In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

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13 views

Markov Chain: Number of communicating classes of a power of the irreducible transition matrix [on hold]

Suppose $P$ is an irreducible transition matrix, with period $d$. Consider the transition matrix $P_k$. In terms of $d$ and $k$, how many communicating classes does $P_k$ have, and what is the period ...
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15 views

Statistical problem: What are the a priori probabilities for a given x that these properties hold? [closed]

This is from an explaining of input perturbation on DB on Privacy course, anyway there's this calculation but I don't get the outcome of 40.5% Data: $$ 0≤x≤1000,\quad p(x=0)=0.01,\quad p(x≠0)=0....
0
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72 views

Looking for an exposition of a certain theorem of Talagrand

The following is a theorem by Talagrand (as stated here, http://arxiv.org/pdf/1511.08609v1.pdf), Let $(X, \mu)$ be a probability space. Let $F : X \rightarrow \{0,1\}$ be a family of functions ...
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0answers
17 views

Is it possible to say the worst case of distribution if the cluster has centrality [closed]

Thank you for reading my question. There is a cluster or ball which consist of many n-dimensional points and the cluster has centrality(more probability mass closer to the cluster's center). Then, ...
21
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2answers
602 views

On the sum of uniform independent random variables

Let $X_1,...,X_n$ be independent uniform random variables in [0,1] and assume $c>1/2$. Is it true that $$\mathbb{P}\left[\sum_{i=1}^n X_i \leq n \cdot c\right]$$ is increasing with respect to $n$? ...
1
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65 views

How to prove this Gaussian Mixture theorem? (Fitting/Overfitting)

Note from OP: I gave up and reposted this Question with a Bounty on Cross Validated HERE. In certain applications, we approximate an unknown pdf by placing uniformly weighted Gaussian terms at each ...
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51 views

How to define the covariance for a finite set of vectors in an inner product space space V? What object is it? [closed]

Motivation: This question is motivated by a type of problems in medical imaging and computer vision as follows: suppose we've a set $A$ of points ("shapes") $\{x_1, ...x_d\} $in a Riemannian ...
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2answers
54 views

Reference for the monotonicity in $\alpha$ of the Rényi entropy

I'd like to have a reference for the property $0 \leq \alpha < \alpha' \leq \infty \implies R_\alpha(\mu) > R_{\alpha'}(\mu)$, where $R_\alpha(\mu)$ is the Rényi entropy of order $\alpha$ of a ...
1
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0answers
55 views

Bounding a distribution using moments

Suppose $X$ is a non-negative random variable with bounded image. I was wondering if anybody knew of any results that could answer a question of the following type: Suppose the $n$-th moment satisfies ...
0
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30 views

information about composite random process

I have a following composite random process $$X_j = v_0 + 1/j^2 + Y_j + Z_j$$ where $v_0$ is a constant, $Y_j \rightarrow 0$ almost surely as $j\rightarrow \infty$ and $Z_j \sim N\big(0, \frac{a^{2j}...
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1answer
28 views

Discretization of a continuous distribution

For a research project I work with continuous distributions, like the normal distribution. In my use case however the random variable Z generally follows a normal distribution, though it can only take ...
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95 views

Radon-Nikodym for continuous time processes

Likelihood theory for statistical inference concerning stochastic processes in continuous time are well used. How ever i've found no real literature concerning the fundamentals. What is know from ...
5
votes
0answers
69 views

Distribution of Random Knots from Braids

Let $R_{2n,l}$ be a random braid word of length $l$, where each letter is chosen uniformly from the braid generators of $B_{2n}$, $\{\sigma_1,\ldots,\sigma_{2n-1},\sigma_1^{-1},\ldots,\sigma_{2n-1}^{-...
1
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0answers
34 views

Expression for Joint-PDF of Langevin equation?

How to derive exact or approximate analytical expression for time-dependent joint-PDF (velocity-coordinate PDF) for Langevin equations of Brownian motion? Langevin equations is: $\dot{x}=v$ $\dot{...
1
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1answer
42 views

Maximizing joint entropy?

I'm stuck trying to find the maximum entropy probability distribution taking into account a joint distribution. Basically, I want to find the maximum entropy expression for $p(x,y)$ when the marginal ...
1
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1answer
48 views

A generalization of negative binomial distribution

Assume we have a set of n balls. For each step, we uniformly pick one ball and label it if it is not labeled. Or otherwise move on to next step. I am wondering what is the distribution of number of ...
2
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1answer
139 views

Ask for a special function related to the error function

I am wondering whether anyone knows the following integration has a named special function or a reference $$ F_{a,b}(z) :=\frac{2}{\sqrt{\pi}} \int_0^z \text{erf}(a+b y)\: e^{-y^2} \text{d}y $$ for ...
1
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1answer
47 views

Conditioned sum of n Poissons versus unconditioned Poissons

Let $\theta >1$ and take independent random variables $Z_k \sim \text{Poisson}(\theta/k)$ for $1 \leq k \leq n$ and let $Z_k^*$ have marginals like the $Z_k$ conditioned on $\sum_1^n k Z_k = n$: $$\...
1
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1answer
105 views

