All Questions
Tagged with real-analysis pr.probability
388 questions
1
vote
1
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143
views
Lower bound for log-Ratios
Can we find a universal constant $c>0$ such that for all $p,q\in\Delta:=\lbrace x\in (0,1)^{n}\ \colon\ x_{1}+\dots+x_{n}=1\rbrace$ it is true that
\begin{equation}
|p_{i}-q_{i}|\le c\left|\ln\frac{...
- 14.2k
8
votes
2
answers
330
views
q-Means and the mode of a distribution
Let $f:\mathbb{R} \rightarrow [0,\infty)$ be a continuous probability density function on $\mathbb{R}$ such that
\begin{equation}
\int_{\mathbb{R}} |x| f(x)\, dx < \infty,
\end{equation}
and ...
- 63.9k
5
votes
0
answers
205
views
Strange inequality relating Binomial pmf and cdf
I'm encountering a strange inequality I need to prove, relating the Binomial pmf and cdf.
Suppose we have $n$ coin flips, and fix an arbitrary $k \le n/2$ heads. Suppose further that we have some ...
- 2,600
4
votes
2
answers
145
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Understanding equiprobable trinomial identity
With $f(x_1,x_2,x_3,x_1+x_2+x_3;\,1/3,1/3,1/3):= \frac{(x_1+x_2+x_3)!}{x_1!\,x_2!\,x_3!\, 3^{x_1+x_2+x_3}}$ denoting the probability mass function of the equiprobable trinomial distribution as in wiki/...
- 128k
2
votes
1
answer
636
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Sufficient condition for function of conditional probability density to be increasing
Let $Y$ and $W$ be two jointly distributed random variables; $Y$ takes values on $(y_1,y_2)$ and $W$ takes values on $(w_1,w_2)$. The conditional probability density of $W$ given $Y$ is given by $f_{W|...
- 128k
16
votes
6
answers
3k
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A normal distribution inequality
Let $n(x) := \frac{1}{\sqrt{2\pi}} e^{-\frac{x^2}{2}}$, and $N(x) := \int_{-\infty}^x n(t)dt$. I have plotted the curves of the both sides of the following inequality. The graph shows that the ...
- 63.9k
2
votes
1
answer
111
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Sufficient conditions for inequality with integral of reliability functions
Let $Y$ and $W$ be two random variables with support $(y_1,y_2)$ and $(w_1,w_2)$ and distributions $F_Y$ and $F_W$, both twice continuously differentiable (densities $f_Y$ and $f_W$). Assume that both ...
- 143
6
votes
1
answer
433
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Triangle inequality for Ito integral?
For Lebesgue integrals one has the triangle inequality saying that for continuous functions let's say
$$\left\vert\int_0^t f(s) \ ds\right\vert \le \Vert f \Vert_{\infty} \int_0^t \ ds$$
Now if ...
- 128k
1
vote
2
answers
889
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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 ...
- 128k
2
votes
0
answers
208
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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 ...
- 31
0
votes
1
answer
133
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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 ...
- 59
11
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2
answers
841
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Computing the sum of an infinite series as a variant of a geometric series
I came across the following series when computing the covariance of a transform of a bivariate Gaussian random vector via Hermite polynomials and Mehler's expansion:
$$
S = \sum_{n=1}^{\infty} \frac{\...
- 128k
2
votes
0
answers
109
views
Average number of pieces of a random piecewise-linear function
Let $I$ be a (nonempty) compact interval in $\mathbb R$ and $a_1,b_1,\ldots,a_L,b_L \in \mathbb R$. Let $\varphi$ be a piecewise function with $T \ge 2$ pieces(for example $T=2$ for the choice $\...
- 6,853
11
votes
0
answers
381
views
Concerning Luzin-(N)-property
Definition: a function $f:\mathbb{R}\to \mathbb{R}$ has Luzin-(N)-Property if $f$ maps any null set to a null set.
By https://www.encyclopediaofmath.org/index.php/Luzin-N-property, it is known that ...
