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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Estimating the measure of a pre-image of a polynomial

This question was previously posted on MSE https://math.stackexchange.com/questions/3305781/estimating-the-measure-of-a-pre-image-of-a-polynomial Let $\sigma := 2/(3\sqrt{3})$, be a real number. And ...
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Uniqueness of martingale problem for Levy type operator

Consider the following Levy type operator: $$ L_t\varphi(x)=\int_{R^d}\big[\varphi(x+z)-\varphi(x)-1_{|z|\leq 1}z\cdot\nabla\varphi(x)\big]\kappa(x,z)\nu(dz),\quad\forall \varphi\in C_c^2(R^d), $$ ...
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70 views

Shannon-McMillan-Breiman theorem for expander graphs: rate of convergence?

Is the following uniform SMB theorem for random walks on expander graphs true? For simplicity, I will state it for a finite group $G=\langle S \rangle$ and a uniform probability measure $\mu$ on the ...
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1answer
156 views

Eigenvalues of random graphs

At time $t=0$, let $G_n(V,E)$ be a graph with $n$ vertices and $m < n$ edges. Then there exists a unique symmetric adjacency matrix $A_n$ associated with $G_n(V,E)$, defined as follows: $a_{ij} = 1$...
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Concentration inequality for minimal eigenvalue of sample covariance

I was reading an article of matrix completion and met the following lemma The concentration inequality for $\sigma_{\max}$ part is a standard result. However, I didn't find any results like the $\...
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166 views

On the difference of conditional differential entropy of two correlated random variables

Problem Definition Let $\mathbf{G}$ and $\mathbf{S}$ be jointly distributed random variables where $\mathbf{S}$ is continuous and is related to $\mathbf{G}$ through a conditional pdf $f(s|g)$ defined ...
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44 views

References for total variation distance between two product probabilities

Are there references that study the following total variation distance $$d_{TV}(P\otimes Q,Q\otimes P)\,,$$ where $P$ and $Q$ are two probability measures on $\{1,2,\dots,n\}$? Thank you.
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231 views

Simplify Wasserstein distance between Gaussians with binary cost function

Let $\mu_1$ and $\mu_2$ be 1D gaussian distributions with means $m_1$ and $m_2$ respectively and common variance $\sigma$. Let $\Omega$ be a closed subset of $\mathbb R^2$, and consider the cost ...
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1answer
134 views

Can anyone give a reference to the proof of this concentration inequality?

The following concentration inequality for the supremum of a Gaussian process indexed by a separable metric space appears here: http://math.iisc.ac.in/~manju/GP/6-Concentration%20and%20comparison%...
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4answers
205 views

Probability of traversing all other states and finally landing on one state

This is a cross-post from math.stackexchange.com. There has been no response there. Given a Markov chain of finite states with constant transition probabilities, what is the method to compute the ...
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157 views

Large deviations for discrete uniform distribution

(Not sure if this belongs on stack-exchange or overflow; let me know if I should switch it). Given a sum of $n$ IID random variables $\{X_i\}_{i=1}^n$, each uniform on the integers $0,1,...,r$ for ...
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1answer
85 views

Product of sets with the Radon-Nikodym Property (RNP)

I have read that it is somewhat well-known that if two Banach spaces $X$ and $Y$ have the Radon-Nikodym Property (RNP), then their product $X\times Y$ also has the RNP. Does the above result ...
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103 views

Brownian motion and Durret book [closed]

I have a problem to understand the following simple definition in Durrett book: Brownian motion and martingales in analysis. What does the following mean: $T = \inf \{t: B_t \in A\}$. It seems to ...
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1answer
57 views

Dependent random variables converging to a density in mean

Let $X$ be an absolutely continuous r.v. with density $f$ which is continuous on $(0,\infty)$. Fix $x>0$ and consider some a.s. decreasing sequence $Y_n$ bounded by $X$ such that $Y_n\searrow 0$ a....
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150 views

Probability distributions for Grothendieck topologies

The motivation for asking this question comes from looking at the works of Bhargava and co-workers on the statistics of certain properties of elliptic curves and other abelian varieties, hyper-...
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1answer
67 views

Existence of stationary stochastic processes with very high correlation

A question was recently asked by a new user, SomeoneHAHA, and then deleted by the user, after receiving an answer. I think the question and the answer (QA) to it may be of interest to some users. ...
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Continuous analogue of discrete probability trick

When arguing about functions taking random input from a discrete distribution, a standard argument is: let $f: D \rightarrow O$ be some function, and assume that $D$ and $O$ Are finite. For each $o \...
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Linearly independent functions evaluated at random points create full rank matrices

Assume $f_1, f_2,...,f_n: \mathbb{R}^d\mapsto\mathbb{R}^d$ are linearly independent functions. Now let $w_1,w_2,..,w_k\in\mathbb{R}^d$ be i.i.d. Gaussian random vectors distributed as $\mathcal{N}(0,\...
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1answer
199 views

