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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.

0
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0answers
32 views

On the distribution of a random point of a poisson process

Let $T = \{t_i\}_{i=1}^\infty$ be the set of points in a Poisson point process on the positive half-axis with parameter $\lambda$, $I \in \mathbb{N}$ be a positive integral random variable with ...
3
votes
1answer
105 views

Why the Fisher information matrix is equal to the Hessian matrix of the Kullback–Leibler distance at the true parameter?

I'm reading 《Algebraic geometry and statistical learning theory》.My problem is why the Fisher information matrix is equal to the Hessian matrix of the Kullback–Leibler distance at the true parameter?...
3
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0answers
72 views

Exchangeable Bernoulli random variables with bounded summation implies negative correlation?

Let $\big\{X_1, X_2, ..., X_n \big\}$ be $n$ jointly exchangeable Bernoulli random variables, i.e., exchanging the order of these random variables does not change the joint distribution. If we know ...
3
votes
2answers
153 views

Probability of one species reaching zero before the other in a Markov process on a 2d lattice

$\textbf{Background}$: Say we've got a two-variable system of stochastic chemical reactions, with quantities $\vec{x}(t) = (x_1(t),x_2(t)) \in \mathbb{N}^2$ evolving according to the following system, ...
-1
votes
0answers
51 views

Upper bound on expectation of product

I want to upper-bound the following quantity: $$\mathbb{E}_Y\left[f(Y)g(Y)\right] $$ The idea would be to get something of the shape: $\mathbb{E}_Y[f(Y)]\cdot h(Y)$ where $h(Y)= j(\mathbb{E}_Y[k(g(Y))]...
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0answers
108 views

Which probability distribution has the most outliers?

Let $k$ be a positive real number. Which probability distribution over $\mathbb R$ maximizes $P(|x-E(x)|>k\cdot \operatorname{std}(x))$?
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2answers
111 views

Distribution of the individual coordinates of a uniform random vector on a high-dimensional sphere

Let $X=(X_1,\ldots,X_n)$ be a random vector uniformly distributed on the $n$-dimensional sphere of radius $R > 0$. Intuitively, i think that for large $p$ every coordinate $X_i$ is normally ...
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0answers
34 views

If $(Y_n)_{n\in\mathbb N_0}$ and $(N_t)_{t\ge0}$ are stochastic processes, what is the filtration generated by $\left(Y_{N_t}\right)_{t\ge0}$?

Let $(\Omega,\mathcal A)$ and $(E,\mathcal E)$ be measurable spaces $(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A)$ $(N_t)_{t\ge0}$ be a $\mathbb ...
9
votes
1answer
278 views

Maximal inequality for the average of i.i.d. random variables

Let $Z_i$ be i.i.d. random variables with $\mathbb{E}[Z_i] = 0$ and $\mathbb{E}|Z_i|^p< \infty$ for $p=1,2,3,\cdots$. I am looking for the following type of estimate if possible, and it is not like ...
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0answers
43 views

Is there a transient graph whose spectral dimension two?

Let $G = (V(G), E(G))$ be an infinite connected simple graph. Let $((S_n)_n, (P^x)_{x \in V(G)})$ be the simple random walk on $G$. Let $p_n (x,y) = P^x (S_n = y)$. A spectral dimension of $G$ is ...
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0answers
55 views

Construction of Feller's pseudo-poisson process

Let $(\Omega,\mathcal A,\operatorname P)$ be a probability space $(E,\mathcal E)$ be a measurable space $(Y_n)_{n\in\mathbb N_0}$ be a $(E,\mathcal E)$-valued time-homogeneous Markov chain on $(\...
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0answers
81 views

Supremum over all invariant Borel probability measures of the ergodic averages ratio of rates

Let $M$ a two-dimensional compact manifold and $f:M\to M$ a diffeomorphism $C^r$, $r\geq 2$ and $f(x,y)=(mx,\lambda y)$ where $m:M\to \mathbb{R}$ and $\lambda:M\to \mathbb{R}$ ,$\lambda<1<m$. ...
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0answers
50 views

If $P \ll Q$, are the regular conditional probabilities a.s. absolutely continuous?