- 4,201
1
vote
1
answer
457
views
Taylor's theorem for a composition with $\min:\mathbb R^2\to\mathbb R$ and differentiability Lebesgue almost everywhere
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\int f(x)\:{\rm d}x=1$$
$g:=\ln f$ (and assume $g'$ is Lipschitz continuous)
$n\in\mathbb N$, $$s(x,y):=\sum_{i=1}^n\left(g(y_i)-g(x_i)\right)$$ and $$h(...
CommunityBot
- 1
5
votes
1
answer
170
views
Ratio of integrals with increasing dimension over Euclidean balls
Let $f_n(x)\geq0$ be any sequence of nonnegative $L^1(\mathbb{R}^n)$ functions such that $\int_{\mathbb{R}^{n}}f_n(x)dx=1$ where $dx$ is the Lebesgue measure on $\mathbb{R}^n$. For any $a>1,\...
- 128k
6
votes
1
answer
575
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Sub-Gaussian decay of convolution of $L^1$ function with Gaussian kernel
I think it might be helpful to put the new statement at the beginning and put the original post at the end. This new statement is more mathematically elegant.
Let $f\geq0$ be in $L^1(\mathbb{R}^d)$ ...
- 14.2k
4
votes
1
answer
1k
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Simple proof of Prékopa's Theorem: log-concavity is preserved by marginalization
The following result is well-known:
Suppose that $H(x,y)$ is a log-concave distribution for $(x,y) \in \mathbb R^{m \times n}$ so that by definition we have
$$H \left( (1 - \lambda)(x_1,y_1) + \...
- 6,045
2
votes
1
answer
450
views
Show that the absolute value of this function is twice differentiable except on a set of Lebesgue measure $0$
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\int f(x)\:{\rm d}x=1\tag1$$
$g:=\ln f$ and assume that $g'=\frac{f'}f$ is Lipschitz continuous (note that this implies that $f'(x)\xrightarrow{|x|\to\...
- 16.2k
3
votes
0
answers
72
views
Random Two-Player Asymmetric Game
About half a year ago I asked a question on MSE about a random two player game. At the time, the question received some attention and some progress was made, but was not resolved completely. I have ...
CommunityBot
- 1
1
vote
0
answers
86
views
Coboundary in the slow mixing systems
Given dynamical system $(X, T, \mu)$, $\mu$ is probability, $\mu \circ T =\mu$, $T$'s transfer operator $P$ is defined by following relation: $\int (P a) \cdot b d\mu= \int a \cdot (b \circ T) d\mu$ ...
- 3,958
2
votes
1
answer
437
views
If $g$ is differentiable, how can we show that $z\mapsto1\wedge e^{g(z)}$ is differentiable except on a countable set
If $g:\mathbb R\to\mathbb R$ is differentiable, how can we show that $$h(z):=\min\left(1,e^{g(z)}\right)\;\;\;\text{for }z\in\mathbb R$$ is also differentiable, except at a countable number of points, ...
- 109k
3
votes
2
answers
323
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Lower bound Renyi divergence between two discrete probability distributions
I am trying to understand the proof of Lemma 1 in this paper (Section 9.2).
The proof shows that given a discrete probability distribution $P=(p_1,p_2,...,p_k)$ where $p_1 \geq p_2 \geq ... \geq p_k$,...
- 46
1
vote
1
answer
72
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Independent identical distribution sequence
given a measurable function $\alpha: (\Omega, \mu) \to \mathbb{R}$, and transformation $\sigma : \Omega \to \Omega $.
I found an example such that $\alpha, \alpha\circ \sigma, \alpha\circ \sigma^2, \...
- 23.2k
3
votes
1
answer
315
views
Where to find the proof of this property?
I am doing some exercises in the analytic and there is a problem as following:
``Let $\{f_n\}_{n \in \mathbb{ N}}$'' to be a positive sequence such that:
$\sum\limits_{n=1}^{+\infty} f_n = 1$.
$\...
- 128k
1
vote
2
answers
818
views
Integral formula involving Legendre polynomial
I would like a proof of the following equation below, where $(P_n)$ denotes Legendre polynomials. I guess this formula to hold; I checked the first several values.
\begin{equation}
\int_{-1}^{1}\sqrt{...
