All Questions
Tagged with real-analysis pr.probability
388 questions
11
votes
1
answer
1k
views
Has anyone seen this series?
I come across the following infinite series.
$$
\sum_{n=1}^{\infty} \frac{t^n}{n!\: n^{a}}, \quad\text{for $t>0$ and $a>0$}.
$$
In particular, I am interested in the case where $a=1/4$.
...
- 1,649
3
votes
1
answer
171
views
Characterization of a set in $\mathbb{R}^d$
Let $X= (X_1,\dots, X_d)$ be a fixed vector of random variables on the space $(\Omega, \mathcal{F}, \mathbb{P})$. Consider the following set.
\begin{equation}\label{main12}
C= \{x\in \mathbb{R}^d ~|~ ...
- 57
4
votes
1
answer
1k
views
General version of Skorokhod representation of random variables
Let $F: \mathbb{R} \to [0,1]$ be cumulative distribution function (cdf). The standard way to build a random variable $\tau$ on $([0,1],\mathcal{B},\text{Leb})$ with $F$ as its cdf is using the ...
- 941
1
vote
3
answers
293
views
Lipschitz continuous maps from $\mathbb R^n$ to $\mathbb R^n$ that preserve Gaussian measure?
The only ones I can think of are linear maps like rotations and permutations. Is there a more general characterization?
- 41
1
vote
2
answers
226
views
Smooth but non-analytic kernel functions
Does there exist a (stationary) covariance kernel function which is $C^\infty$-smooth but not real analytic? If so, could you please provide an example?
- 8,512
4
votes
0
answers
428
views
Inverse of matrix-valued function
Given $c>0$. Let $\gamma_c:{\cal M}_{k \times k}^+\mapsto {\cal M}_{k \times k}^+$ is a function defined by
\begin{equation}
\gamma_c(\Omega)=\frac1{\sqrt{(2\pi)^{k}|\Omega|}}\int_{\mathbb{R}^k}\{(-...
- 133
1
vote
1
answer
918
views
Pros and cons of probability model for permutations
I am studying probability model of random permetuation
Let $b(n; k)$ denote the number of permutations of {1,...,n} with precisely k
inversions ($inv(\pi)$). The analytic approach was considered by L....
4
votes
1
answer
280
views
Approximation of an integral over the unit ball of L_1
For every $\varepsilon>0$ find a piecewise continuous function $q:[0,1]\rightarrow \mathbb{R}$ such that $\int_0^1 q(x)dx=1$ and
$$\int_{0}^1 \int_{0}^{s} \left|\frac{q(s)q(t/s)}{s}- \frac{q(t)q((s-...
- 4,705
3
votes
1
answer
403
views
Is there a probability density function providing the least expected value?
Fix constant reals $A>1$ and $D>0$. Let $f:\mathbb{R}\to[0,\infty)$ be a probability density function on $\mathbb{R}$, i.e. $\int_{-\infty}^\infty f(x)\, dx=1$, that is continuous almost ...
- 31
18
votes
2
answers
1k
views
An Entropy Inequality (generalized)
Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$. For $0\le \alpha \le 1$, set $K=\sum_i X(i)^\alpha Y(i)^{1-\alpha}$ so that $Z:=\frac{1}{K}X^\alpha Y^{1-\alpha}$ is also a probability measure ...
- 351
37
votes
3
answers
3k
views
An entropy inequality
Let $X,Y$ be probability measures on $\{1,2,\dots,n\}$, and set $K=\sum_i\sqrt{X(i)Y(i)}$ so that $Z:=\frac{1}{K}\sqrt{XY}$ is also a probability measure on $\{1,2,\dots,n\}$. How can we prove the ...
- 11.4k
1
vote
0
answers
416
views
When does a proper Zariski closed set have measure zero with respect to a conditional measure?
Assume we have a probability measure $\mu$ over $\mathbb{R}^d$ that is absolutely continuous with respect to Lebesgue measure.
Given $m$ polynomials $p_1,\ldots,p_{m}\in \mathbb{R}[x_1,\ldots,x_d]$ ...
- 61
16
votes
6
answers
3k
views
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 ...