Conceptual explanation for the appearance of entropy in $\frac{d}{dp}\|x\|_p$

For $x\in \mathbb{R}^d$, an elementary computation yields that $$\frac{d}{dp}\log \|x\|_p =\frac{1}{p^2}\sum_{i=1}^d \frac{|x_i|^p}{\|x\|_p^p}\log \frac{|x_i|^p}{\|x\|_p^p}=-\frac{1}{p^2}\operatorname{...
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0answers
45 views

Angle between Fleming-Viot type 3-particle system

Consider $(X^1,X^2,X^3)\in (0,\infty)^3$ with each particle starting at $1$ and moving independently according to Brownian motion until random time $\tau_1:=\min \lbrace t>0: X_{t-}^1\wedge X_{t-}^...
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Bayesian Networks and Polytree

I am a bit puzzled by the use of polytree to infer a posterior in a Bayesian Network (BN). BN are defined as directed acyclic graphs. A polytree is DAG whose underlying undirected graph is a tree. ...
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89 views

Computing the partition function via one of the three methods

I am trying to compute the averaged partition function for some system (with very large $N$) and I reach this point: \begin{equation} \left < Z\right > =\int \prod_i^N \left (\frac{\...
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56 views

Role of Brownian Filtration

I'm trying to understand papers around Novikov, Kazamaki, Kramkov, Shiryaev... and there is something I can't figure out. I will try to describe it shortly and can give more information, if needed. ...
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1answer
79 views

Reformulation as optimization on probability distributions

This is a "soft" question, in the sense that I'm looking for historical remarks and general commentary rather than a definite answer. For compact $X \in R^n$ and $f : R^n \to R$ consider the problem ...
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1answer
68 views

Mixing time of random walks on graphs

Suppose that we start a lazy random walk on a connected graph. However, the starting node is picked from a distribution of $\mu$ and $||\mu-\pi||_{TV}<1/8$, where $\pi$ is the stationary ...
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1answer
185 views

Martingales and intersection of random walks

Let $G=(V,E)$ be a graph with $n$ vertices. Consider a pair of independent simple random walks $(X,Y)$ on the graph, each of length $L$ starting from a node $v \in V$. We denote a length-$L$ random ...
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1answer
71 views

Estimating the probability density of a component of a mixture distribution

Let $X \in \mathbb{R}^d$ be a random variable with probability distribution $P$. Let $f:\mathbb{R}^d \to \mathbb{R}^d$ be an invertible function and let $P_{f}$ be the distribution of random variable $...
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37 views

Girsanov Theorem - Dependence of the probability space

I'm trying to understand the proof Novikov Condition and other works in this field (Kazamaki etc) and for this, i have to understand the Girsanov Theorem, which is also a part of the proof. In ...
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1answer
74 views

Upper confidence bound for Poisson process rate parameter

Admittedly, this is an elementary question for mathoverflow. However, I've had no real bites on math and stats.stackexchange so I'm cross-posting. I am interested in computing an upper confidence ...
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2answers
120 views

Balls into bins with random number of balls

In the classical balls into bins we throw $m$ balls into $n$ bins. We throw the balls independently of each other and the probability of choosing the bins is uniform. For $n=m$ it is known that the ...
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88 views

Left passage probability of $SLE_8$?

Schramm's formula on left passage probabilities of $SLE_k$ is stated for $k \in [0,8)$ in theorem 2 here. However, after the statement he remarks that the formula simplifies to $1/2$ for $k = 8$. It ...
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51 views

Distances between up and down crosses in Gaussian Processes

Given a gaussian process $g := \mathcal{GP}\left(\mu, \Sigma \right)$, where $\mu$ is the mean and $\Sigma$ is the covariance function, I am interested in estimating the mean value $L_m$ of the ...
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168 views

Does this property of probability distributions have a name?

I'm working on the paper where we require for our distributions to be somewhat dense even at very small left-tail values. The idea is that the CDF of our distribution should grow, from the very ...
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3answers
290 views

Closed form $\int_{0}^{\frac{r}{2}} {\binom{n}{p} \binom{n-p}{r-2p} 2^{r-2p}}{\binom{2n}{r}^{-1}} \ \text{d}p$

Note: This is exact copy of my Math.SE question, which I am reposting here, as despite bounty it did not receive any answers. Let there be $n$ pairs of shoes in a box. The the probability that from ...
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147 views

Functional Weak Convergence of Maximum Likelihood Estimator

Let $\hat{\theta}_n$ be the Maximum Likelihood Estimator of parameter $\theta$, where $n$ is the sample size. It is well-known that under sufficient regularity conditions, we have the asymptotic ...
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1answer
87 views

