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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7 votes
2 answers
637 views

Is there an algebraically normal function from $\mathbb{Z}^{n}$ to $\{ 0 , 1\}$?

Definition: Let $h$ be a polynomial in $n$ variables, then : $\gamma(h,r,R):=\{ v \in \mathbb{Z}^{n} : \vert h(v) \vert \leq r, \Vert v \Vert < R \}$ Let $\omega : \mathbb{Z}^{n} \to \{ 0 , 1\}$...
1 vote
2 answers
149 views

Distribution similar to PPP

According to the definition of Poisson Point Process, I can't define a certain number of nodes which are distributed in an area as PPP. Is there a distribution (a certain number of nodes distributed ...
0 votes
1 answer
170 views

Can I obtain the limit value of a linear spectral statistics using Stieltjes transform?

I would like to calculate the limit value of a linear functional \begin{equation} \lim_{n\rightarrow\infty}\mathcal{I}_n=\lim_{n\rightarrow\infty}\frac{1}{n}\sum_{i=1}^n f(\lambda_i)=\lim_{n\...
22 votes
4 answers
5k views

Eigenvalues of permutations of a real matrix: can they all be real?

For a matrix $M\in GL(n,\mathbb R)$, consider the $n!$ matrices obtained by permutations of the rows (say) of $M$ and define the total spectrum $TS(M)$ as the union of all their spectra (counting ...
3 votes
1 answer
338 views

Determining the asymptotic behavior of random matrices with vanishing ratio dimensions

Consider an $N\times K$ random matrix $X$ (defined on a probability space $(Ω,F,μ)$) with i.i.d. entries having zero mean and variance $1/K$. There are a lot of results regarding the asymptotic ...
2 votes
1 answer
448 views

metric for signal to noise ratio in communication systems

I'm not quite sure about how to define a good measure of the quality of a communication channel with fading and interference. Let us assume the simplest case, where a node in a network receives the ...
4 votes
1 answer
2k views

Bounding Entropy in terms of KL-Divergence

Let $h(X)$ be the differential entropy of a continuous random variable $X$ with density $f$, and let $Y$ be another continuous random variable with density $g$. If $KL(X\mid\mid Y)$ is the Kullback-...
13 votes
1 answer
2k views

Counting subtrees of a random tree ("random Catalan numbers")

Given a rooted tree $T$ and an integer $k \geq 1$, let $N_k(T)$ be the number of subtrees of $T$ containing the root and having exactly $k$ nodes (take $N_k(T)=0$ if $T$ has less than $k$ nodes). ...
2 votes
1 answer
301 views

Tail bound for $L_2$ norm of top $k$ singular values of a random matrix

Let $Y=X^\top W$ , with $X, W \in \mathbb{R}^{d \times d}$ are random matrices with standard normal entries. Let $\lambda_j$ be the $j^{th}$ singular value of $Y$. Is there a way to bound the tail ...
4 votes
0 answers
498 views

Implications of a recent result on Benford's law

I want to the discuss the implications of a theorem by J. Morrow (2010) regarding Benford's law. There are many papers written about Benford's law with a comprenhensive discussion of the advantages ...
12 votes
1 answer
3k views

What is the maximum-entropy distribution given mean, variance, skewness, and kurtosis?

$X\in \mathbb{R}$. Which distribution $P(X)$ has the highest possible entropy given its expected value, variance, skewness, and kurtosis? Is it an exponential family distribution of the form $P(X) \...
5 votes
2 answers
949 views

Expected distance of a random point to the convex hull of N other points

Let $X_1, \cdots, X_N$ be i.i.d. $d$-dimensional random vectors, the exact distribution of $X$ is not very important in my application (as long as it continuous) so pick the one that works best, but ...
3 votes
1 answer
440 views

Uniform bound on the rate of convergence of the renewal measure

Consider a renewal process whose holding times are given by a continuous random variable $X$ supported on $[0,1]$. It is known (e.g. Stone '65) that the renewal function $m(t)$ converges to $t/\mathbb{...
0 votes
1 answer
2k views

Markov Chain: state reduction

Hi I am trying to understand a proof in a paper (written by Isaac Sonin), I don't know if anyone could give me a clarification on the following: Firstly we have a Markov chain $\{Y_k\}$ with finite ...
6 votes
2 answers
2k views

Absolute moments of symmetrical distributions

Suppose $F~$ is a probability distribution symmetrical about 0, for which all moments exist. Let $\mu_i~$be the $i$-th moment (of course $\mu_i=0$ if $i~$ is odd). We know there are some conditions ...
5 votes
1 answer
559 views

Existence of a probability measure with "confined" zero measure sets

Hi, I am struggling with the following question that is tangentially arising from a paper I'm working on. It is not at all essential for the revision but it would be nice to know if there is a ...
5 votes
1 answer
137 views

a measure of difference for arrangements of sphere points

Suppose one has a distribution of $N$ points on the sphere. Is there an agreed upon metric for the difference of this distribution and $N$ equidistant points on the sphere? To me entropy seems like ...
1 vote
2 answers
310 views

