All Questions
Tagged with reference-request pr.probability
792 questions
1
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308
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Proof of the Dunford-Pettis theorem in the context of probability spaces
I'd like to know if there's a proof of the Dunford-Pettis theorem without using relatively advanced theorems of functional analysis such as Eberlein–Smulian Theorem. Since I'm only interested in ...
CommunityBot
- 1
1
vote
0
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38
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Can conditional distributions with respect to a sufficient sub-$\sigma$-algebra be represented by a single Markov kernel?
Let $(\Omega, \mathcal{F})$ be a measurable space, and let $\mathcal{P}$ be a collection of probability measures on this space. A sub-$\sigma$-algebra $\mathcal{G} \subset \mathcal{F}$ is said to be ...
- 111
3
votes
2
answers
545
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Intensity and compensator for a jump process
Set-up and assumptions. Let $(\mathscr{F}_t, t \geq 0)$ be a right-continuous complete filtration. Let $(X_t, t\geq 0 )$ be a pure jump $\mathbb{R}$-valued process with unit jumps, that is,
$$
X_t = \...
10
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2
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1k
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Simple proof of sharp constant in DKW inequality
The DKW inequality says that if $F_n$ is the empirical CDF corresponding to real-valued random variables $X_1, \dots, X_n$ distributed identically and independently from a distribution with CDF $F$, ...
CommunityBot
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2
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1
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147
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Lower bound in the singularity of random Bernoulli matrices
Let $A_n$ be a random $n \times n$ matrix with entries in $\{-1, +1\}$. As usual, "random" here means with respect to the uniform measure over such matrices.
The strong version of the ...
- 188k
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3
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3k
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Is there a probability theory developed in intuitionistic logic?
Since Boole it is known that probability theory is closely related to logic.
According to the axioms of Kolmogorov, probability theory is formulated with a (normalized)
probability measure $\mbox{...
CommunityBot
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31
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Looking for a citation for this simple generalization of the Markov bound to non-negative super-martingales
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \...
- 183
4
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0
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219
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Conditional distribution of steps of random walk given the sum
Set-up. Consider a random walk $S_n=\sum_{i=1}^n X_i$, where $\{ X_i, 1\leq i < \infty \} $
is a sequence of i.i.d. random variables with distribution $\mu$, $\mathbb{E}X_1 = 0$. Let $a > 0$.
...
- 724
3
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1
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405
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Moments of a random variable related to uniform distribution on sphere
Let $u$ be taken uniformly from the unit sphere $\mathbb S^{n-1}$ and $D$ be a diagonal matrix. I'd like to find a general formula for
$$
\mathbb E[(u^\top D u)^m]
$$
for $m=1,2,3, \dots$, in terms of ...
- 188k
3
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0
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129
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A Talagrand inequality for the supremum of partial sums over function classes under dependence. (Reference request)
As a consequence to the Talagrand concentration inequality, it is well known that for a measurable space $(S,\mathcal{S})$ and an i.i.d. sample $X_1,...,X_n$ of $S$-valued random variables, if $\...
- 141
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42
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Sub-Gaussian analysis via bounded decomposition?
Let $\psi_\alpha(x) := \exp(x^\alpha)-1$.
The Sub-Gaussian Norm $\lVert X \rVert_{\psi_2}$ of a random variable $X$ is defined as
$$
\lVert X\rVert_{\psi_2} = \inf\{c>0\mid \mathbb{E}[\varphi_2(|X|/...
- 2,183
11
votes
1
answer
500
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Uncountable families of measurable sets with pairwise positive intersections
Let $(X,\mathcal{B},\mu)$ be an arbitrary finitely additive probability measure space, let $a>0$ and let $(A_i)_{i\in I}$ be an uncountable family of subsets with measure $\geq a$.
Is there an ...
- 10.6k
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150
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What are alternative mathematical definitions of observers beyond Bennett and Hoffman's framework?
Motivation:
This question is inspired by a talk from Avi Wigderson given on Randomness, where the idea that the randomness is in the eye of the observer is suggested.
In the study of information ...
- 3,064
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2
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222
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Reference to get quickly to modern discrete probability theory
I've had some formal training in Analysis - Functional Analysis, Basic Operator Algebra - and I've started working on probability - specifically Combinatorial Statistical Mechanics and Spin-Glasses. ...
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74
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Asymptotically small submatrices of random matrices
Consider an ensemble of $N \times N$ random Hermitian matrices distributed according to some unitarily invariant measure
$$P(M) \mathrm{d}M = \frac{1}{Z_{N}} e^{-\mathrm{tr}[ Q(M)]}\mathrm{d}M,$$
for ...
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-1
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1
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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 ...
- 12.7k
8
votes
1
answer
428
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Wishart matrices: are eigenvalues and eigenvectors independent?
Let $W = X^TX$ denote a standard Wishart matrix, i.e., where $X$ is a Gaussian random matrix with iid standard Normal entries.