Question on example 3.0.1 in Yurinsky's book “Sums and Gaussian vectors”

Good day to All. Let $S_{1,n} = \sum_{i=1}^{n}\xi_{i}$, where $(\xi_{i})_{i \in \mathbb{N}}$ be independent RV with values in some Banach space. On pages 79-80 in this book author provides an ...
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2answers
201 views

Elliptic Regularity with Gibbs Measure Satisfying Bakry-Emery Condition

Consider $\mathbb{R}^d$ with Gibbs measure $d\mu=Z^{-1}\exp(-V(x))dx$, where the potential $V(x)$ is strongly convex ($\nabla^2 V(x) \ge \lambda Id $). We can assume the regularity of $V$ is as good ...
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1answer
218 views

Expected value of biggest distance of adjacent points uniformly picked in $[0,1]$

We pick $n\ge 2$ points in $[0,1]$ with uniform distribution. What is the expected value of the largest distance of $2$ adjacent points?
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1answer
110 views

Bernstein Inequality for continous local martingale

I'm looking for a simple proof of the following fact, which is somehow Bernstein inequality in continuous time. Let $(M_t)_{t\geq 0}$ be a continuous local martingale. Then : $$P(\sup_{t\in [0,T]}...
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2answers
182 views

Fair partitioning of a set - Weighted sums of Bernoullis

For $n$ an integer, let $a_n$ be the number of ways in which one may partition the set $\{1, \ldots, 2n \}$ in two parts with: the same number of elements: $n$ and the same sum: $2n(2n+1)/4$. ...
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1answer
88 views

Limiting distribution of “scatter matrix” $\frac{1}{n}XX^T:=\frac{1}{n}\sum_{i=1}^nx_ix_i^T$ for iid $x_1,\ldots,x_n \in \mathbb R^p$

Let $x_1,\ldots,x_n$ be drawn iid from such "nice" distribution on $\mathbb R^p$ (but possibly very general!), and let $X$ be the $n$-by-$p$ matrix formed by vertically stacking the $x_i$'s. ...
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1answer
201 views

Can a superadditive set function be upper-bounded by a measure?

Suppose $Q$ is a probability measure on a Euclidean space $\mathbf{E}$. Suppose $\mathcal{K}$ is the collection of all compact sets on $\mathbf{E}$. Consider the function $f: \mathcal{K} \rightarrow ...
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41 views

Maximal inequalities of stochastic integral with respect to Poisson random measures

Let $\Phi$ be a smooth convex function such that $\Psi(x)/|x|\to\infty$ as $|x|\to\infty$, and $\hat N(d z,ds)$ be a compensated Poisson measure on $R^d\times R_+$. Do we have the following inequality:...
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1answer
109 views

Computationally random bitstreams and normalcy

Let $\mathbb{N}$ denote the set of non-negative integers. We can identify every bitstream, i.e. a function $s:\mathbb{N}\to \{0,1\}$, with some $A\in{\cal P}(\mathbb{N})$: take $A = s^{-1}(\{1\})$. ...
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1answer
36 views

Joint density of a quadratic function of entries of orthogonal matrix

$U=(U_{ij})_{1\leq i,j\leq m},V=(V_{ij})_{1\leq i,j\leq m}$ are independently and uniformly distributed on the orthogonal group $O(m)$. For any positive integer $k,n$ such that $1\leq k\leq n\leq m$, ...
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0answers
87 views

An inequality regarding centered Bernoulli random variables

Let $\left\{V_1,\ldots,V_n\right\}$ be a set of (possibly dependent) identically distributed Bernoulli random variables, with $$ p = \mathbb{P}\left(V_i=1\right) = 1-\mathbb{P}\left(V_i=0\right),\quad ...
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51 views

Using Kac-Rice formula to count average number of sub-regions carved out by $n$ random hyper-planes

Context. This is the first in a set of tiny pieces of a problem I've formulated to help me measure the "complexity" of certain piecewise linear functions. Thanks in advance for your help and patience. ...
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2answers
408 views

Talagrand's inequality for the discrete cube

Talagrand showed that if $f$ is a convex $1$-Lipschitz function on $\mathbb{R}^n$, and if $\mu$ is a product of probability measures supported over the interval, then $f$ has Gaussian concentration w....
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174 views

Visibility in a growing orchard

This is a variant on Polya's orchard problem.1,2 Suppose trees are planted randomly in the plane. The question is: How many trees are visible from the origin as their radii grow? More precisely, ...
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1answer
86 views

Barycenter Map on Wasserstein Space

Let $(X,d)$ be a complete separable metric space, $P_1(X,d)$ be the set of Radon probability measures on $X$ satisfying $$ P_1(X,d)\triangleq \left\{ \nu:\,(\exists x_0\in X)\, \int_{x\in X} d(x,x_0)d\...