Apparently simple probability

Hello, Let $x\in[0;1]$ and $(B_i)_i$ be events defined by $P(B_i)\leq x, \forall i$. Furthermore, this inequality is independent of the other events $B_i$ but the events are not necessarily ...
7 votes
1 answer
345 views

Probability density that minimizes the sample range

Let $\mathcal{F}$ denote the set of all "concave probability distributions" on the unit interval, that is, all functions $f:[0,1]\to \mathbb{R}$ such that $f$ is concave, $f(x)\geq 0$ for all $x\in [0,...
8 votes
0 answers
210 views

Qualitative weakenings of probabilistic independence

In probability theory, independence of random variables is characterised by $$(1)~~X~\text{independent}~Y \; \iff \; P_{(X,Y)} = P_X \otimes P_Y \enspace ,$$ where $P_{(X,Y)}$ is the joint probability ...
0 votes
0 answers
143 views

multivariate integral calculation in closed form

I am looking for a closed form for the below integral but since I don't have the necessary backgrounds I am not able to solve it: i know the final solution is in the form of modified Bessel functions ...
2 votes
1 answer
427 views

Upper bound on the maxima of ratio of expectation of quantities under Gaussian measure

Let $\lambda,\eta >0$ be given, and $u:\mathbb{R}\rightarrow \mathbb{R}$ be a real valued function. Define $$\Delta(u)= \frac{\int u(h) \exp(-\eta u(h))\exp(-\frac{\lambda}{2}h^2)~\mathrm{d}h}{\...
1 vote
2 answers
434 views

Local limit theorem for Bernoulli sums

Let $p_i\in (c,1-c)$ for some fixed $c\in(0,1)$ . Consider a sum $X=\varepsilon_{1}+\cdots+\varepsilon_{n}$ where $\varepsilon_{i}$ are independent Bernoulli random variables with parameters $p_{i}$. ...
1 vote
2 answers
226 views

Can averaging order statistics produce independent Gaussian random variables?

If I average two independent realizations of $N(0,1)$, I get a random variable with distribution $N(0,1/2)$. Now suppose $X_1,\ldots,X_n$ are independent realizations of $N(0,1)$. Sort them in ...
6 votes
1 answer
822 views

Random walk with positive uniformly distributed steps

Let $U_1,U_2,\ldots$ be iid random variables distributed uniformly on $[0,1]$. I am interested in the random walk $X_i = \sum_{j \leq i} U_j$. In particular, What is the expected number of points ...
3 votes
1 answer
307 views

A stronger version of supramenability?

A group $G$ is supramenable iff for all $\varnothing\ne A\subseteq G$ there is a finitely-additive left-$G$-invariant measure $\mu_A$ on $G$ with $\mu_A(A)=1$. I'm interested in a seemingly stronger ...
0 votes
1 answer
821 views

Large deviations for bernoulli sums

Let $p\in (0,1)$ be fixed and let $X$ be a binomial random variable with parameters n and p. Consider a related normal random variable $N$ with mean $np$ and variance $np(1-p)$. Is it true that for ...
0 votes
1 answer
495 views

Relating percentiles to moments [closed]

There are at least two ways people look at statistical data: A. For mathematicians, scientists, engineers, economists and such the most familiar distribution parameters would be analytical: mean, ...
4 votes
1 answer
154 views

diffusions corresponding to estimators

I am an undergraduate math student preparing my thesis. Currently I am reading L.D Brown's (1971) paper Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems. Here is a ...
1 vote
1 answer
293 views

Equivalent Markov Random Fields

Hi, Is it possible to have topologically different Markov Random Fields (few different edges) and yet yielding the same inference results ? Thanks!
13 votes
1 answer
1k views

Does $P(X_1>X_2)$ and $P(X_1=X_2)$, where $X_1$ and $X_2$ are independent and Poisson distributed, uniquely determine the parameters?

Let $X_1$ and $X_2$ be independent Poisson distributed random variables with parameters $\lambda_1$ and $\lambda_2$, respectively. Let $a = P(X_1 > X_2)$ and $b = P(X_1 = X_2)$. Question: ...
2 votes
1 answer
2k views

Empirical estimator fot the total variation distance on a finite space

I have two probability measures $p$ and $p'$ on a finite set $X$ which I do not know precisely, but which I can sample from. I would like to estimate their total variation (omitting multiplier $2$): $$...
6 votes
2 answers
309 views

Borel kernel over an analytic set implies existence of a Borel map

Let $X$ and $Y$ be standard Borel spaces, and let $A\subseteq X\times Y$ be an analytic set with a full projection on $X$: that is $\pi_X(A) = X$. Suppose that there exists a Borel-measurable kernel $\...
1 vote
1 answer
575 views

On the expectation of a path integral involving Brownian motion up to a random time

Let $W$ be a one-dimensional standard Brownian motion and denote $$X_t=-\mu t + \sigma W_t, \quad t\ge 0,$$ where $\mu$ and $\sigma$ are positive constants. For $b<0$ denote the first passage time ...
3 votes
1 answer
909 views

Is there a Feynman-Kac formula applicable to Dirichlet problems for Schrödinger operators?