- 2,239
2
votes
0
answers
263
views
A strange Weakly Compactness in $L^1 ( \Omega, \mathcal{F}, \mathbb{P})$
Hi to everyone,
The ingredients of my problem are the following:
I have a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, a set (continuum cardinality) $\mathcal{Q}$ of probability measures on $...
- 21
6
votes
2
answers
720
views
Local concentration of measure on Erdos-Rényi graph
Let $G_n=(V_n,E_n)$ be an Erdos-Rényi random graph, precisely the vertex set is $V_n=(1,\dots,n)$ and the edge set is $E_n=(ij\in\mathcal{P}_2(V_n)\ |\ \epsilon_{ij}=1)$ where $(\epsilon_{ij})_{ij}$ ...
- 293
10
votes
1
answer
1k
views
Extension of measures from the ball sigma-algebra to the borel sigma-algebra
Let $X$ be a metric space, $\Sigma_{1}$ the borel sigma algebra and
$\Sigma_{2}$ the sigma algebra generated by balls (open and closed).
If $\mu$ is a probability measure on $\Sigma_{2}$ can it be ...
- 307
9
votes
2
answers
519
views
The fraction of the sphere a fixed distance from a subspace
The following problem has a beautiful geometric interpretation in terms of the proportion of points on the Euclidean sphere in $\mathbb{R}^d$ that lie at least a certain distance away from a $k$-...
- 91
7
votes
2
answers
2k
views
Tails of sums of Weibull random variables
Suppose that $X_1, X_2, \ldots, X_n$ are i.i.d random variables distributed according to Weibull distribution with shape $0 < \epsilon < 1$ (it means that $\mathbf{Pr}[X_i \geq t] = e^{-\Theta(t^...
- 1,791
2
votes
1
answer
469
views
If two probability distributions have the same weak limit and one of them satisfies Large Deviation Principle, what can we say about the other?
If the probability distribution function of two sequences of random variables have the same weak limit and one of the sequences satisfies a Large deviation principle, then does it imply that the other ...
- 3,245
10
votes
2
answers
9k
views
When do maximum and expectation commute?
Hi, I'm looking for conditions on $G(t,x)$ such that
$$
\sup\limits_{t\in [0,1]}E[G(t,X)]=E[\sup\limits_{t\in [0,1]}G(t,X)]
$$
where $X$ is a random variable (it's easy to see that $\sup\limits_{t\in [...
- 111
5
votes
3
answers
349
views
minimum of two probability densities
Consider a smooth probability density $\pi(x)$ on $\mathbb{R}^d$. I am looking for natural for the integral $\iint_{u,v} \ \min\big(\pi(u), \pi(v) \big) \ du \ dv$ to be finite. If $\pi$ is a radially ...
- 2,133
32
votes
4
answers
4k
views
Is a random subset of the real numbers non-measurable? Is the set of measurable sets measurable?
One might say, "a random subset of $\mathbb{R}$ is not Lebesgue measurable" without really thinking about it. But if we unpack the standard definitions of all those terms (and work in ZFC), it's not ...
- 2,200
4
votes
2
answers
1k
views
Reducing system of equations involving Erf, Error Function
I have a system of equations:
$$1/2 + {\rm Erf}(x) - {\rm Erf}(\frac{x+y}{2})=0$$
$$-1/2 + {\rm Erf}(y) - {\rm Erf}(\frac{x+y}{2})=0,$$
Where $x \le y$ and ${\rm Erf}$ is the Error Function.
By ...
- 123
7
votes
3
answers
4k
views
Is a semicontinuous real function Borel measurable?
Let $f(x,u): [0,1]^2 \mapsto \mathbb{R}$ be a continuous
function.
[Q] Is $g(x) = \inf_{u\in [0,1]} f(x,u)$ always Borel measurable?
If not, can one find a counter-example?
Note that, for any $c$,
...
- 1,399
1
vote
1
answer
978
views
Concentration bound for weakly dependent random variables
Hi,
Suppose we observe a sequence $R_1, ..., R_T$ of iid. random variables that equal $0$ with probability $p$ and with probability $1-p$ are sampled from a distribution with expected value $E(R) >...
