All Questions
Tagged with real-analysis pr.probability
388 questions
0
votes
1
answer
133
views
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 ...
- 1,245
0
votes
1
answer
557
views
Is the limsup or liminf of n-wise independent events independent?
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
0
votes
2
answers
106
views
Expected summation of dropped intervals?
For each $n\in\mathbb{N}$, let $I_n$ be an interval of length $1/2^{n}$. We drop each $I_n$ onto the interval $[0,1]$ uniformly at random (so that there is "wraparound" if need be). What is the ...
0
votes
1
answer
195
views
Existence of bounded $n-$th derivative of the solution of differential equation
This question is the copy from mat.stackexchange.com here. I requestioned here due to the very limited responses there.
Let $\phi:\mathbb{R}\mapsto\mathbb{R}$ be the standard normal density, $$\phi(x)...
- 133
0
votes
1
answer
359
views
a unique solution ? iteration involving conditional distributions
consider the following mappings, G and T,
$y(s) = Gx(s)=\exp\left[\sum_{s'}p(s'|s)\log x(s') \right]$
$z(s) = Ty(s)=\sum_{s'}q(s'|s)y(s')e^{-r(s')}$
where $0< x(s)\leq 1$ ,$r(s)<0$ , $s,s'\in ...
- 1
0
votes
1
answer
66
views
Does convergence in probability of iid samples imply convergence in measure of the sampled functions?
Let $g_i: [0, 1] \to \mathbb R$ be $L^1$ functions, equibounded in $L^1$ norm. Let $X_i$ a sequence of iid uniform random variables on $[0, 1]$. Suppose that
$$\frac{1}{n} \sum_{i = 1}^n g_i (X_i) \to ...
- 6,215
0
votes
1
answer
61
views
What can we say about the order of convergence of a critical point of Gaussian mixture density to its limit when the parameter $h$ goes to $0?$
Density of Gaussian mixture with $n$ components is given by:
$$f(x):=C \sum_{i=1}^{n}e^{-\frac{1}{2}||\frac{x-x_i}{h}||^2}, x_i \in \mathbb{R}^d, h > 0$$
where $C$ is a normalization constant ...
- 1,467
0
votes
1
answer
327
views
Deduce that a function is zero on interval $[0,M]$
I have been thinking about this for the last few days but I was not able to produce a definitive answer.
Take an integrable function $g$ that maps in $\mathbb{R}$ and with domain contained in $[0,M]$ (...
- 141
0
votes
1
answer
83
views
Functional relationship between two quantities
Let $\mu \in \mathbb R^n$ and let $\Sigma$ be a positive-definite matrix of order $n \ge 2$. Fix $t \ge 0$ and define $\alpha(\mu,\Sigma,t) > 0$ by
$$
\alpha(\mu,\Sigma,t) := \sup_{\|w\| = 1}\frac{...
- 6,853
0
votes
1
answer
307
views
Regularity properties of conditional distributions
Let $(X,Y)\in\mathbb{R}^n\times\mathbb{R}^m$ be a pair of random variables with joint density $p(x,y)$. I am interested in the regularity properties of the conditional densities $p(y|x)$ and $p(x|y)$ (...
- 23
0
votes
1
answer
159
views
Best bounds on the integral of an increasing function
The following question, somewhat edited here, was asked and then closed at The best bound of the integral of a nondecreasing real function in a closed interval.
Let $F\colon[0,1]\to[0,1]$ be a ...
- 128k
0
votes
1
answer
212
views
Expressing the measure of a set in terms of the characteristic function of the measure
Let $\mu$ be a discrete, finitely supported probability measure in $\mathbb{R}^d$ and denote by $\phi$ be the characteristic function of $\mu$, i.e. $\phi(t)=\mathbb{E}e^{i<t,X>}$, where $X$ is ...
- 2,288
0
votes
1
answer
96
views
Prove $x\mapsto\frac{E[f(X)1(f(X)\geq x X)]}{1+E[X1(f(X)\geq x X)]}$ is Lipschitz-continuous
Let $X$ be a random variable on $[0,A]$, and $f:[0,A]\to[-B_1,B_2]$ be a continuous function.
