All Questions
Tagged with real-analysis pr.probability
388 questions
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 $\...
- 17k
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 ...
- 128k
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 ...
- 3,574
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 ...
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
$$ \lim_{k\to\infty}\frac{1}{n_k}\sum_{i=1}^{n_k}\sum_{j=1}^{n_k}...
3
votes
1
answer
213
views
A really simple probabilistic inequality on the unit interval
Given a probability distribution on the interval $[0,1]$, is there any relationship between the quantity $$\sup_{S}{\mathbb{E}(X|X\in S)^{2}\Pr(X\in S)}$$ over all measurable subsets $S$, and the ...
- 54.2k
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)$ ...
- 8,071
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 ...
- 1,172
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
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 ...
CommunityBot
- 1
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 ...
- 39k
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) ...
- 128k
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 "...
- 128k
12
votes
2
answers
812
views
Inequality in Gaussian space -- possibly provable by rearrangement?
The following problem arose for my collaborators and me when studying the computational complexity of the Maximum-Cut problem.
Let $f : \mathbb{R} \to \mathbb{R}$ be an odd function. Let $\rho \in [...
- 13.6k
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{...
2
votes
1
answer
165
views
If $Z$ is standard normal and $f$ is analytic. Is $g(t)= E[ f(Z-t)]$ analytic?
Let $Z$ be a standard normal.
Now define
\begin{align}
g(t)= E[ f(Z-t)]
\end{align}
where $f(x)$ is a real-analytic function and $|f(x)| \le x^4$.
Question:
Is it true that $g(t)$ is also a real ...
CommunityBot
- 1
5
votes
1
answer
305
views
Expectation of max of Gaussian multiplied by a functional of Gaussian
Let $X \in \mathbb{R}^{d}$ follows the standard Gaussian distribution $N(0, I_d)$. Let $Y = \max_{j\in[d] } X_j$. It is not hard to see that
\begin{align}
\mathbb{E}\left [ Y \cdot X\right] = \sum_{j=...
- 128k
3
votes
1
answer
188
views
Equivalent Definitions of the Gaussian Surface Measure for Regular Sets
I wonder if the following definitions of the Gaussian surface measure are equivalent.
First, let $\mathbb{R}^n$ be the Euclidean space and $A \subseteq \mathbb{R}^n$ be a sufficiently regular set, e....
- 17.2k
1
vote
1
answer
203
views
Why study the moment problem in one dimensional case( Hamburger moment problem)
I have been reading about moment problem and I have been curious about the following question.
What is the motivation for studying the Hamburger moment problem(one dimensional moment problem?
I ...
- 54.2k
7
votes
0
answers
549
views
Counter-example to the completeness of the Wasserstein metric
$\newcommand{\P}{\mathcal{P}}$
Let $(E,d)$ be a complete metric space, let $\P(E)$ be the set of all probability measures on $(E,\mathcal{B}(E))$. Let $W_d$ be the $1$-Wasserstein (Kantorovich) ...
- 931
7
votes
1
answer
624
views
Expectation involving maximum of Gaussian variables
Let $X\sim N(0, I_d)$ be a $d$-dimensional Gaussian random vector. Let $W_1, \ldots, W_k \in \mathbb{R}^d$ be $k$ fixed vectors in general positions. It is clear that $w_i^\top X, \ldots, w_k^\top X$ ...
4
votes
1
answer
225
views
Multivariate Zero-Bias Transform
The zero-bias transform for a univariate random variable $W$ is defined as a random variable $W^*$ satisfying
\begin{align}
\mathbb{E} [ W \cdot f(W )] = \mathbb{E} [ f' (W^*)]
\end{align}
for any ...
CommunityBot
- 1
2
votes
0
answers
86
views
when is the average of a function with Gaussian inputs bounded away from zero
Define a function $\phi(x):\mathbb{R}\rightarrow\mathbb{R}$. Consider the expected value function defined as follows
\begin{align*}
\mu(\beta)=E[g\phi
(\beta g)]\quad with \quad g\sim\mathcal{N}(0,1)\...
- 363
26
votes
4
answers
2k
views
$\binom{x}{2}+\binom{x}{4}+\cdots+\binom{x}{2u}$ is a convex function on $[0,+\infty)$?
Let $f(x)=\binom{x}{2}+\binom{x}{4}+\cdots+\binom{x}{2u}$, where $u\in\mathbb{Z}^+$ and $\binom{x}{l}=\frac{x(x-1)\dots(x-l+1)}{l!}$ for all $l\in\mathbb{Z}^+$.
