\chi^{\mathrm{Ai}}(I)$ denote the GUE (Airy-2) point process on the interval $I \subset \mathbb{R}$.
Soshnikov proved
\begin{align}
\mathbb{E}(\chi^{\mathrm{Ai}}(-T, +\infty)) &\sim \...

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**1**answer

113 views

### Kantorovich duality with pseudometrics

The usual framework for the Kantorovich duality in optimal transport theory uses Polish spaces as ground spaces for the distributions that should be transported. Are there results available that ...

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**2**answers

69 views

### What is $\sum_{k=0}^{+\infty}{k⋅p(k;\mu_1,\mu_2)}$, where $p$ is the pmf of Skellam distribution?

The Skellam distribution is the discrete probability distribution of the difference $N_{1}-N_{2}$ of two statistically independent random variables $N_{1}$ and $N_{2}$, each Poisson-distributed with ...

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55 views

### Are Stochastic Process Characterized by Their conditional Moments

Suppose that $X_t$ is a real-valued stochastic process. Then is $X_t$ characterized by it's conditional moments? In the sence that, if $Y_t$ is another process, such that
$$
\mathbb{E}\left[\int_s^T\...

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**1**answer

98 views

### Are there any continuous-time stochastic processes in which transition probabilities are discontinuous functions over time?

In stochastic processes, like homogeneous Markov processes, Poisson processes, Queueing systems etc., the functions that represent (transition) probabilities are continuous over time. This is also ...

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54 views

### Second moment of ranks

Suppose vector $R$ is a random permutation of the integers
1 through $n$ such that
$$
\mathcal{P}\left(R_i = 1\right) = \pi_i,
$$
for given vector of probabilities $\pi$.
Moreover, assume a '...

**2**

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**1**answer

144 views

### About independence spread

$A$, $B_{i}$ are some events.
If $A$, $B_{i}$ are independent $\forall i \in \mathbb N$ and $A \cap B_{1}, A \cap B_{2}, ..., A \cap B_{k}, ...$ are independent in aggregate, how to show, that $\...

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**1**answer

48 views

### Randomly scaled random variables

Consider two possibly correlated scalar random variables $N$
and $X$. It is known that $1\leq N \leq N_{\max}$. Given that $\mathbb{E}[NX]\leq 0$, does it always hold that $\mathbb{E}[X] \leq 0$?
...

**5**

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**1**answer

143 views

### Сoincidence of discrete random variables

Let $\xi, \eta$ be a discrete random values and $\mathbb E| ξ |$, $\mathbb E | η | < +\infty$, and any value of these
values are accepted with a non-zero probability. How to prove that from $\...

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**0**answers

57 views

### Discrete Markov process on finite interval

Consider an contiguous array of $N$ states, numbered from $1$ to $N$.
At every time step $t$, the process should transition to an adjacent state.
The probability of moving to the right (from state $n\...

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**3**answers

259 views

### Mean maximum distance for N random points on a unit square

Following up on Mean minimum distance for N random points on a one-dimensional line and Mean minimum distance for N random points on a unit square (plane), I have the following questions.
Given N ...

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101 views

### Calculating the expectation of a sum of dependent random variables

Let $(X_i)_{i=1}^m$ be a sequence of i.i.d. Bernoulli random variables such that $\Pr(X_i=1)=p<0.5$ and $\Pr(X_i=0)=1-p$. Let $(Y_i)_{i=1}^m$ be defined as follows: $Y_1=X_1$, and for $2\leq i\leq ...

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105 views

### Expectation of the exitpoint distance for the symmetric random walk

Let $\nu(x)$ be a symmetric probability measure with respect to the origin on $x\in[-1,1]$ such that $\nu(\{0\})\neq 1$.
Consider a random walk started at $S_0=0$, denoted $S_n=X_1+\dotsb+X_n$, ...

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40 views

### Optimizing a determinant

Any vector is assumed to be a column vector by default. Suppose $f(\mathbf{x})$ is the $d$-dimensional standard Gaussian density. I am interested in the following optimization problem:
$$
\max_g ~\...

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312 views

### Expected determinant of random symmetric matrix with different Gaussian distributions of the diagonal and non-diagonal elements

Consider a random matrix $A \in \mathbb{R}^{N \times N}$ where the elements are random gaussian variables. The mean and variance of the elements are different on the diagonal and the off-diagonal:
$\...