In this case we can write $W = U D U^T$, where $U$ is orthogonal and $D$ ...
- 1,295
2
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1
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79
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What is weak convergence of random permutons?
In various papers on permutons you can find statements similar to this (see Maazoun's thesis)
For any $n$ let $\sigma_n$ be a random permutation of size $n$. TFAE:
$(\mu_{\sigma_n})_n$ converges in ...
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3
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1
answer
135
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Concentration of sample median for iid Gaussians
Let $X_1, \dots, X_n$ be iid according to $\mathcal{N}(0, 1)$, and let $M_n$ be the median of the $X_1, \dots, X_n$. I recall reading a concentration inequality for $M_n$ that was (roughly) as follows:...
- 75
2
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83
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Random time change and ergodicity
I guess it is a standard question in ergodic theory but I failed to find any reference to similar problems and I have no clue on how to tackle it.
Let $(B_{t})_{t\in \mathbb{R}}$ be a standard ...
- 3,065
4
votes
1
answer
175
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Looking for J.-C. Deville technical report from 2000
Yves Tillé's book Sampling Algorithms mentions several times a technical report by J.-C. Deville:
J.-C. Deville (2000), Note sur l’algorithme de Chen, Dempster et Liu, Tech.
rept. CREST-ENSAI, Rennes....
- 82.7k
1
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1
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56
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How to study the convergence of the sample mode for arbitrary probability spaces
(This is not the problem I actually care about, but an analogy with similar issues to the problem I'm actually considering.)
Consider a probability space with i.i.d. random variables $X_i$ producing ...
- 128k
2
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0
answers
205
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When should the empirical measure of an infinite sequence be defined?
Let $(x_n)_{n \in \mathbb{N}}$ be a (deterministic) sequence of nonnegative reals, possibly even with $x_n \in \mathbb{N}$ if you prefer. Then we'd like to define the empirical measure of such a ...
- 6,406
4
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0
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87
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Statistics of random Voronoi S-tessellations
Given a locally finite set of points $\{x_1,x_2,\dots\}\subset\mathbb{R}^d$, the Voronoi cell of a point $x_{i}$, denoted by $C(x_{i})$, consists of all the points in $\mathbb{R}^d$ that are closer to ...
27
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7
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9k
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Why are two "random" vectors in $\mathbb R^n$ approximately orthogonal for large $n$?
I saw that two random independent vectors are approximately orthogonal in high dimensional space.
How can I prove this?
And is there an intuitive explanation?
Thank you.
- 111
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1
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950
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Uniformization/measurable selection theorems
Let $X,Y$ be measurable spaces and $F\subseteq X\times Y$. We say that $f:X\to Y$ is a uniformization map for $F$ if $(x,f(x))\in F$ for each $x\in \pi_X(F)$ where $\pi_X$ is the left projection map. ...
- 660
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0
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114
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An urn model with weighted objects and replacement
Consider the following game:
In an urn, there are $K$ balls, $x_0$ of them are blue and light (mass $m_0$), $x_1$ are blue and heavy ($m_1$), $x_2$ are red and light ($m_2$), the rest $x_3$ are red ...
- 31
2
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1
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153
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Interpolation theorem for general rough paths
In Friz and Hairer's notes on rough paths, there is exercise 2.9 which is called the "interpolation theorem". It says that if you have a sequence of rough paths $\mathbf X^n=(X^n,\mathbb X^n)...
- 1,904
16
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5
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3k
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Simple random walk on a locally finite graph: when is it recurrent?
I'm giving a talk tomorrow about a result in computer science which I recently proved. It's a recurrence-transience result on a random process which is related in spirit to a simple random walk. My ...
- 6,711
2
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1
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202
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Strong Liouville property of virtually abelian groups
Let $G$ be a finitely generated group and let $\mu$ be a symmetric non-degenerate measure on $G$. By strong Liouville property for $(G, \mu)$, we mean that every positive $\mu$-harmonic function on $G$...
- 2,090
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127
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A "resampling identity" for the Bessel(3) process
I've come across the following resampling identity and was wondering if this is known since it seems rather natural. Take $X$ a two-sided Brownian motion conditioned to always stay below $1$. (So if ...
- 10.3k
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43
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Moments on the Stiefel manifold
Let $S_{n, k} = \{V \in \mathbb{R}^{n \times k} : V^T V = I_k\}$ denote the Stiefel manifold, $1 \leq k \leq n$.
Let $P \in \mathbb{R}^{n \times n}$ denote a symmetric real, positive definite matrix, ...
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2
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1
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What are some (popular) references on variants of the classical gambler's ruin problem that exists in literature?
It is fascinating that the gambler's ruin problem which is so ubiquitous in modern probability theory (cf. the Levin-Peres text on Markov chain and Mixing Times) actually dates back to a letter from ...