Then can we prove $f(x)$ is a convex ...
- 3,255
3
votes
0
answers
109
views
Weak convergence of series representing the log characteristic function
Disclaimer. I already asked this question on math.stackexchange.com without any answers or comments as of yet.
In which weak sense does the series representation of the log-characteristic function ...
- 101
3
votes
1
answer
940
views
What is the mathematical characterization of sufficient statistics of a given $\sigma$-dominated probability model?
Given a probability model $\mathcal{P}=\{P_{\theta},\theta \in \Theta \}$ dominated by a $\sigma$-finite measure $\lambda$ (e.g. Lebesgue measure) on a locally compact space $\cal{X}$ along with $\...
CommunityBot
- 1
7
votes
2
answers
340
views
Sign-oscillations for power series with random coefficients
Let $p(x) = \sum_{k \geq 0} a_k x^k$ where the $a_k$'s are IID random variables taken from a mean-zero random variable taking finitely many values in $\mathbb{R}$; it clearly converges for $-1<x<...
- 96.4k
4
votes
1
answer
1k
views
For what nonnegative measures $\mu$ does $\mu*e^{-|\cdot|}\in L^{\infty}$?
I am trying to characterize all measures on $\mathbb{R}$ such that
$$
\sup_{x\in\mathbb{R}} \: (\mu*f)(x)<+\infty,
$$
where $f(x)$ is some specific integrable functions, such as $f(x)=e^{-|x|}$, ...
CommunityBot
- 1
-1
votes
1
answer
519
views
Poisson kernel is the Cauchy distribution, reference?
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Can someone give me a reference to a proof that the Poisson kernel is the Cauchy distribution?
CommunityBot
- 1
106
votes
5
answers
10k
views
integral of a "sin-omial" coefficients=binomial
I find the following averaged-integral amusing and intriguing, to say the least. Is there any proof?
For any pair of integers $n\geq k\geq0$, we have
$$\frac1{\pi}\int_0^{\pi}\frac{\sin^n(x)}{\...
CommunityBot
- 1
11
votes
2
answers
2k
views
Multi-dimensional moment problem
Let $\mu$ be a measure on $\def\r{\mathbb{R}}\r^n$, $1\le n \le \infty$. Given a (finite) multi-index $\bar{i} = (i_1, i_2, \ldots)$, one can define the moment
$$ m_{\bar i} = \int x_i^{i_1} x_2^{i_2}...
- 3,574
2
votes
1
answer
71
views
Distances between probability distributions by the variance of the test functions
Let $P$ and $Q$ be two probability distributions on $\mathbb{R}$. The goal is to obtain a notion of ``distance'' between $P$ and $Q$, e.g., total variation distance, K-L divergence.
Let $f\colon \...
- 29.8k
2
votes
1
answer
251
views
Automorphism on the unit interval compatible with a measure preserving set function
Cross-posting from math stack-exchange since it's not getting any visibility there.
I am given a function $F: \{[0, y]: y \in I\} \to \Sigma(I)$, such that $\lambda(F([0, y])) = y$, and $F([0, y]) \...
- 18.7k
3
votes
1
answer
156
views
How many steps do I have tto complete? Recursive sequence
Maybe it's a simple question... Fix a positive $N$. Let $a_{n}$ be the recursive sequence:
$$a_{1} = N$$
$$a_{n}=a_{n-1}-(a_{n-1})^{\frac{2}{3}}.$$
How many steps do I have to complete in order to ...
- 4,729
4
votes
0
answers
147
views
The asymptotic behavior of the ratio between the largest two of $n$ i.i.d. chi-square random variables
My question is about the asymptotic behavior of the ratio between the largest and second largest values of $n$ independent chi-square random variables.
Let $X_1, \ldots, X_n$ be $n$ independent and ...
- 24.8k
3
votes
0
answers
1k
views
Concentration of Sub-exponential random Vectors
I was wondering if there is a similar definition of multivariate sub-exponential distribution as the sub-Gaussian case.
Specifically, a random vector $X \in \mathbf{R}^d$ is sub-Gaussian if
\begin{...
- 1,127
4
votes
0
answers
95
views
Approximating martingales given marginal distributions
Let $(\mu_0,\mu_1)$ be a vector of probability measures on $\mathbb R$ that are of finite first moment, i.e.
$$\int_{\mathbb{R}}|x|\mu_i(dx)~<~+\infty \mbox{ for } i=0,1$$
and increasing in ...
