All Questions
Tagged with real-analysis pr.probability
388 questions
6
votes
1
answer
575
views
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 $L^1(\mathbb{R}^d)$ ...
- 1,495
4
votes
1
answer
1k
views
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
$$H \left( (1 - \lambda)(x_1,y_1) + \...
- 536
3
votes
0
answers
72
views
Random Two-Player Asymmetric Game
About half a year ago I asked a question on MSE about a random two player game. At the time, the question received some attention and some progress was made, but was not resolved completely. I have ...
- 181
2
votes
1
answer
450
views
Show that the absolute value of this function is twice differentiable except on a set of Lebesgue measure $0$
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\int f(x)\:{\rm d}x=1\tag1$$
$g:=\ln f$ and assume that $g'=\frac{f'}f$ is Lipschitz continuous (note that this implies that $f'(x)\xrightarrow{|x|\to\...
- 167
1
vote
1
answer
457
views
Taylor's theorem for a composition with $\min:\mathbb R^2\to\mathbb R$ and differentiability Lebesgue almost everywhere
Let
$f\in C^3(\mathbb R)$ with $f>0$ and $$\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(...
- 167
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, ...
- 167
3
votes
2
answers
323
views
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 $p_1 \geq p_2 \geq ... \geq p_k$,...
1
vote
1
answer
72
views
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, \...
- 553
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:
$\sum\limits_{n=1}^{+\infty} f_n = 1$.
$\...
- 153
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{...
- 31
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 ...
- 43
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: $\int (P a) \cdot b d\mu= \int a \cdot (b \circ T) d\mu$ ...
- 553
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 ...
user135480
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
$$ \int_0^t f(x) dx = \log t + o(\log t), \qquad t \to \infty.$$
...
- 205
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-...
- 515
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 ...
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;\...
- 128k
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 ...
- 2,288
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
$$
0<\lim_{\beta\rightarrow 1}(1-\...
- 479
2
votes
0
answers
198
views
Continuous Local Martingales under time change under what conditions are they still local martingales?
This question is motivated by reading a section in Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor.
In Chapter V there is a section on time-change:
Definition:
A time change $C$...
4
votes
2
answers
654
views
Hypercontractivity of two simple random variables, $E[XY]^s \le E[X^s]E[Y^s].$
For $\alpha,\beta\ge 0$, let $X\in\{1,\alpha\}$ and $Y\in\{1,\beta\}$ be two random variables such that $$XY = \begin{cases}
\alpha\beta \quad & \text{with probability} \quad p_{11}\\
\alpha \quad ...
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
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
1
vote
1
answer
196
views
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 ...
- 99
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 ...
- 53
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^...
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 ...
- 640
2
votes
1
answer
289
views
On semi-discrete Wasserstein distance
Let $\mu(dx)=\sum_{i=1}^np_i\delta_{x_i}(dx)$ and $\nu(dy)=\rho(y)dy$ be two probability measures on $\mathbb R^d$, where $\nu$ has a bounded support. Consider the $2-$Wasserstein distance below:
$$...
- 345
1
vote
1
answer
632
views
Does sequence almost sure convergence imply almost sure convergence?
This is a cross-post of this and this questions from math.stackexchange.com since I have not received any response there. I would like to seek help here.
Suppose $x(t,\omega): [0,T]\times\Omega\...
- 2,239
7
votes
4
answers
3k
views
Upper bound of the expectation of sum of the absolute value pairs
We have two arrays $A,B$ of length $n$. All values are i.i.d drawn from same distribution on $[0,1]$. If we sort $A,B$ in non-decreasing order and let $A_{(i)},B_{(i)}$ denote the i-th value in the ...
user124861
5
votes
1
answer
279
views
Mixed norm inequality
Suppose we have a product space $(X_1\times X_2,\mu_1\otimes\mu_2)$, with finite measures $\mu_1,\mu_2$ and $p>1$.
Is there a possibility that an inequality of this form holds on the product space?
...
- 156
4
votes
0
answers
289
views
A uniform Riemann sum approximation of the integral of the Fejer kernels
Let $F_N(t)$ denote the Fejer kernel
$$F_N(t):={1\over N+1}{\sin^2\big({(N+1)}{t\over2}\big)\over \sin^2\big( {t\over2}\big)}\ .$$
Consider Riemann sums approximation for $\int_{-\pi}^\pi F_N(t) dt$ ...
- 136
1
vote
1
answer
399
views
I want to disprove an equality involving a double integral
I want to show that the following equality does not hold:
\begin{equation}\label{at3}
\frac{\lambda^2-1}{2}x^2-\int_{-\infty}^{\infty}\!\!\int_{-\infty}^{\infty}K(y_1,y_2,x)\ln g(y_1,y_2)dy_2dy_1=...
- 19
0
votes
0
answers
112
views
On certain integrals of exponential functions with respect to Gaussian measures
I have questions about the integral
$$F(a,b,c)=\sqrt{\frac{a}{\pi}}\int_{0}^{\infty}e^{-bx^4+cx^3-ax^2}dx$$
for $a,b,c>0$.