- 63.9k
4
votes
1
answer
336
views
Binomial Distributions and Inequality
Suppose $c>2$ is a real number, and $x$ solves equation $f(\frac{1}{2}+x,m,2m)=(2m+1)cx$ for some $m>0$ integer number, where $f$ is probability mass function for binomial distribution, with ...
- 128k
3
votes
2
answers
265
views
Can one realize this as an ergodic process?
Consider the lattice $\mathbb Z^2$ and take iid random variables $Y_e$ on all edges $e$ of the graph.
We then define random variables $X_i:=\sum_{e \text{ adjacent to } i}Y_e.$
In other words: For ...
- 3,669
1
vote
2
answers
2k
views
Standard Brownian motion, Hölder continuous with exponent $\gamma$ for any $\gamma < 1/2$, not for any $\gamma \ge 1/2$
In some results on Hölder continuity with regards to standard Brownian motion, the following is asserted without proof.
It is not hard to see that for every $k < \infty$, and every $\epsilon >...
- 128k
8
votes
2
answers
891
views
Differentiating an integral that grows like log asymptotically
Suppose I have a continuous function $f(x)$ that is non-increasing and always stays between $0$ and $1$, and it is known that
$$ \int_0^t f(x) dx = \log t + o(\log t), \qquad t \to \infty.$$
...
- 128k
4
votes
0
answers
105
views
On a much weaker version of the Normal conjecture
I would like to ask you about the following question. It is conjectured that every algebraic irrational number is normal (absolutely normal). I know the result by Bugeaud and Adamczewski about the non-...
- 12.3k
3
votes
1
answer
311
views
Kantorovich duality with pseudometrics
The usual framework for the Kantorovich duality in optimal transport theory uses Polish spaces as ground spaces for the distributions that should be transported. Are there results available that ...
12
votes
1
answer
694
views
History of the Jaccard distance $d(A,B) = \mathbb P(\overline A\cup\overline B\mid A\cup B)$
I'm wondering where the relative probabilistic distance or Jaccard distance was first studied:
$$d(A,B) =\mathbb P(\overline A\cup\overline B\mid A\cup B)$$
where $\overline A$ is the complement of $A$...
- 24.8k
2
votes
2
answers
128
views
Spectral decomposition of a combinatorial matrix/Random walks on $s$-sets
$\newcommand{\Z}{\mathbb{Z}}
\newcommand{\J}{\mathcal{J}}
\newcommand{\la}{\lambda}
\newcommand{\1}{\mathbf{1}}
\newcommand{\R}{\mathbb{R}}$
Take any $n\in[3;\infty]$. Here and in what follows, $[k;\...
- 14.6k
1
vote
0
answers
43
views
Probability estimate with a Lipschitz, weak* semicontinuous function on the $\ell^\infty$ unit ball
Suppose that $X_i$ for $i=0,1,\dots$ is an i.i.d. sequence of uniformly distributed random variables taking on values in $[-1,1]$. Fix a real number $L>0$ and suppose that $f_n:[-1,1]^n\rightarrow [...
- 12.5k
3
votes
1
answer
209
views
Log concavity of the maximum of dependent Gaussians
Let $Z_1,\dots,Z_n$ be dependent Gaussian random variables. Is it true that $X=\max\{Z_1,\dots,Z_n\}$ has a log-concave distribution function? This is true for the independent case, but is it true in ...
- 128k
2
votes
0
answers
61
views
Convergence to the probability generating function of a Poisson process
I'm working currently with a Poisson process trying to proove Renyi's Theorem, so far I want to show that
$\prod_{i=1}^{k_n}[z + (1-z)e^{-\mu(A_{n_i})}] \to e^{-(1-z)\mu(A)}$ as $\mu(A_{n_i}) \to 0$, ...
- 21
2
votes
2
answers
152
views
Divergence rate of geometric sum of random variables
Let $(X_n)_{n\in\mathbb{N}}$ be a sequence of strictly positive and identically distributed random variables and let $\beta\le 1$. I am trying to prove that
$$
0<\lim_{\beta\rightarrow 1}(1-\...
