Questions tagged [st.statistics]
Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
1,754
questions
2
votes
0
answers
24
views
Projection of log-concave distribution on unit sphere surface
Let $\mathbf X : \Omega \to \mathbb R^d$ be a random vector following a zero mean, identity covariance log-concave distribution.
Is there any known upper bound for the probability density function of $...
- 121
1
vote
1
answer
43
views
Poisson Process x SIR model
Consider the simplest SIR model:
$$S'=-a SI$$
$$I'=a SI - b I$$
$$R'=b I$$
It is known that the waiting time of an infeccious person in the compartment $I$ follows an exponential behavior with rate $b$...
- 115
1
vote
1
answer
84
views
Positivity of linear combination of gaussian variables
Consider a collection of independent standard Gaussian variables $w_i$ for $i = 1, 2, \ldots, N$. Define its linear combination $f:=\sum_{i=1}^Na_iw_i+b_i$, where $a_i=pb_i$ ($p$ is a fixed parameter),...
- 13
1
vote
0
answers
18
views
Using Dudley Integral to estimate maximum singular value of Gaussian random matrices [migrated]
On Exercise 5.14 of Wainwright, it provides a way to estimate maximum singular value of Gaussian random matrices using the one-step discretization bound and Gaussian comparison inequality as shown.
...
- 71
-1
votes
0
answers
48
views
Upper bound for the partial sum of weighted binomial coefficients
Suppose $n$ is a natural number and $n_0 = q n$ for some positive $q \in (0, p)$. I am interested in finding a tight upper bound for the following partial summation:
$$
\sum_{x > n_{_0} }^n \...
- 319
1
vote
2
answers
140
views
Anti-concentration of gaussian variable
Let $X$ be $\mathcal{N}(\mu,\sigma^2)$ gaussian. Its expectation $\mu$ is positive. Can we derive a lower bound on
$$\mathbb{P}(X\geq\epsilon)\geq g(\epsilon,\mu,\sigma) \text{ where } \epsilon\leq\mu$...
- 143
0
votes
0
answers
29
views
Stationarity of ARMA-like time series
It is well known that for $X_t \sim ARMA(p,q)$ where $\phi(B)X_t = \theta(B)Z_t, Z_t\sim WN(0, \sigma^2)$, if $\phi(z)\neq0$ in the unit circle, $\{X_t\}$ is stationary.
Now assume $\{Y_t, t=0, \pm1, ....
- 71
5
votes
2
answers
195
views
Probability of winning game whereby $T+1$ heads in a row of a coin flip is required to win where $T$ is the number of cumulative tails flipped
I have a weird question which probably seems out of place here but it has proven more difficult than anticipated. I am going to describe the game without showing work toward a solution. Numerically, ...
user504691
2
votes
1
answer
148
views
Approximation to ratio distribution
Recently I was thinking if there is a way to do the following: assuming I have some sampled points of distribution $\mathcal{X}$ and distribution $\mathcal Z$ (whose MGF I do not have in closed form) ...
- 41
0
votes
1
answer
51
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 ...
- 1,223
2
votes
0
answers
71
views
A complex problem involving densities (likelihood functions) and optimization
Consider the following autoregressive process with normal errors:
\begin{equation}\label{7YlUV4i8nuO}\tag{I}
y_t = \phi y_{t-1}+ u_t, \quad u_t \overset{iid}{\sim} N(0,\sigma^2)
\end{equation}
We ...
- 217
2
votes
1
answer
81
views
Weighted sum of two random variables ranked by first order stochastic dominance
Suppose $X$ and $Y$ are two non-negative, independent random variables such that $X \succcurlyeq_{st} Y$. That is, $X$ first-order stochastically dominates $Y$. Suppose that $X$ and $Y$ have smooth ...
- 533
-1
votes
0
answers
31
views
Bound the variance of the largest order statistics among discrete random variables
I have a question about bounding the variance of order statistics.
Given that for $i \in \{1,\cdots,\lambda\}$, denote $Bin(s,\frac{1}{n})$ to be a binomial random variable with success probability $\...
- 1
1
vote
1
answer
34
views
Covariance inequality for left skewed distributions
Consider a left skewed random variable $X$ with mean $1$, median $>1$ and support on $[0,2)$. Suppose we have a class of functions $\mathbf{G}$ and each of it's members satisfy $G(x): [0,\infty) ...
- 45
0
votes
1
answer
47
views
Optimal hypothesis testing uses sufficient statistics?