On pg. 133 of Heat Kernels and Spectral Theory, Davies is studying the heat kernel $K(x,y,t)$ of the operator $H = -\Delta + |x|^{\alpha}$ for $\alpha > 0$. He wishes to prove a lower bound, and ...
4 votes
0 answers
324 views

Lyapunov function of exponential growth for existence of a solution of an SDE

Let $$dX_t = a(X_t) dt + b(X_t) dW_t$$ be a one-dimensional stochastic differential equation, where the coefficients $a,b: \mathbb{R} \rightarrow \mathbb{R}$ satisfy for every ball $B_R$ the following ...
23 votes
1 answer
3k views

Bochner integral of stochastic process = path by path Lebesgue integral?

After some helpful comments, I realized that I had to repost this question in a more systematic way. On a complete probability space, let $\mathcal{H}_0$ denote the Hilbert space of square ...
17 votes
2 answers
845 views

A moment problem on $[0,1]$ in which infinitely many moments are equal

Suppose $\mu$ and $\nu$ are two probability measures on $[0,1]$. Let their $n$-th moments be denoted by $\mu_n$ and $\nu_n$, respectively, for $n \in \mathbb{N}$. If we know that $\mu_n=\nu_n$ for ...
0 votes
1 answer
4k views

Calculate the probability of winning for a selected tic-tac-toe player

I am not a mathematician, I am a programmer. Sorry, if formulation of the problem is inexact. I want to calculate the probability of winning for a selected tic-tac-toe player. I have a directed graph ...
1 vote
1 answer
446 views

A set of positive-measure not being a countable union of cylinder sets and zero-measure sets?

Let $(A^\mathbb{N}, \mathcal{B}(A^\mathbb{N}), \mu)$ be a measure space, where $A^\mathbb{N}$ is a set of one-sided sequences over a finite alphabet $A \subset \mathbb{N}$, $\mathcal{B}(A^\mathbb{N})$ ...
1 vote
0 answers
182 views

Shrinkage (or Stein's phenomenon) in low dimensions, discrete contexts

I am trying to understand shrinkage, or the Stein phenomenon. As someone without a statistics background, the focus in most introductory presentations on normal distributions and squared error loss ...
0 votes
1 answer
88 views

Is a $CD(K,\infty)$ space a length space?

Let $(X,d)$ be a complete and separable metric space endowed with a nonnegative Borel measure $\mu$ with support $X$ and satisfying \begin{eqnarray} \mu(B(x,r))<\infty,\quad\mbox{for every }x\in X\...
1 vote
0 answers
190 views

Nontransitive dice: the least number of faces?

Here is an introduction to nontransitive dice. The question is: given $n$-player with a $m$-sided dice each one, the what is the minimum of $m$ for a fixed $n$ to produce nontransitivity? Here is ...
13 votes
1 answer
3k views

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 ...
4 votes
1 answer
274 views

Approximation of an integral over the unit ball of L_1

For every $\varepsilon>0$ find a piecewise continuous function $q:[0,1]\rightarrow \mathbb{R}$ such that $\int_0^1 q(x)dx=1$ and $$\int_{0}^1 \int_{0}^{s} \left|\frac{q(s)q(t/s)}{s}- \frac{q(t)q((s-...
1 vote
1 answer
274 views

A measure of closeness to a discrete set in a metric space

Consider a metric space $(M,d)$ and consider a collection of points $X_n := \{x_1,\dots,x_n\} \subset M$. Let $$ N_\epsilon(y;X_n) := | \{ x \in X_n: d(x,y) \le \epsilon \}| $$ where the RHS is ...
3 votes
1 answer
752 views

Expected number of random binary vectors so that the form a basis

I would like to compute the expected number of vectors in $\mathbb{F}_2^n$ we need to draw (following a uniform distribution) so that they form a basis of $\mathbb{F}_2^n$, i.e., that we have $n$ ...
6 votes
1 answer
264 views

Proof of a statement from Steele's "Probability theory and combinatorial optimization"

I am reading "Probability theory and combinatorial optimization" by J.M. Steele and am hung up on a statement made in Section 2.2 of Chapter 2, "Easy size bounds", in which it is stated (paraphrasing ...
2 votes
1 answer
117 views

Expected length of a certain kind of nearest-neighbor graph

Suppose I have sets of points $Z_1,\dots,Z_N$, such that $|Z_i|=m$ for all $i$, and where all $m\times N$ points are independently distributed uniformly at random in the unit square. Can someone give ...
7 votes
2 answers
637 views

What's the standard name for sets of a given size with maximal probability (or a given probability and minimal size)?

The definition I'm going to give isn't quite the concept I really want, but it's a good approximation. I don't want to make the definition too technical and specific because if there's a standard name ...

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