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**0**answers

28 views

### Approximating Uniform/Arbitrary distribution with Gaussian mixture model?

so Silverman in his 1986 book mentioned about approximating distributions with Gaussian mixture models but he didn't go much further into the topic...I'm just wondering, say I'm given a N-dimensional ...

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84 views

### How far away is $\max_{x: x \in \{0, \ldots, N\}} |W(x/N)|$ from $\max_{0 \leq t \leq 1} |W(t)|$ ($W(t)$ a Wiener process)?

How far away is
$$\max_{x: x \in \{0, \ldots, N\}} \left|W\left(\frac{x}{N}\right)\right|$$
from
$$\max_{0 \leq t \leq 1} |W(t)|$$
In other words, if you simulate a Wiener process over a finite ...

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42 views

### $P(\max_{0 \leq t \leq 1} \|W(t)\| \leq x)$ has no closed-form expression… right?

$P(\max_{0 \leq t \leq 1} \|W(t)\| \leq x)$ shows up in a formula for computing $p$-values for a certain statistic, where $W(t)$ is a $d$-dimensional (standard) Wiener process. My advisor says the ...

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**1**answer

63 views

### Maximum of sums of iid $X_i$'s where $X_i$ is the difference of two exponential r.v

Given $X_i = A_i - B_i$ where $A_i\sim \text{ Exp}(\alpha)$ and $B_i \sim \text{ Exp}(\lambda)$. Define $S_k = \sum_{i=1}^k X_i$ with $S_0 = 0$, and
$$M_n = \max_{1\leq k \leq n} S_k.$$
Is it ...

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122 views

### Continuous embedding of the Skorohod space D(0,1) into L^2(0,1)

Let $D(0,1)$ be the Skorohod space with the Skorohod topology, i.e. the space of real-valued càdlàg-functions on $[0,1]$ with topology induced by the metric
$$d(f,g) = \inf_{\varphi \in \Lambda} \left\...

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118 views

### Large deviation of random walk

1) Let $\{X_i\}_{i=1}^n$ be i.i.d. such that $\Pr(X_i=1 )=1-\Pr(X_i=-1)=p$. Define the random walk
$$
S_i = \sum_{j=1}^iX_j
$$
for $i=1,2,\ldots,n$.
I am looking for "good" exponential upper bounds ...

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**1**answer

86 views

### Hoeffding's inequality for Hilbert space valued random elements

Suppose that $\mathbb H$ is a separable Hilbert space and $X_1,\ldots,X_n$ are independent zero mean $\mathbb H$-valued random elements such that $\|X_i\|\le s$ for each $1\le i\le n$, where $\|\cdot\|...

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**1**answer

100 views

### A problem related to the comparison of two integer-valued random variables

Consider an urn containing red, blue and green balls (the situation is the same illustrated in this post).
Let $X$ be the non-negative, integer-valued random variable defined as the number of trials (...

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**1**answer

198 views

### Complicated bound after using Stirling's approximation

I have this inequality $$\frac{1}{a}\exp\bigl\{-\frac{4}{h^2}\bigr\} \geq \frac{1}{f}$$ where $$ a \leq \Bigl(\pi^{d/2}\Gamma(\frac{1}{2}d+1)^{-1} + 1\Bigr) \left(\frac{h^{d+1}}{2} \Gamma \left(\frac{...

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177 views

### Example of measure for some algebra over N

$\mathcal F$ is set of events. Can you give an example of some algebra $\mathcal A$ over $\mathbb N$ and a non-zero finitely additive measure $\mu$ on this algebra, which has a countably additive ...

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38 views

### Extension of a result about measurable, additive functionals

Let $W$ be a set, and let $v$ be a finitely additive probability measure on $2^W$.
Equip $2^W$ with the Borel sigma-algebra $\mathcal{B}$ generated by the sub-basic sets of the form $\{a: w \in a\}$ ...

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232 views

### Apply doubly stochastic matrix M to a probability vector, then entropy increases?

Consider a vector $p =(p_1,...p_n)$, $p_i>0$, $\sum p_i = 1$
and a matrix $M_{ij}$, which is doubly stochastic: $\sum_i M_{ij} = 1, \sum_j M_{ij} = 1, M_{ij} > 0$.
Question 1 Just apply ...

