All Questions
Tagged with real-analysis pr.probability
388 questions
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=...
- 1,127
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 ...
- 125
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
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 ...
- 671
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 $w_i^\top X, \ldots, w_k^\top X$ ...
- 1,127
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
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
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<...
- 19.7k
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 ...
- 1,127
-6
votes
2
answers
2k
views
Is there a transformation or a proof for these integrals?
Here are certain weighted Gaussian integrals I have encountered for which numerical computation reassures equality.
Question. Is this true? If so, is there an underlying transformation or just a ...
- 43.2k
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 \...
- 1,127
8
votes
2
answers
5k
views
Proof of Karlin-Rubin's theorem
I asked this question on Math Exchange, but as I did not receive a successful answer, maybe you could help me.
Karlin-Rubin's theorem states conditions under which we can find a uniformly most ...
- 141
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]) \...
- 4,466
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 $\...
- 8,071
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
$$\frac1{\pi}\int_0^{\pi}\frac{\sin^n(x)}{\...
- 43.2k
3
votes
1
answer
156
views
How many steps do I have tto complete? Recursive sequence
Maybe it's a simple question... Fix a positive $N$. Let $a_{n}$ be the recursive sequence:
$$a_{1} = N$$
$$a_{n}=a_{n-1}-(a_{n-1})^{\frac{2}{3}}.$$
How many steps do I have to complete in order to ...
4
votes
0
answers
147
views
The asymptotic behavior of the ratio between the largest two of $n$ i.i.d. chi-square random variables
My question is about the asymptotic behavior of the ratio between the largest and second largest values of $n$ independent chi-square random variables.
Let $X_1, \ldots, X_n$ be $n$ independent and ...
- 1,127
3
votes
0
answers
1k
views
Concentration of Sub-exponential random Vectors
I was wondering if there is a similar definition of multivariate sub-exponential distribution as the sub-Gaussian case.
Specifically, a random vector $X \in \mathbf{R}^d$ is sub-Gaussian if
\begin{...
- 1,127
4
votes
0
answers
95
views
Approximating martingales given marginal distributions
Let $(\mu_0,\mu_1)$ be a vector of probability measures on $\mathbb R$ that are of finite first moment, i.e.
$$\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)],$$
where $X\in\mathbb{R}$ and $Y\in\mathbb{R}$ are Gaussian random variables with mean $0$ and variance $1$, and ...
0
votes
1
answer
172
views
Taking away the "almost sure" [closed]
Given an arbitrary sequence of random variables (or say measurable functions on a finite-measure space) $\xi_n$, one can show by a truncation and Borel-Cantelli argument that there always exists a ...
- 87
1
vote
0
answers
106
views
Improper integral of products and ratios of probability density functions
I am trying to find out whether the following integral is finite. The integrand consists of product of probability density functions.
$\int \frac{f(x_1,x_2, x_4^*)}{f(x_1^*,x_2, x^*_4)}\frac{f(x_1,...
- 11
7
votes
0
answers
393
views
Fixed radius mean value property implies harmonicity?
Let $f$ be a continuous real-valued function on $\mathbb{R}^n$. It is well known that the following are equivalent:
$f$ is harmonic.
$f$ satisfies the ball mean value property
$$
f(x)=\frac{1}{|B(x,r)...
- 527
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 ...
- 251
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 ...
- 271
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^...
- 1,127
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 $(\...
- 25.5k
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 ...
- 1,491
0
votes
1
answer
217
views
Reproducing Kernel Hilbert Spaces with positive kernels
In my research I'm dealing with the following question.
Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...
- 11
2
votes
0
answers
79
views
Compute Mixed Volume with Respect to Some Regular Sets
Let $( \mathbb{R}^n, \mathcal{B}, \gamma)$ be a measure space where $\mathcal{B}$ is the Borel sigma algebra and $\gamma$ is a continuous measure. For $A, B\in \mathcal{B}$ that are convex, the mixed ...
- 1,127
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....
- 1,127
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 ...
- 1,127
2
votes
1
answer
216
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 ...
- 1,649
2
votes
1
answer
363
views
Integration against Borel measures on compact Hausdorff spaces
I am studying the properties of integration against Borel measures and Baire measures. And I am not sure whether the following proposition is correct and I tried to give a proof.
Suppose that $X$ ...