Let $P$ and $Q$ be probabilities on $(\Omega, \mathcal{A})$, and let $\mathcal{F}$ be a sigma-subalgebra of $\mathcal{A}$. Assume $P \ll Q$. Assume that $P(\cdot \mid \mathcal{F})$ and $Q(\cdot \mid \...
5
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4answers
164 views

Concentration of closed random walks

Consider a random walk $S_n=\sum_{i=1}^n X_i$ where $P(X_i=+1)=P(X_i=-1)=1/2$ with $n$ large. By Chernoff's bound we know that, for example, $\sum_{i=1}^{n/2} X_i=O(\sqrt{n})$ with high probability. ...
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1answer
42 views

Using common samples to numerically estimate pairwise equality of three random variables

Let $X,Y,Z$ be three discrete random variables which I can numerically sample. I need to numerically estimate the probability that $X=Y$ and the probability that $X=Z$. I would like to know whether ...
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0answers
30 views

How can I solve a constrained optimization problem with a random number of decision variables?

Here is my problem. Let $A_t$ be a random variable with Poisson-Binomial distribution with set of success-probabilities $\{q_1^{(t)},\ldots,\,q_n^{(t)}\}$, with $t\in\{1,\,2,\,3,\ldots\}$, $n\in\...
1
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0answers
72 views

asymptotic behaviour of principal eigenfunctions and Large Deviations

Dear Math Overflowers, I am currently interested in a particular problem involving Large Deviations. I am only going to talk about the PDE side of the problem, but I'll be happy to provide more ...
2
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0answers
98 views

Random walk and comparing sums of Exponential random variables

Let $\sigma$ be the time a nearest neighbor random walk started at 1 that has probability $p>1/2$ of moving left reaches $0$. Let $\sigma'$ be an independent copy of $\sigma$. Let $(X_k)_1^\infty$ ...
3
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1answer
108 views

Largest eigenvalues of a (random) correlation matrix?

I am recently studying on eigenvalues of a (random) correltion matrix. For a $N\times N$ correlation matrix (with a given meaning of randomness), its (1st, 2nd, etc.) eigenvalues have some ...
2
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0answers
48 views

General SLLN-like asymptotic mean concentration

Disclaimer: As I am not very knowledgeable of the field to which this question pertains, I will introduce a temporary terminology to convey the idea of my question at the risk of conflicting with ...
2
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0answers
43 views

Sufficient condition for square root fluctuations of an ergodic sequence

Suppose I have a random sequence $\mathbf{X}=\{X_n\}_{n\in\mathbb{Z}}\subset \mathbb{R}^{\mathbb{Z}}$ that is ergodic with respect to translations. I am interested in a sufficient condition on $\...
0
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1answer
60 views

Expected sum of chosen coordinates in a random subset of a Hamming hypercube

Let $S$ = $\{v_1, v_2, ..., v_n\}$ denote a random subset of a Hamming hypercube of dimension $d$, where $n = |S|$ and $n \leq 2^d$. If $v_i$ = $\langle x^i_1x^i_2... x^i_d\rangle$ for all $i \in [1,n]...
6
votes
2answers
181 views

Nonlinear boolean functions

Let $\mathbb{F}_2=\{0,1\}$ be the field with two elements. I wonder if there is any known algorithm/construction that, given any $n\geq 1$, returns a boolean function $f:\mathbb{F}^n_2\rightarrow \...
0
votes
2answers
246 views

Sum of independent random walks

Given two independent random walks $S$ and $S'$ with different distributions for the random variables $X_1$ and $X_1'$, I am interested in studying the conditions that make their sum either a ...
1
vote
1answer
67 views

Generalization of inverse transform sampling

If X is a random variable over an arbitrary alphabet, is there a (deterministic) function f() such that X = f(U), where U is a uniform random variable over the unit-interval?
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0answers
72 views

Expected value of eigenvalue of matrix

Let $A = (X_{ij})_{ij}$ a square matrix of size $n$ where the $X_{ij}$ are (discrete) real random non-negative entries. Denote by $\lambda_1(A) \geq \dots \geq \lambda_n(A)$ the (random) ordered ...
5
votes
2answers
209 views

