# 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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### Can Birkhoff's ergodic theorem for integrable functions easily be deduced from Birkhoff's ergodic theorem for bounded functions?

It seems to me that a considerably simpler proof [see below] of Birkhoff's ergodic theorem can be obtained for bounded observables than for more general $L^1$ observables. Therefore, I feel like it ...
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### Estimating the average of two gaussians' mean with minimal squared error

This is a follow-up to my previous question. Assume that $X\sim \mathcal N(\mu_1,\sigma_1^2)$ and $Y\sim \mathcal N(\mu_2,\sigma_2^2)$. I want to estimate $\frac{\mu_1+\mu_2}{2}$ after observing $X,Y$....
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### What is the limiting marginal distribution of a fixed number of coordinates of a random point drawn uniformly on large-dimensional sphere?

Let $X=(X_1,\ldots,X_d)$ be uniformly-distributed on the sphere of radius $\sqrt{d}$ in $\mathbb R^d$. It is well-known that in the limit $d \to \infty$, the marginal distribution of $X_1$ converges ...
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### Dominated convergence theorem when the measure space also varies with $n$

Let $(f_n)_n:X \to \mathbb R$ be a sequence of measurable functions on a measurable space $X$ converging pointwise to a function $f:X \to \mathbb R$, and let $(\mu_n)_n$ be a sequence of finite ...
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### Sufficient conditions for decomposition of a bounded random variable into several small pieces

Given a random variable $X$ with $\mathsf{supp}\, X \subseteq [0,1]$ and $n$ positive numbers $h_1,\cdots,h_n$ with $\sum_{i=1}^n h_i=1$, I want to know some sufficient conditions for decomposing $X$ ...
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### tail probability of max of Gaussians

I'm trying to follow an argument in C. Giraud's "High Dimensional Statistics" (2nd Ed, p. 11 / $\S$ 1.2.3). The specific page is accessible via Google Books here but the formatting is awful....
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### Estimating the average of two gaussians' mean

Assume that $X\sim \mathcal N(\sigma_1,\mu_1)$ and $Y\sim \mathcal N(\sigma_2,\mu_2)$. I want to estimate $\frac{\mu_1+\mu_2}{2}$ after observing $X,Y$. In my setting, $\sigma_1,\sigma_2$ are known ...
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### Bounds on the entropy of the 2D Ising model

I am interested in good estimators of (or analytical bounds on) the entropy $\mathsf{H}_\beta:=-\sum_{\mathbf{x}} P(\mathbf{x})\log_2(P(\mathbf{x}))$ of the two-dimensional Ising model (with no ...
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### Integral of product of Hermite polynomials w.r.t marginal distribution of first two-coordinate of random vector on unit-sphere

This question is related to: https://math.stackexchange.com/q/4270522/168758 Let $H_n(x) \in \mathbb R[x]$ be the probabilist's $n$th Hermite polynomial. This an $n$th degree polynomial given by the ...
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### cemetery tree $\delta$

Let $T_*$ be a tree on which the parent $e_*$ of the root is added and $x\in\mathbb{V}$ a vertex in the Ulam-Harris tree. Then the tree $T_*^{\leq x}$ is defined as \begin{cases} \mathsf{T}_*\...
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### What is the number of finite Dynkin systems?

(This is a spin-off of Determine the minimal elements of a Dynkin system generated by a finite set of finite sets) Let $\Omega$ be a finite set. A Dynkin system on $\Omega$ is a subset of the power ...
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### Conditions for the existence of von Neumann-Morgenstern utility on a Polish space

Let $X$ be a Polish space, i.e. a separable complete metric space. Any Borel probability measure on $X$ must be locally finite, outer regular and tight. Let $\mathcal{P}(X)$ be the set of all Borel ...
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### A comparison of diffusions

Consider two diffusions given by $$X_j(t)=\int_0^t a_j(s,X_j(s))\,dW_s$$ for $j=1,2$ and $t\ge 0$, where $W_\cdot$ is a standard Wiener process/Brownian motion and the $a_j$'s are smooth enough ...
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### Occupation times for two-state Markov processes

Consider a two-state Markov process in continuous time, with states labelled $A$ and $B$. The transition rates for going from state $A$ to $B$, and state $B$ to $A$ are $\alpha$ and $\beta$ ...
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### Continuity of translation operator in fractional white noise analysis

Fix $H\in(\frac{1}{2},1)$, and let $\Omega:=C_0([0,T],\mathbb R^d)$ be the space of $\mathbb R^d$-valued continuous functions. There is a probability measure $P^H$ on $(\Omega,\mathcal B(\Omega))$, ...
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### Determine the minimal elements of a Dynkin system generated by a finite set of finite sets

(This is a refined version of https://cs.stackexchange.com/q/144371) Let $\Omega$ be a finite set. A Dynkin system on $\Omega$ is a subset of the power set of $\Omega$ containing $\Omega$, which is ...
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### Well-definedness of maximum likelihood estimation

Consider a family $\{\mu_\theta:\theta\in\Theta\}$ of probability measures on a measurable space $X$. Given $x\in X$, the maximum likelihood estimate is the value of $\theta$ which maximizes the ...
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### Asymptotics of $w^\top G^2 w$, where $w$ is a unit-vector, $G:=X^T(XX^T+t I_n)^{-1}X$, $t > 0$, and $X$ is an $n\times d$ gaussian random matrix

Let $X$ be an random $n \times d$ matrix with entries drawn iid from $N(0,1/d)$ and let $w$ be a unit-vector in $\mathbb R^d$. With $\lambda>0$, and define $G:=X^\top(XX^\top + \lambda I_n)^{-1}X$. ...
Let $\{X_n\}$ be the simple random walk in dimension $d=2$. Consider the distribution $$p^M(0,y)=\mathbb{P}_0[X_{\tau_{M}}=M \cdot y]$$ where $\tau_M:=\inf \{n \ge 1: X_t \in M \cdot \mathbb Z^d \}$ ...