Let $$g(x) = \frac{g_1(x)}{g_2(x)}$$ where $g_1(x) = E[f(X)\mathbf{1}_{\{f(X)}]$ and $g_2(x) = 1+E[X\...
- 1
0
votes
1
answer
86
views
Integral rising from difference of chi-squared random variables
Let $X,Y$ be independent random variables such that $X\sim\chi_{n-1}^{2}, Y\sim\chi_{1}^{2}$ are chi-squared distributed (where $n\geq2$ is a natural number). I am trying to evaluate $\mathbb{P}[X\leq ...
- 109
0
votes
1
answer
146
views
Extension of subharmonic functions at infinity
Let $W$ be the complement of a compact set $K$ in $\mathbb{R}^{n}$, and $u$ a subharmonic function on $W$. Can we find, under some conditions, a function $\tilde{u}$ that is subharmonic on $W\cup\{\...
- 411
0
votes
1
answer
60
views
A question on the problem of Dirichlet 2
Let $U$ be an open set in $\mathbb{R}^{n}$ with $n\geq2$ and $V$ an open set containing the boundary $\partial U$ of $U$. Suppose $u$ is subharmonic on $V$. We know that the generalized solution of ...
- 411
0
votes
1
answer
217
views
Reproducing Kernel Hilbert Spaces with positive kernels
In my research I'm dealing with the following question.
Let $E$ set, $K:E \times E \to \mathbb R$ a positive type function, and $\mathcal H := \mathcal H(1+K)$ (in the sense of the Moore theorem). ...
- 11
0
votes
0
answers
73
views
Tight tail bounds for sums of random variables
Let $X_1, X_2, \dots$ be iid uniformly on $[0,1]$. Define $Z_i^{(a)} = (X_i - a)^2$. Let $Y_n = \sum_{k=1}^n Z_k^{(1/k)}$. I am interested in matching tail bounds for $Y_n$ as $n \to \infty$. In ...
0
votes
0
answers
63
views
Arrangements of fixed $k$-polyplets in a $n\times n$ matrix
Recently, I asked a question about the number of arrangements of $k$ elements inside a $n\times n$ matrix with certain restrictions. The one I´m actually interested in for this question is in its 2. ...
- 47
0
votes
0
answers
21
views
Unimodality of distribution from Lévy symbol
Also posted in MSE.
Assume that one want to study a distribution $f$ on $\mathbb{R}$ for which the Lévy symboln, i.e.:
$$
\forall u\in\mathbb{R},\quad\psi(u) := \log \mathbb{E}\left[e^{iuX}\right]
$$
...
- 393
0
votes
0
answers
49
views
ODE satisfied by a special function
Posted on MSE
Context
I would like to estimate the distribution of the difference of two inverse gaussian variables. The convolution doesn't lead to any special functions according to Mathematica . ...
- 393
0
votes
0
answers
73
views
Asymptotic stochastic ordering for weighted sum of i.i.d. random variables
Are you aware of any literature focusing on the conditions such that for two i.i.d. sequences of discrete r.v.'s $\{X_n\}$ and $\{Y_n\}$,
\begin{equation}
a_1X_1+a_2X_2+\ldots+a_nX_n\geq_1 a_1Y_1+...
- 19
0
votes
0
answers
84
views
Determining the tails of a convolution from its behavior on a compact set
Let $p$ be a smooth (say, $C^\infty$, but this is not crucial) density on the interval $I=[0,1]$ and $g_\sigma$ be the density of $N(0,\sigma^2)$. Define $f=p\ast g_\sigma$. To what extent does the ...
- 19
0
votes
0
answers
67
views
LLN of random nearest neighbor function
There are two samples of iid random variates: $X=\{X_1,X_2,...,X_n\}$ and $Y=\{Y_1,Y_2,...,Y_n\}$. Further, $\forall i,j: X_i$ is independent of $Y_j$. The probability distributions $P,Q$ are unknown ...