- 128k
5
votes
0
answers
696
views
Cadlag and adapted (usual conditions assumed) imply progressively measurable (related to Protter's Stochastic Calculus theorem 6)
Hi maybe someone on here can help me. I have been stuck on showing this fact for several months. I asked this question in the stack exchange and it has floated around for a while but to no avail.
...
- 151
2
votes
0
answers
198
views
Continuous Local Martingales under time change under what conditions are they still local martingales?
This question is motivated by reading a section in Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor.
In Chapter V there is a section on time-change:
Definition:
A time change $C$...
2
votes
1
answer
263
views
Schwartz space on $\bigcup_{n=1}^CR^n$
I have an application where I need to work with the following idea.
Let the space $\bigcup_{n=1}^C \mathbb{R}^n$ be associated with the metric $d$ such that for $x=(x_1,\cdots,x_n)$ and $y=(y_1,\cdots,...
- 21
1
vote
1
answer
196
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Giving Uniform Bound on Differences of Sums of Converging Polynomials
The title does not quite capture the essence of the difficulty, please allow me to be more explicit here.
I thought of this question when I was trying out an open problem by Ovidiu Furdui(See problem ...
- 128k
5
votes
2
answers
415
views
Existence of Solution, System of Equations
Suppose $P(\lambda, i)$ is the probability that a Poisson random variable with average $\lambda$ is equal to $i$, i.e. $\frac{\lambda^i}{e^{\lambda}i!}$
I think the following system of equations ...
- 128k
3
votes
0
answers
169
views
Why is the smallest (fractional) absolute central moment of a Gaussian distribution almost at $\sqrt{3}/2$?
Let $X$ be a standard normal random variable. What $\alpha$ minimizes $E|X|^{\alpha}$?
Numerically, $\alpha$ turns out to be equal to $\sqrt{3}/2-\varepsilon$ where $\varepsilon$ is of the order $10^...
1
vote
1
answer
399
views
I want to disprove an equality involving a double integral
I want to show that the following equality does not hold:
\begin{equation}\label{at3}
\frac{\lambda^2-1}{2}x^2-\int_{-\infty}^{\infty}\!\!\int_{-\infty}^{\infty}K(y_1,y_2,x)\ln g(y_1,y_2)dy_2dy_1=...
CommunityBot
- 1
1
vote
1
answer
632
views
Does sequence almost sure convergence imply almost sure convergence?
This is a cross-post of this and this questions from math.stackexchange.com since I have not received any response there. I would like to seek help here.
Suppose $x(t,\omega): [0,T]\times\Omega\...
- 23.2k
7
votes
4
answers
3k
views
Upper bound of the expectation of sum of the absolute value pairs
We have two arrays $A,B$ of length $n$. All values are i.i.d drawn from same distribution on $[0,1]$. If we sort $A,B$ in non-decreasing order and let $A_{(i)},B_{(i)}$ denote the i-th value in the ...
- 128k
4
votes
0
answers
289
views
A uniform Riemann sum approximation of the integral of the Fejer kernels
Let $F_N(t)$ denote the Fejer kernel
$$F_N(t):={1\over N+1}{\sin^2\big({(N+1)}{t\over2}\big)\over \sin^2\big( {t\over2}\big)}\ .$$
Consider Riemann sums approximation for $\int_{-\pi}^\pi F_N(t) dt$ ...
- 136
5
votes
1
answer
279
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Mixed norm inequality
Suppose we have a product space $(X_1\times X_2,\mu_1\otimes\mu_2)$, with finite measures $\mu_1,\mu_2$ and $p>1$.
Is there a possibility that an inequality of this form holds on the product space?
...
- 128k
0
votes
0
answers
112
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On certain integrals of exponential functions with respect to Gaussian measures
I have questions about the integral
$$F(a,b,c)=\sqrt{\frac{a}{\pi}}\int_{0}^{\infty}e^{-bx^4+cx^3-ax^2}dx$$
for $a,b,c>0$.
What is the asymptotic behavior of $F(a,b,c)$ for small $a,b,c$? In ...
CommunityBot
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