What is the asymptotic behavior of $F(a,b,c)$ for small $a,b,c$? In ...
- 505
2
votes
1
answer
250
views
Absolute continuity of infinite product of probability measures
Let $(A_i,\mathcal{B}_i,\mu_i)$ for $i=1,2,\ldots$ be a sequence of probability spaces. Let $\nu_i$ be another sequence of probability measures on the same underlying measurable spaces. Assume that $\...
- 404
2
votes
1
answer
103
views
Matuszewska Index and finite variance
Suppose there is a random variable, $X$, with finite variance, and c.d.f. $F(x)$. Does this imply that the upper Matuszewska index of $\bar F(x)$ exists and is strictly smaller than $-2$?
The upper ...
- 294
3
votes
0
answers
504
views
Continuity of the conditional expectation
Consider the conditional expectation of $x$ given $y$,
$$
\mathbb{E}(x | y)
$$
where $x \in X$ and $y \in Y$ where $X, Y$ are Hilbert spaces (possibly infinite dimensional).
Question :
I am looking ...
- 252
3
votes
1
answer
213
views
A really simple probabilistic inequality on the unit interval
Given a probability distribution on the interval $[0,1]$, is there any relationship between the quantity $$\sup_{S}{\mathbb{E}(X|X\in S)^{2}\Pr(X\in S)}$$ over all measurable subsets $S$, and the ...
3
votes
1
answer
461
views
Bounding the "spikiness" of a probability distribution
Are there any well-known conditions that guarantee that a probability distribution isn't too "spiky"?
I ask this question because I am interested in the families of probability distributions $f(x)$ ...
- 4,049
1
vote
0
answers
94
views
Measure of the boundary of the support of a certain function defined by an expectation
Suppose:
$\mathcal{S} = \{ S \in \mathbb{R}^d \ | \ S_i > 0, \forall i = 1,...,d \} $
$R$ is a random vector (on some probability space, $\Omega$) such that, $R: \Omega \to \mathcal{S}$.
$h : ...
- 111
8
votes
1
answer
391
views
On the limit of partial sum of infinite doubly stochastic matrix
Let $A=(a_{ij})$ be an infinite doubly stochastic matrix. Does there necessarily exist a subsequence $\{n_k\}_{k=1}^\infty$ such that
$$ \lim_{k\to\infty}\frac{1}{n_k}\sum_{i=1}^{n_k}\sum_{j=1}^{n_k}...
- 171
2
votes
1
answer
193
views
A question on the partial sum of infinite doubly stochastic matrix
Let $A=(a_{ij})$ be an infinite doubly stochastic matrix. Is the following statement true ?
$$
\lim_{n\to\infty}\frac{1}{n}\sum_{i=1}^n\sum_{j=1}^na_{ij} >0
$$
Any reference or comment on this is ...
- 171
3
votes
0
answers
240
views
About optimizing decay rate of Fourier transforms?
Suppose we have a density function $f(t)$ of a random variable and $f \in C^1(R)$. If characteristic function of $f$ is $\phi_f(x) \asymp O(x^{-\beta})$ and $f$ satisfies some restrictive conditions ...
- 31
3
votes
1
answer
113
views
maximum likelihood estimation of X is better than that of f(X)?
Consider a binary variable $C$ with $\Pr(C=0)=\Pr(C=1)=0.5$. Consider a random vector $X \in \mathbb{R}^d$, characterized by $C$, with PDF $p_m(x)$, $m\in\{0,1\}$. Define a maximum likelihood (ML) ...
- 482
3
votes
1
answer
113
views
Asymptotic expansion of nonlinear Gaussian transformation in terms of covariance
I'm reading this paper and on page 8 the authors state without proof an asymptotic expansion of a multivariate Gaussian integral in terms of the covariance obtained by applying what they call the "...
- 617
21
votes
2
answers
981
views
What is the optimal speed to approach a red light?
Suppose from distance $d$, while driving at speed $v_0$, I notice that there's a red traffic light in front of me. Suppose that there are no other vehicles, my vehicle has perfect brakes, my maximum ...
- 18.9k
1
vote
1
answer
357
views
Does CLT hold for joint distribution of two dependent binomial variables?
Let $S_n$ and $T_m$ be two binomial variables satisfying $S_n\sim B(n,\frac12)$ and $T_m\sim B(m,\frac12)$. Define $\tilde{S}_n=\frac{2S_n-n}{\sqrt{n}}$ and define $\tilde{T}_m$ similarly. For any ...
- 111
2
votes
0
answers
46
views
increasing inter-class distances results in decreasing linear regression error
Let $\{\mathbf{x}_i, y_i \}$ be a set of binary-labeled samples ($\mathbf{x}_i \in \mathbb{R}^d, y_i \in \{a,b\}, a,b\in\mathbb{R}$). Let $\{ \mathbf{x}'_i, y_i \}$ be also such a set.
Define $\mathbf{...
- 183