All Questions
11 questions
1
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385
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How fast does this Gaussian random walk move away from the origin?
Suppose $z_i$ are IID zero-centered $d$-dimensional Gaussian random variables with unit-trace covariance $\Sigma$ and $g(z_i)$ is the sum of its components.
Consider the following random walk:
$$x_s=\...
- 2,252
2
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1
answer
847
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Probability that a symmetric random walk returns to $0$ exactly $k$ times in $2n$ steps
I'm trying to find a formula to find the probability of exactly k returns in 2n steps of a symmetric random walk. More specifically, I am trying to show that the probability of 2 returns is exactly ...
- 24.2k
0
votes
1
answer
160
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Probability to cross an envelopp for 1D random walk?
Imagine we have an evolving sequence composed of 1 and -1 (ex: -1-11-111...) where the probability to get -1 or 1 is 1/2. n is the lengh of my sequence.
I can make an analogy with random walk: let ...
- 128k
1
vote
2
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302
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how to derive stationary distribution of maximal entropy random walk
I was reading the paper 0810.4113v2, burda, which analyzed the stationary distribution maximal entropy random walk on the irregular lattice. I am confused on some of the steps.
Description:
The ...
- 171
5
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0
answers
485
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Hierarchical Random Walk (also known as Hierarchical Hidden Markov Model)
Let us consider the following hierarchical (recursive) random walk model, which is also known as the hierarchical hidden Markov model in computer science (https://en.wikipedia.org/wiki/...
- 1,127
4
votes
2
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255
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The necessary sufficient condition for recurrence of a Markovian random walk
Suppose $\sigma_{1},\sigma_{2},...$are i.i.d random variables.$S_{0}=0$. Define $S_{n}=S_{0}+\sum_{i=1}^{n}\sigma_{i}$, then ${S_{n}}$ is a Markovian random walk.
I want to figure out the necessary ...
CommunityBot
- 1
5
votes
1
answer
297
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Random walk with continuously distributed steps on [-1,1]
A simple random walk $S_n = X_1 +\cdots +X_n$, where $P(X_i = 1) = p \not = 0.5$ and $P(X_i=-1)= q \triangleq 1-p$, admits the following probability
$$P(S_n \textrm{ reaches } a \textrm{ before} -b) =...
- 108
2
votes
1
answer
421
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Extending Wald's equation to two classes of i.d. random variables?
I try to adopt Wald's equation to a slightly more complex problem. In fact, after a full day, I found some solution now, but it has a confusing argument in the middle. Perhaps somebody can help me at ...
CommunityBot
- 1
2
votes
1
answer
447
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MCMC with progressive demollification of delta distributions
Edit: I simplified the example to a canonical case for clarity.
Given an integral $\int_{\Omega}{g(\mathbf{x})}$ with a well-posed integrand $g(\mathbf{x})$ defined on some multidimensional space $\...
- 101
1
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2
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772
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Gibbs sampling step size
I have some data generated using MCMC methods and in particular Gibbs sampling. I computed the autocorrelation but I'm unsure how to determine how many samples to skip.
I'd like to determine that ...
- 2,791
4
votes
3
answers
620
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Averaging over random walk on binary lattice
I have a function $f$ defined over a bit vector of length $n$. Equivalently, this is a function defined on the set of integers $[0,\ldots,2^n-1]$. I would like to compute the mean or variance or some ...
- 6,711