Probability of at least two of $n$ independent events occurring subject to some conditions

Given a set of independent Bernoulli random variables $\{x_1, \dots, x_n\}$, let $p = \sum_{0<i\leq n}\Pr[x_i = 1]$ and $X=\sum_{0<i\leq n} x_i$. We know that for any $i$, we have $\Pr[x_i = 1]\...
6
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0answers
100 views

Collecting proofs of the birth of the giant component

I want to collect different proofs of Erdös-Rényi result on the double jump of the largest connected component on $G(n,p)$ (or in $G(n,M)$. I know the original proof of Erdös-Rényi, the proof that ...
1
vote
1answer
54 views

gaussian isoperimetric result for minimal measure under translation

Consider two spherical Gaussian distributions in $\mathbb{R}^n$, $A = \mathcal{N}(x, I)$ and $B=\mathcal{N}(y, I)$ where the difference in means is $\delta = y - x$. Let $S \subset \mathbb{R}^n$ be a ...
4
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0answers
189 views

What happens in the martingale CLT if I norm by the conditional variance instead?

TLDR: I'm a statistician (bear with me!) trying to use the martingale CLT but I only can estimate the conditional variance instead of the unconditional one. Can I do anything to get a CLT with norming ...
1
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1answer
51 views

References for Hellinger distance/affinity involving mixture distributions

For two continuous probability distributions $F,G$ and their densities, $f,g$, the (squared) Hellinger distance/affinity is given by $d^2_H(F,G)=1-\int_{\mathbb{R}} \sqrt{fg}~dx$. Suppose that $f,g$ ...
2
votes
1answer
144 views

The effect of random projections on matrices

Let $A\in\mathbb{R}^{n\times n}$ be a given normal matrix, i.e. $A^TA=AA^T$. Let $P_s\in\mathbb{R}^n$ be a random projection matrix to an $s$-dimensional subspace in $\mathbb{R}^n$. Suppose $\frac{A+...
3
votes
1answer
160 views

Concentration of a modified random walk

Let $\varepsilon$ be a number in $(0, 1)$, consider the following random walk on the real line $X^{(0)}, X^{(1)}, \dots$, where $X^{(0)}=0$ If $X^{(t)} > 0$, then with probability $.5$, $X^{(t+1)...
8
votes
3answers
198 views

Random reflections unexpectedly produce banded distributions

Start with $p_1$ a random point on the origin-centered unit circle $C$. At step $i$, select a random point $q_i$ on $C$, and a random mirror line $M_i$ through $q_i$, and reflect $p_i$ in $M_i$ to ...
2
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0answers
76 views

Open problems in Monte Carlo Simulation [closed]

I want to know some open problems in Monte Carlo Simulation, which is being studied or in a stalemate. Could you please give me some advice? Thanks a alot
5
votes
1answer
297 views

Random pairs of commuting permutations

Let $\Omega_n \subseteq \mathrm{Sym}(n)^4$ be the set of all $4$-tuples $(\sigma_1,\sigma_2,\tau_1,\tau_2)$ of permutations of $\{1,\ldots,n\}$ such that $\sigma_j \tau_k = \tau_k \sigma_j$ for each ...
2
votes
1answer
129 views

Gaussian sum VS Brownian motion

Given independent Gaussian $d$ dimensional vectors $G_i$, Let $ \sigma^2_n=\mathbb{E}(\sum_{i \le n} G_i) \cdot (\sum_{i \le n} G_i)^T$. $||\sigma_n^2||$ is norm of $\sigma_n^2$. Is there a $d$-...
3
votes
2answers
228 views

Effect of perturbing the atoms of a measure on the Wasserstein distance

Let $(X,d)$ be a metric space, $x_1,\ldots,x_N\in X$ and $x_1',\ldots,x_N'\in X$ be atoms, and $G=\sum_{i=1}^Np_i\delta_{x_i}$, $G'=\sum_{i=1}^Np_i'\delta_{x_i}$, and $G''=\sum_{i=1}^Np_i'\delta_{x_i'}...
6
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3answers
430 views