- 53
11
votes
2
answers
2k
views
Multi-dimensional moment problem
Let $\mu$ be a measure on $\def\r{\mathbb{R}}\r^n$, $1\le n \le \infty$. Given a (finite) multi-index $\bar{i} = (i_1, i_2, \ldots)$, one can define the moment
$$ m_{\bar i} = \int x_i^{i_1} x_2^{i_2}...
- 12.8k
3
votes
0
answers
211
views
Elementary analysis: reference request
Given the continuous maps $[0,\infty) \to \mathbb R$ define the following "truncation at level $K$ operator", $T$:
$T(f)(t) = f(\min(t, S_f))$, where $S_f = \inf \{ s : f(s) \ge K \}$
So essentially ...
- 2,895
-3
votes
1
answer
332
views
Convergence Question [closed]
If $\alpha _{n}\rightarrow \alpha$, then how does one show that for any j=1,2,... and $\epsilon> 0$, if $sup\int \left | x \right |^{j+\epsilon }d\alpha _{n}<\infty$, then $\int x^{j}d\alpha _{n}...
- 1
5
votes
1
answer
878
views
Numerically finding a Mercer expansion for a given covariance kernel
Let $c(r)$ be a nice, continuous function with compact support. For example, $c(r) = \tfrac 1 5 (1-r)^{11} \big( 5 + 55r + 239 r^2 + 429 r^3 \big)$ for $r \in [0,1]$, and $c(r) = 0$ otherwise.
On ...
- 8,512
5
votes
0
answers
369
views
Independent Events Inducing Probability Measures
Let $\mathcal{F}$ be a sigma algebra over $\Omega$ and $M$ the set of all probability measures on $\mathcal{F}$. Let $\mathcal{C}$ be some collection of pairs $(A,B)$ with $ \ A,B\in\mathcal{F}$. Now ...
- 4,952
5
votes
1
answer
781
views
Does a log-concave function on a convex set extend continuously to the boundary?
Let $U$ be an open convex set in a locally convex space $X$, and let $f : U \to [0,1]$ be a log-concave function on $U$ (i.e., bounded and real-valued). Under what conditions does $f$ have a ...
- 8,512
9
votes
1
answer
958
views
Quantitative bounds for multivariate central limit theorem
For the univariate central limit theorem, the Berry-Esseen theorem gives a quantitative bound on the rate of convergence of distributions to the Normal distribution under Kolmogorov distance:
https://...
- 93
9
votes
2
answers
616
views
construction of a random measure with a given mean
Let me first pose a trivial question.
Given a Borel probability measure $\mu$ on the real line, is it possible to construct a purely atomic random measure $M$ whose mean is $\mu$?
The answer is ...
- 1,839
20
votes
3
answers
2k
views
Do convex and decreasing functions preserve the semimartingale property?
Some time ago I spent a lot of effort trying to show that the semimartingale property is preserved by certain functions. Specifically, that a convex function of a semimartingale and decreasing ...
- 17.1k
4
votes
1
answer
346
views
approximately linear functions -- more
Suppose $f,g$ are continuous functions from $\mathbb R$ to $\mathbb R$, with the property that
$$f(x)+f(y)=g(x+y)$$
for all $x,y$. Taking $x=y=z/2$ implies that $g(x)=2f(x/2)$ so that the above ...
- 123
7
votes
1
answer
2k
views
approximately linear functions
i suppose it's fairly well known that if a (continuous, real-valued) function $f$ on the real line satisfies
$f(x-y)=f(x)-f(y)+const$
then it is necessarily linear.
are there any general ...
- 123
0
votes
1
answer
359
views
a unique solution ? iteration involving conditional distributions
consider the following mappings, G and T,
$y(s) = Gx(s)=\exp\left[\sum_{s'}p(s'|s)\log x(s') \right]$
$z(s) = Ty(s)=\sum_{s'}q(s'|s)y(s')e^{-r(s')}$
where $0< x(s)\leq 1$ ,$r(s)<0$ , $s,s'\in ...
- 1
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 [...
- 6,694