Convexity of truncated expectation

Let $k, n$ be two positive integers with $k \leq n$, and let $P = \{ (x_1, \dots, x_n) \in [0, 1]^n : \sum_i x_i = k \}$. Given $x = (x_1, x_2, \dots, x_n) \in P$, let $X_i$ be the random variable ...
0
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0answers
25 views

Product of lognormal random variables

Let $X_1$ and $X_2$ be two normal random variables. Write $X_1\sim N(\mu_1, \sigma^2_1)$ and $X_2\sim N(\mu_2, \sigma^2_2)$, to fix ideas. Consider the corresponding log-normal random variables: $...
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0answers
39 views

Characterize Linear Transformation of Dirichlet Distribution

Let $X=(X_1,....,X_K)\sim{}\text{Dir}(\alpha_1,...,\alpha_K)$ be a Dirichlet distribution with parameters $\alpha_1,...,\alpha_K$. Let $A$ be a non-singular linear map and $(Y_1,....,Y_K)=A(X_1,....,...
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36 views

Proving Fixed Point Algorithms

In Thomas Minka's paper on Estimating the Dirichlet Distribution (link here http://research.microsoft.com/en-us/um/people/minka/papers/dirichlet/minka-dirichlet.pdf), the author presents a fixed ...
2
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40 views

Existence of probability distribution satisfying upper/lower bounds on events

Suppose we have a finite sample space $S$ and some events $A_1, \dots, A_k \subseteq S$. We would like to put a probability distribution on $S$ so that no element has probability greater than a ...
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60 views

The role of absolute continuity in stochastic ordering defined over sets of probability distributions

This question is about a claim given in this paper (page 261, the remark), but without any proof. It simply says that if two sets of probability distributions, $\mathscr{P}_0$ and $\mathscr{P}_1$ (...
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31 views

On the numerical range of non-self adjoint Gaussian matrix

For a complex $n \times n$ matrix $A$, its numerical range is the set $$W(A) = \left\{\mathbf{x}^*A\mathbf{x} \mid \mathbf{x}\in\mathbb{C}^n,\ \|x\|_2=1\right\} .$$ We can further define the ...
4
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1answer
79 views

On the eigenvalues' distribution of random unitary

Fix an integer $d$, let $\mathbb{U}_d$ be the $d\times d$ unitary group. For any $U\in \mathbb{U}_d$, define $\Omega(U)$ be the length of the smallest arc containing all the eigenvalues of $U$ on the ...
2
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169 views

Expected value and variance of a stochastic process

I would like to ask if there is a way to find the expected value and the variance of the following process $$ dv_t=(a-be^{\alpha v_t})dt+\sigma dW_t, \quad v_t=v_0 $$ where $a\in (-\infty,+\infty), b&...
5
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1answer
136 views

Upper Bound for the Difference of Even Probability and Odd Probability in Hypergeometric Distribution

Let $X$ be a random variable following the hypergeometric distribution with parameters $N,K,n$, where \begin{equation} Pr(X=k) = \frac{\binom{K}{k}\binom{N-K}{n-k}}{\binom{N}{n}}. \end{equation} To ...
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62 views

Multimodal property of polynomial logistic distribution

Let $P(x)$ be a polynomial (of an odd degree $n$) strictly increasing on $(-\infty, +\infty).$ Then $F(x)=\displaystyle \frac{1}{1+\exp\{-P(x)\}}$ is a distribution function of a polynomial logistic ...
2
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1answer
66 views

Median of a uniform multinomial variable

Let $k\in\mathbb N^+$ be a positive integer. Consider a set of i.i.d. random variables $X_1,X_2,\ldots, X_n$, each of which is distributed uniformly over $\{1,2,\ldots,2k+1\}$. For $i\in \{1,2,\...
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0answers
29 views

Expected number of perfect matchings in bounded degree bipartite graphs

Consider collection $\mathcal C_{n,n,\Delta}$ of every $2n$ vertex balanced bipartite graph of average degree $\Delta$. What is the expected number of perfect matching a graph in $\mathcal C_{n,n,\...
5
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1answer
214 views

Estimate of incomplete binomial integral

Let $0\le k \le n$. Prove that $$ n\binom{n}{k}\int_{0}^{\frac{k}{n+1}}t^k(1-t)^{n-k}\,dt \le 1/2. $$ As far as I know 1) it is proved for $\frac{k}{n+1}\le 1/2$ and 2) not proved for $1/2 <\frac{...
3
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0answers
34 views

Joint distribution on order statistics and sample history

If samples $X_1, X_2, ... X_t$ are picked independently and identically from the discrete uniform distribution $[1,2, ..., P]$, what is the joint distribution of the last $k$ order statistics and last ...
5
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2answers
147 views

Expected number of changes in the sign of a rolling sum of independent normal variables