Randomly picking $k$ members of $\{1,\ldots,n\}$

Every day, I randomly pick a sample consisting of $k$ members of $\{1,\ldots,n\}$ where $k\leq n$. I stop as soon as every number of $\{1,\ldots,n\}$ has been picked at least once. Let $S$ be the ...
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0answers
32 views

Expression for the Markov Chain CLT variance for an arbitrary initial distribution

Let $(\Omega,\mathcal A,\operatorname P)$ and $(E,\mathcal E,\pi)$ be probability spaces $(X_n)_{n\in\mathbb N}$ be a $(E,\mathcal E)$-valued stochastic process on $(\Omega,\mathcal A,\operatorname P)...
2
votes
1answer
46 views

Lyapunov-type function in a non locally-compact space and boundedness of the average

Set-up and question. Let $\mathcal{X}$ be a complete separable metric space which is not locally-compact. Let $V: \mathcal{X} \to [0; +\infty]$ be a function and $(X_t)_{t\geq 0}$ a Markov process in $...
0
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0answers
46 views

quadratic variation on n-sphere

Is it true, and if so, is there an easy way to see that the quadratic variation of standard Brownian motion on n-sphere is $\leq$ t? Note: I am a novice in stochastic analysis.
2
votes
2answers
89 views

Spectral decomposition of a combinatorial matrix/Random walks on $s$-sets

$\newcommand{\Z}{\mathbb{Z}} \newcommand{\J}{\mathcal{J}} \newcommand{\la}{\lambda} \newcommand{\1}{\mathbf{1}} \newcommand{\R}{\mathbb{R}}$ Take any $n\in[3;\infty]$. Here and in what follows, $[k;\...
3
votes
0answers
107 views

Asymptotic behavior of row sums in 2-d array of random variables

Set-up. Let $f : \mathbb{N} \to \mathbb{N}$ be increasing. For each $m \in [0,1]$, consider an infinite two-dimensional array of random variables, where row $n$ has $f(n)$ variables: $B^m_{1,1}$ $B^...
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0answers
15 views

Compactness if Emery (semi-martingale) topology

The set $\mathscr{S}$, of semi-martingales is a topological vector space under the Emery topology on the space of semi-martingales. There has been some recent research on closures in this topology (...
3
votes
0answers
268 views

Random walk on $\mathbb{R}$ with “sticky” origin

Let $P_i$, $N_i$, and $Z_i$, $i\in\mathbb{N}$ be r.v.'s with the $P_i$, $N_i$, and $Z_i$ being identically distributed with known pdf's $f_P$, $f_N$, and $f_Z$, respectively; and with no dependence ...
2
votes
0answers
74 views

An Incorrect Construction of the Ito Integral

Let $B_t$ be a Brownian motion defined on the interval $[0,T]$, with underlying (filtered) probability space $(\Omega,\mathcal{F},\{\mathcal{F}_t\},\mathbb{P})$. Call a function $f:[0,T]\times\Omega\...
2
votes
1answer
83 views

Eigenvalues of random matrix conditional on positive definiteness

Consider the Gaussian Orthogonal Ensemble, considered as a probability measure $\mu$ on the space of real symmetric matrices. Let $\mu|PD$ denote this measure conditioned on the event that the matrix ...
0
votes
0answers
59 views

$L_1$ convergence for a product of indicator functions

Let $X_1,X_2,\ldots$ be a sequence of identically distributed random variables and let $A\subset\mathbb{R}$ be some set such that $P(X_1\in A)<1$. I have a product of indicator functions $$ \lim_{N\...
3
votes
0answers
33 views

product of right continuous filtrations is right-continuous?

Let $\mathcal{G} = \sigma \lbrace G_{1},..., G_{n} \rbrace$ where $G_{1},..., G_{n}$ are subsets of $\Omega_{1}$ and $(\mathcal{F}_{t})$ is a right-continuous filtration on $\Omega_{2}$. Is $(\mathcal{...