- 89
0
votes
1
answer
141
views
Arbitrarily bad rates of convergence in Wasserstein metric
Suppose $W_p(\mu_n,\mu)\to 0$ and $d(E(\mu_n),E(\mu))<r_n$. Here, $W_p$ is the $p$th-order Wasserstein distance (with respect to the metric $d$) and $\mu_n,\mu$ are probability measures on some ...
- 13
0
votes
0
answers
146
views
Does the following sequence $\{g_n\}$ converge?
Consider a function sequence $\{f_n(t)\}$ ($n\in\mathbb{N}^+$) defined on the interval $(\frac{1}{2},1)$, where
\begin{eqnarray}\label{eqn:constraint1}
f_n(t)=\frac{\exp\left(n\left(\log R(h_t) - th_t\...
- 550
0
votes
2
answers
156
views
Show that if $A_{0}(t)+A_{1}(t)W(t)=0$ for all $t$ with $A_{0}$ and $A_{1}$ differentiable in $t$ and $W(t)$ a Wiener process, then $A_{0}=A_{1}=0$
I am learning the quadratic variation of stochastic process, and I am working on an exercise stating that
If for all $t$, we have $$0=A_{0}(t)+A_{1}(t)W(t),$$ where $(A_{0}(t),\mathcal{F}_{t})$ ...
user157103
0
votes
0
answers
112
views
On certain integrals of exponential functions with respect to Gaussian measures
I have questions about the integral
$$F(a,b,c)=\sqrt{\frac{a}{\pi}}\int_{0}^{\infty}e^{-bx^4+cx^3-ax^2}dx$$
for $a,b,c>0$.
What is the asymptotic behavior of $F(a,b,c)$ for small $a,b,c$? In ...
- 505
0
votes
1
answer
186
views
Poisson kernel, $E^{(x, y)}\text{exp}\{i\theta X_t - \theta Y_t\} = e^{i\theta x - \theta y}$
Let $d = 2$, and consider the domain $D = \mathbb{H}$, the upper half-plane. Let $W_t = (X_t, Y_t)$. How do I see that for any $\theta \in \mathbb{R}$ and any $t \ge 0$, we have$$E^{(x, y)}\text{exp}\{...
user76167
0
votes
0
answers
145
views
Discrete measures and discrete kernels
This is a cross-post from math.stack. Let $d\in\mathbb N$ and $\mu$ be the probability measure on $\mathbb R^d$ defined by $\mu=\sum_{k=1}^\infty 2^{-k}\delta_{x_k}$ for some sequence $(x_k)_{k\in\...
- 215
-1
votes
1
answer
168
views
Space of distributions on $[0,1]^2$: weakly compact or not?
Let $X_1,X_2$ be distributions on $[0,1]$ and let $X=(X_1,X_2)$ be the joint distribution of $X_1,X_2$. Let $\mathcal{X}$ be the set of all such joint distribution $X$.
Question 1: Does $\mathcal{X}$ ...
- 349
-1
votes
1
answer
61
views
Asking for some references on correlations of joint optimization problems
Here are two problems that I am trying to understand, and it would be nice if someone could provide references on whether there is some structure theorem for these problems that have been studied in ...
-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?
-1
votes
1
answer
551
views
Lower bound of an expectation
Suppose a random variable $X$ has unit variance i.e. $\sigma^{2} = 1$. Is there a positive constant $c > 0$ such that
$$\mathbb{E}[\ | X - \mathbb{E}[X] | \ ] \ge c $$
My attempt of a solution is ...
- 643
-1
votes
1
answer
74
views
Example(s) where replacing a multivariate, discrete RV with a single, univariate RV fail
Let $X_1,\ldots,X_n,Y,Z$ be $n+2$ binary random variables and define $X=(X_1,\ldots,X_n)$. In most problems, instead of treating $X$ as $n$ distinct binary random variables, there is no loss of ...
- 1
-2
votes
1
answer
283
views
Does convergence in probability implies L^1 convergence in probability density function, for bounded random variables?
Let $X_1,X_2,\cdots$ and $Y$ be random variables on $[0,1]$ with smooth density functions $f_1,f_2\cdots$ and $f$. Suppose $X_n\to Y$ in probability. Can we get some convergence of the density ...
-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
-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