Imagine we define $Y(t+n)= X(t+1)+.....+X(t+n)$ where $X(i)$ is an independent normal (i.e. everyday we remove the starting observation and we add a new one). We have $n$ consecutive observations of $...
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51 views

BM hitting times with exponential killing process

Assume a BM in 3d domain (infinite) with a small absorbing subdomain (cube, sphere, ect), centered at point $p_s=(x_s,y_s,z_s)$ . BM starts at point $p_0=(x_0,y_0,z_0)$ and when it riches the ...
1
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1answer
71 views

Fundamental difference between Poisson Point Process and Binomial Point Process

What is the fundamental difference between Poisson Point Process and Binomial Point Process? I am evaluating a solution in a Binomial Point Process setup. If I want to evaluate that in a Poisson ...
7
votes
1answer
107 views

Choosing a sample based on where the density function is highest

Is there a name for the following process? Say I have an absolutely continuous probability density function $f$ with compact support, and I take $k$ independent samples $x_1,\dots,x_k$ from $f$. ...
2
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43 views

A question about probabilistic graphical models

Say one is given a probabilistic graphical model and a cut of the underlying graph. Do we know any statements about when and how can one or many of the marginals (of the sources) or the conditionals (...
2
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0answers
89 views

Growth of inner products between two random vectors on the sparse hypercube

We define the $s$-sparse hypercube in $\mathbb{R}^d$ as \begin{align} \mathbb{H}_s = \bigl \{ {\bf{v}} \in \{ -1, 0 , 1\}^d \colon \| {\bf{v}} \|_0 = s \bigr\}, \end{align} where $ \| {\bf v} \|_0 $ ...
0
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1answer
128 views

Counterexample: weak convergence doesn't imply $L^1-$convergence [closed]

I'm not sure my question is of research level, but I cannot find the answer in the existing reference. Let $\mu_n$ be a sequence of probability measures on $\mathbb R$ satisfying $$\int_{\mathbb R}xd\...
2
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1answer
123 views

About Renyi entropy

If one is given a joint probability distribution over a finite set of discrete random variables then I guess there a notion of $\alpha-$Renyi entropy defined for it as $S_\alpha (X_1,..,X_n) = \frac{...
1
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1answer
150 views

Averaged geometric series with floor function

Given a value $p\in[0,1]$ (a probability of occurrence), I would like to bound the following expression: $$ s\frac{1-(1-p)^{k+1}}{p(k+1)} + (1-s)\frac{1-(1-p)^{k}}{pk},\ \ \ \text{where $k=\lfloor 1/...
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175 views

A contractive mapping which I don't understand

Given a matrix $Y$ and a vector $c$ define the following iteration $\hat{c} = f(c)$, where each element of $\hat{c}$ is given by $$\hat{c}_{\ell} = \frac{\sum_k Y_{k,\ell}\frac{1}{|c_{\ell}|^2+|c_{k}|...
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1answer
125 views

Neat definition of Harris Ergodicity

I can't find any reference where the definition of Harris Ergodicity for Continuous time Markov processes is defined. a) What would be exactly the definition? b) What reference could be helpful? ...
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1answer
115 views

Is Gaussian the unique 2-stable distribution? [closed]

It is well known that Gaussian distribution is a 2-stable distribution. (For more information about p-stable distribution, please refer to Stable Distribution.) But is Gaussian the unique 2-stable ...
1
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53 views

variance of log of ratio of chi-square variables

Let X be a chi-square variable with two degrees of freedom. Let A and B be to arbitrary constants, with $A>B>0$. I need the variance of $Y=\log(1+AX)-\log(1+BX).$ The mean is, maybe not simple,...
3
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63 views

Algorithm to calculate moments of uniform distribution on convex polyhedra

There is system of linear inequalities $$ Ax \leq K, $$ $$ x\geq a, x\leq b. $$ $A$ is $(n\times m)$-matrix, where $n\approx 100$ and $m\approx 10000$, $rank(A)=n$. Suppose that on set of solutions ...
0
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0answers
33 views

Distribution of stopped Brownian motion in $\mathbb R^2$

Let $B=(B^1_t,B^2_t)_{t\ge 0}$ be a standard Brownian motion in $\mathbb R^2$. Let $U=(U^1,U^2)$ be an independent random variable taking values in a circle $C_1\subset\mathbb R^2$ with uniform ...
1
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1answer
187 views

connection between the statistical properties of a scalar field and its columns

Consider a scalar field $s:[0,1]^3 \to \mathbb{R}$ and its "column" field \begin{equation} c: [0,1]^2 \to \mathbb{R}: (x,y) \mapsto \int_0^1 s(x,y,z) \,\mathrm{d}z. \end{equation}. What can be said ...
0
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28 views

derivation of a gap related to extreme value theory

I have an expression to evaluate as follow: $\mathbb{E}\left[\sum_{k=1}^K s_k f(x_k)\Big|s_k=s_k^{\ast} \right]$ where $\{s_k^\ast\}$ can be treated as a ${policy}$ which is defined as follows: \...