- 1,835
2
votes
0
answers
63
views
Sensitivity of a function against its random arguments
Let $g:R^{n+m} \to R$ be a deterministic function of some independent random variables $x_1,\ldots,x_n$ with distributions $f_{x_1}(x),\ldots,f_{x_n}(x)$ and some deterministic variables $z_1,\ldots,...
- 482
3
votes
0
answers
228
views
Sub-multiplicative function in expectation or pointwise? [closed]
Consider the function that satisfies
$$ \mathbb{E}[f(X)f(Y)]\leq \mathbb{E}[f(XY)],$$
where $X\in\mathbb{R}$ and $Y\in\mathbb{R}$ are Gaussian random variables with mean $0$ and variance $1$, and ...
- 4,729
0
votes
1
answer
172
views
Taking away the "almost sure" [closed]
Given an arbitrary sequence of random variables (or say measurable functions on a finite-measure space) $\xi_n$, one can show by a truncation and Borel-Cantelli argument that there always exists a ...
- 5,169
1
vote
0
answers
106
views
Improper integral of products and ratios of probability density functions
I am trying to find out whether the following integral is finite. The integrand consists of product of probability density functions.
$\int \frac{f(x_1,x_2, x_4^*)}{f(x_1^*,x_2, x^*_4)}\frac{f(x_1,...
- 11
7
votes
0
answers
393
views
Fixed radius mean value property implies harmonicity?
Let $f$ be a continuous real-valued function on $\mathbb{R}^n$. It is well known that the following are equivalent:
$f$ is harmonic.
$f$ satisfies the ball mean value property
$$
f(x)=\frac{1}{|B(x,r)...
CommunityBot
- 1
4
votes
0
answers
141
views
Level sets of function of inner products of vectors on hypercube
Let $H = \{ 0, 1\}^d$ be the $d$-th Cartesian product of $\{0, 1\}$ in $\mathbb{R}^d$. Suppose $v_1, \ldots, v_k$ are $k$ vectors in $H$ in general position. We define function $F \colon H^{k}\...
- 1,127
1
vote
0
answers
447
views
Largest possible variance for log-concave distributions on a bounded interval
Let $f$ be the density of a log-concave probability distribution on the interval $[0,1]$ (with respect to Lebesgue measure). To be concrete, suppose that $f(x) = \exp( - \varphi(x))$, for some convex ...
CommunityBot
- 1
2
votes
1
answer
207
views
Expectation of Truncated Bivariate Gaussian Random Variables
Suppose $Z , \epsilon \sim N(0, 1)$ are independent Gaussian random variables. Let $a \ll 1$ be a small positive number. Let $W = aZ + \epsilon$. It can be show that
\begin{align}
\mathbb{E} [ W^2 (Z^...
- 61.9k
2
votes
1
answer
5k
views
Smooth Approximation of Indicator Function of Convex Sets in $\mathbb{R}^n$
Let $( \mathbb{R}^n, \| \cdot \|_P)$ be the $n$-dimensional Euclidean space equipped with $\ell_p$-norm $\| \cdot \|_p$ for some $p\in [1, + \infty]$. Let $A$ be a convex set in $\mathbb{R}^n$ and ...
- 489
6
votes
1
answer
1k
views
About the generating structure of Borel field
This is a graduate-level measure theory problem. I have thought throught it and asked on math.SE but received no satisfying answer.
On P.32 of [P.Billingsley] Probability and Measure, 3ed, 1993, the ...
CommunityBot
- 1
2
votes
0
answers
254
views
Prove this function is increasing
I'm stuck in showing that the following function is increasing over the domain $\left[0,\hat{b}\right]$:
\begin{eqnarray}
\Pi\left(z\right) & = & \int_{0}^{\phi\left(z\right)}\int_{x}^{\bar{x}...
- 21
4
votes
2
answers
436
views
Variation of Radon transform for probability measures on $\mathbb C$
Let $\mu$ be a probability measure on $\mathbb C$. For $z \in \mathbb C$, let $$f^z \colon \mathbb C \to \mathbb R_{\geq 0}$$ be the function $f^z(\lambda) = |\lambda - z|$. Consider now the family $(\...
- 11.6k
5
votes
1
answer
308
views
Density of convolution
Let $\{X_i\}$ be i.i.d random variables uniform on a measurable, symmetric set $A$ contained in $[-1,1]$. Let $g_{n}$ be density of $X_1+\ldots + X_n$.
Question (general): Is there any non-trivial ...
- 24.2k