- 165
1
vote
0
answers
143
views
stochastically decreasing sequence converges in distribution
Let $(X_i)_{i=1}^\infty$ be independent nonnegative integer valued random variables. Suppose that $X_n \succeq X_{n+1}$ (in the stochastic dominance sense). Does it follow that $X_n \overset{d}\to X$ ...
- 457
1
vote
0
answers
69
views
Norm-averaging reference request
(Apology in advance for the broadness of this question) I recently came across a relatively simple application where I needed to "balance" the "spreaded-out-ness" of a function with the "peaked-ness" ...
- 123
2
votes
0
answers
84
views
limit multiple integral
I want to know if $\lim_{T-> \infty}$ of this integral
$$ \frac{\sigma^{4}C_{H,K}^{2}}{4 T^{4HK}e^{2\theta T }}\\
\times \int\limits_{[0,T]^{4}}e^{\theta(t_{1}-s_{1})}e^{\theta(t_{2}-s_{2})}\left\...
- 31
3
votes
1
answer
105
views
How to show monotonocity and the limit? [closed]
Let me reformulate my recent question.
Let $n, N$ denote density and cdf of Gaussian distribution. Let us consider its modification, given by density:
$$\phi(x) = C\left\{ \begin{array}{lcc}
\sqrt{...
- 31
5
votes
2
answers
429
views
Does the truncated Hausdorff moment problem admit absolutely continuous solutions?
Let $\mu$ be a (Borel) probability measure on $[0,1]$ and define $m_j(\mu) = \int x^j\,\mu(dx)$. Let $k$ be a positive integer and consider the set $\mathcal C_{\mu,k}$ of probability measures $\nu$ ...
- 311
3
votes
0
answers
161
views
Inverses of probability generating functions: positivity of derivatives
Let $\mathcal{G}$ be the set of probability generating functions of random variables taking positive integer values, considered as functions on $[0,1]$.
So $G\in\mathcal{G}$ can be written $G(x)=\...
- 3,937
4
votes
3
answers
712
views
Measure of intersections in probability spaces
Let $(X,\mu)$ be a probability space, and $0<\epsilon<1/2$. Let $\{A_i:i\in \mathbb{N}\}$ be a collection of measurable subsets of $X$ such that $\mu(A_i)\geq \epsilon$ for all $i\in\mathbb{N}$.
...
- 167
2
votes
1
answer
383
views
Is this a log-concave function?
Let $(a_k)$ be a log-concave positive decreasing sequence. Is $\sum\limits_{k=1}^n a_k(1-e^x)^{k-1}$ log-concave in $x<0$, for each natural $n$?
- 79
2
votes
1
answer
144
views
Do we have independence if we let the indices of the events increase?
Let $(\Omega, \mathscr F, \mathbb P)$ be a probability space.
Consider events indexed by $m, n \in \mathbb N$:
$ \ \ \ \ \ \ \ \ \ \ \ A_{1,n}, A_{2,n}, A_{3,n} ...$ are n-wise independent.
$A_{m,1}...
- 247
2
votes
1
answer
169
views
Approximation of the cumulative normal distribution
As is well known, there is no explicit formula for $\int_{-\infty}^\infty step(t−x)\cdot e^{−t^2/2}dt=\int_x^\infty e^{−t^2/2} dt$ for generic $x,$ where $step(z)$ is the step function, $step(z)=1$ ...
- 2,390
1
vote
1
answer
166
views
Question abouth Skorokhod representation of random variables (II)
This is a continuation of
Question abouth Skorokhod representation of random variables
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R$ such that
$$\int_{\mathbb R}|x|^pd\mu(x),~ \...
- 1,835
4
votes
1
answer
161
views
Hellinger integral for the Student/Cauchy family
Let $p$ and $q$ be probability densities on $\mathbb R$, with respect to the Lebesgue measure $dx$. The corresponding Hellinger integral is
$H(p,q):=\int_{\mathbb R}\sqrt{pq}\,dx$.
Let now $p$ be ...
- 128k
3
votes
1
answer
304
views
Question abouth Skorokhod representation of random variables
It is known that for any two probability measures $\mu$ and $\nu$ on $\mathbb R$ that are close in the Prokhorov metric $\rho$, i.e.
$$\rho(\mu,\nu)<\varepsilon,$$
then there exist two random ...
- 1,835