- 188k
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0
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149
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Reference book for a probability course
In the next months I am planning to deliver a (more-or-less) advanced course in probability theory. My students will have had already a first encounter with discrete probability theory (discrete ...
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1
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177
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Optimization over Poisson-binomial distributions
I am studying the problem of how an expected utility maximizer should optimally form a portfolio of uncorrelated Bernoullis.
Fix an increasing sequence of $n$ numbers in $(0,1)$, $0<p_1<\dots<...
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2
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1
answer
81
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Rate of convergence of random samples wrt Hausdorff distance
Let $X$ be a compact metric space with a probability measure $\mu$. We can draw random samples $X_n = \{x_1,\cdots, x_n\}$ from $X$ using $\mu$, and I am interested in the rate of convergence of $X_n$ ...
- 171
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0
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85
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When is a family of distributions "closed" with respect to minimal sufficient statistics?
As in the title, I am interested in understanding how to express the idea that a parametric family of distribution is "closed" with respect to minimal sufficient statistics. Before giving ...
2
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1
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170
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Law of large numbers for a continuum of Bernoullis
Suppose I have a family of $n$ independent Bernoulli random variables described by a vector of parameters $(p_i)_{i=1}^n$. As it is well known, the number of successes within this family is a random ...
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330
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Book recommendation in functional analysis and probability
I am interested by functional analysis and probability. I would like to know if you have any books that deal with these two subjects (at a graduate level) to recommend?
I'm looking for a book that has ...
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3
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60
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Comparison theorem for SDEs driven by a continuous martingale
Consider the well-known comparison theorem for SDEs, versions of which appear in several textbooks, e.g., Karatzas and Shreve, Proposition 5.2.18, or Revuz and Yor, Theorem IX.3.7.
The result states ...
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4
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1
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122
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Borel measures on the Martin boundary and the Poisson-Martin representation theorem
I have been studying the construction of the Martin boundary on a discrete set $X$ admitting an irreducible transient random walk $(X,P)$ from Wolfgang Woess' book titled "Random Walks on Infinte ...
- 17k
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0
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89
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Stein's Lemma for conditional expectation?
Let $X=(X_1,\ldots,X_d)$ be a standard normal random vector in $\mathbb R^d$, let $m:\mathbb R^d \to \mathbb R$ be a function, and let $E=E_m$ denote the expectation operator conditioned on $m(X) > ...
- 6,853
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2
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223
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Measures with superexponential moments on finitely generated groups
Let $\Gamma$ be an infinite finitely generated group and let $\nu$ be a measure on $\Gamma$ which generates a transient random walk. I was reading this paper, and the authors prove many of their ...
- 2,090
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0
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74
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References for a class of Banach space-valued Gaussian processes
Let $E$ be a separable Banach space, consider a centered $E$-valued Gaussian process $\{x_t,t\ge 0\}$ that satisfies
\begin{equation}
\mathbb{E}\phi(x_s)\psi(x_t)=R(s,t)K(\phi,\psi),\quad \phi,\psi\in ...
- 835
4
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1
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204
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How probability-rich is the $\sigma$-algebra generated by a sequence of sets? (Sierpiński's theorem on non-atomic measures without using the AoC.)
$\newcommand\F{\mathcal F}\newcommand\si{\sigma}\newcommand\Om{\Omega}\newcommand\ep{\varepsilon}$Let $p\in(0,1)$ and let $(\Om,\F,P)$ be a probability space. Let $(A_n)$ be a sequence in $\F$ such ...
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0
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43
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Definition of "interval of continuity" for function defined on sets
At the beginning of Chapter 8 of Kubilius's Probabilistic Methods in the Theory of Numbers, the author defines $Q=Q(E)$ to be a completely additive nonnegative function defined for all Borel subsets $...
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0
votes
0
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37
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Compatibility of 2-copulas
An $n$-copula is the joint distribution function of a distribution on $[0,1]^n$ with uniform marginals. A family of 2-copulas $(C_{i,j})_{i<j\leq n}$ is compatible if there exists an $n$-copula $\...
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1
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0
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92
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Modulus of Continuity, Heat Flow, and Derivative Estimates
Given $f : \mathbf{R}^d \to \mathbf{R}$, define $P_t f$ by
\begin{align}
(P_t f)(x) = \mathbf{E} \left[ f (x + \sqrt{t} G) \right],
\end{align}
where $G \sim \mathcal{N} (0, I_d)$ is a standard ...
- 801
0
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0
answers
92
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MDP Average Reward independent of Initial State
Consider a Markov Decision Process where the state space $S$ and the action space $A$ are continuous and compact.
In state $s$, if action $a$ is chosen and the next state becomes $s'$, the ...
- 115
4
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0
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80
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Does this filtration have a name?
In the context of Ethier&Kurtz Markov Processes: Characterization and Convergence (Chapter 4, equation (3.2)) as well as the two papers Martingale problems for conditional distributions of Markov ...
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