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21 views

### How to formally relate the Parry Markov chain to a uniformly chosen bi-infinite path

I tried reformulating the comment after Proposition 10 in here as follows:
Let G be an aperiodic irreducible graph with adjacency matrix $A \in \mathcal{M}_d(\{0,1\})$ and associated Parry matrix $P$....

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52 views

### Concrete Hanson-Wright inequality?

I'm working on a paper that requires bounding
$$\Pr\left[|\vec x^\top Q \vec y| >= t\right]$$ where $Q$ is a matrix (happens to be symmetric) and $\vec x,\vec y$ are iid real mean-zero subgaussian ...

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**1**answer

90 views

### Measurability of C([0,1]) for the completion of the Wiener measure

Consider the completion $(\mathbb{R}^{[0,1]}, \mathcal{B}, \mu)$ of the Wiener measure on $\mathbb{R}^{[0,1]}$ (with the cylinder set $\sigma$-algebra).
Is the following true :
$C([0,1])\in \...

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**3**answers

111 views

### Expected distance of nearest matching pair in the game of pairs

Recently I was playing several rounds of the game of pairs with my children. I was surprised that almost every time, one matching pair was adjacent (either next to each other in a row, or vertically). ...

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**1**answer

110 views

### Shannon problem

Since a few days, I try in my research to model / formalize a source of Shannon a little weird, and I can't do it at all. First of all, I explain to you its operating principle and then I describe it ...

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**0**answers

130 views

### Statistical models of functions

I did a quick literature search and found nothing on "statistical models of functions". Let me explain what I am looking for. Given the category of Sets and Function, we have arbitrary functions ...

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**1**answer

96 views

### Expected values of two non-negative, integer-valued random variables related to an urn problem

Consider an urn containing $c$ distinguishable balls, $\alpha$ of which are red, $\beta$ of which are blue, and $\gamma$ of which are green, and $\alpha+\beta+\gamma=c$. We assume $\alpha,\beta,\gamma&...

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40 views

### Characterisation of a superset of the simplex

Does there exist a nice description of the following set:
\begin{equation}
A:=\left\lbrace x\in\mathbb{R}^{n}\ \colon\ 0< x_{i}-\bar{x}+\frac{1}{n}< 1\ \text{for} \ i=1,\dots,n\right\rbrace,
\...

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**1**answer

90 views

### Is a Gaussian measure on a Hilbert space determined by the coarser topology induced by the covariance operator?

I have a basic question about Gaussian measures on a Hilbert space:
Let $\mu$ be a non-degenerate Gaussian measure on a Hilbert space $(H_0,\left\langle \cdot,\cdot \right\rangle_0)$. Then the ...

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**0**answers

73 views

### How can we treat the generator of a discrete-time Markov chain as the generator of a Markov-jump process?

In the popular paper Weak Convergence and Optimal Scaling of Random Walk Metropolis Algorithms by Roberts, Gelman and Gilks, the authors state (see below) that "in the Skorokhod topology, it does not ...

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104 views

### Probability of degree $0$ gcd between every pair of random homogeneous polynomials shifted by random primes?

Take $n,d,B\in\mathbb Z_{>0}$ with $d<n$ and denote $\mathcal M_{n,d}$ to be set of all total degree $d$ monomials in $n$ variables $x_1,\dots,x_n$ with degree $\leq1$ in each variable (...

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**1**answer

102 views

### Is there a coupling that induces a given coupling via a transition kernel?

Let $X,Y$ be two measurable spaces, $\mu,\nu$ two probability measures on $X$, and $\kappa$ a transition kernel from $X$ to $Y$.
Define $\tilde\mu(dy)=\int_X\kappa(dy|x)\mu(dx)$ and $\tilde\nu(dy)=\...

**12**

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**1**answer

176 views

### Mode of a sum of Bernoulli random variables

Let $S_n=\tau_1+\cdots+\tau_n$ be a sum of independent Bernoulli random variables such that $\mathbb{P}(\tau_i=1)=p_i$. Is it true that the mode of $S_n$ is either its mean rounded up or rounded down?

**3**

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**0**answers

133 views

### Probability distribution from equidistribution - I

Pick a random pair $(a,b)\in\mathbb Z_n^2\backslash\{0,0\}$. Denote $N_r(a,b)$ to be minimum $\ell_r$ norm of vector $(x,y)$ as $(x,y)$ ranges over all non-zero integral solutions to $(x,y)\equiv t(a,...