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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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1answer
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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1answer
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 $...
5
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1answer
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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0answers
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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1answer
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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2answers
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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0answers
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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1answer
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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0answers
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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1answer
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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1answer
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 ...
3
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2answers
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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0answers
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\...
2
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1answer
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 ...
2
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0answers
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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1answer
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 $\...
1
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1answer
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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1answer
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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0answers
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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3answers
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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0answers
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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2answers
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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0answers
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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3answers
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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0answers
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 ...
2
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1answer
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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0answers
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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1answer
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 ...
2
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2answers
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\...
3
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0answers
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 ...
3
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1answer
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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1answer
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 (...
2
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1answer
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{...
3
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2answers
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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0answers
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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4answers
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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0answers
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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0answers
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 ...
2
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1answer
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 \...
4
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3answers
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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1answer
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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0answers
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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1answer
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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1answer
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, \...
4
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1answer
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 ...
2
votes
0answers
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 ...
0
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0answers
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 (...
3
votes
1answer
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
votes
1answer
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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0answers
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,...