Cross post Optimal hypothesis testing uses sufficient statistics?.
In statistical estimation with any convex risk for a model with a sufficient statistic, in seeking optimal estimators it suffices to ...
- 95
0
votes
0
answers
51
views
The limit spectral distribution of the random matrix $(\hat{\Sigma}_1+\hat{\Sigma}_2)^{-1}\hat{\Sigma}_1$
Let $S_1$ and $S_2$ be the collection of i.i.d. copies of $X\sim\mathcal{N}(0,I_p)$, where $|S_1|=n_1,|S_2|=n_2$. Let $\hat{\Sigma}_1$ and $\hat{\Sigma}_2$ be the covariance matrix using samples in $...
- 183
1
vote
1
answer
41
views
Is the main part of certain exponential family sub-Gaussian?
$X$ is in the form of exponential family i.e.
$$\mathbb{P_\theta}x = h(x)e^{\langle \theta,T(x)\rangle-\phi(\theta)}$$
where $\theta\in \mathbb{R}^d$. If $\nabla\phi(\theta)$ is L-Lipschitz i.e.
$$\...
- 71
0
votes
1
answer
67
views
Spectral norm of matrices of bounded random variables
Assume $A\in \mathbb{R}^{n\times n}$ with each entry being i.i.d. bounded r.v. in $[a,b]$, is $\Vert A\Vert_2$ is sub-Gaussian?
Intuitively, since $\{A_{ij}\}_{i,j=1,...,n}$ is bounded, then
$$\Vert A ...
- 71
2
votes
2
answers
95
views
Continuity of Nash equilibrium for a family of games
The question may be too vague, but ultimately in search of various (counter)examples or theorems to exhibit the following:
Do continuous families $t\mapsto G_t$ of "games" (say each $G_t$ is ...
- 16.4k
4
votes
0
answers
263
views
When is $\prod_{i=0}^\infty (I-x_i x_i^T)=0$ for zero-centered Gaussian $x_i$?
Suppose $x_i\in \mathbb{R}^d$ is sampled IID from $\mathcal{N}(0,H)$. Let $A_i=(I-x_i x_i^T)$ and assume $d$ is large. What are necessary conditions for the following to converge with probability 1?
$...
- 2,118
1
vote
1
answer
167
views
Converse of the Herbst argument?
Background
For a real-valued random variable $X$, define its entropy by $H(X) = E[\phi(X)] - \phi(E[X])$, where $\phi(u) = u \log u$.
It can be shown that, if the entropy satisfies the bound
$$
H(e^{\...
- 133
1
vote
1
answer
90
views
Bounding Kullback-Leibler
Suppose we have a probability distribution $P$ on a finite set $S$. We draw $N$ i.i.d. samples according to $P$ and use these samples to define an empirical distribution $R$. We measure the Kullback-...
- 3,640
0
votes
2
answers
207
views
What mathematical formalism might be used to disprove natural selection, on the basis that there are too many independent genetic parameters? [closed]
I have nagging doubts that the random genetic mutation process of natural selection is sufficient to explain evolution, even when coupled with sexual selection (Darwin proposed that evolution is ...
- 41
4
votes
0
answers
29
views
Quantifying error in the reconstruction of convex polytopes from moments
The problem of reconstructing a geometric object from its moments is of interest in a variety of fields. In the paper The Inverse Moment Problem for Convex Polytopes, the authors show that a convex ...
- 131
7
votes
1
answer
218
views
A reference for a sum found in Gould's Combinatorial Identities book
On p. 49 in Gould's book Combinatorial Identities, the author states that the sum $$\sum_{k=0}^{n-1}(-1)^k\binom{n}{k}\binom{2n}{2k}^{-1}$$ "... arises naturally in a statistical problem; it ...
- 103
3
votes
1
answer
187
views
When is $\prod_{i=0}^\infty (I-x_i x_i^T)=0$ for isotropic Gaussian $x_i$?
Suppose $x_i$ is sampled IID from isotropic zero-centered Gaussian random variable in $d$ dimensions with covariance $\Sigma=c*I$. When is the following true with probability 1?
$$\prod_{i=0}^\infty (...
- 2,118
1
vote
0
answers
74
views
Distribution of norm over projected unit vectors
I am interested in the distribution of norms of projected unit vectors, for a particular class of projections. We first draw an $n$-dimensonal unit vector $v=X/||X||$ where $X=(X_1,X_2,\cdots, X_n)$ ...
- 11
2
votes
0
answers
40
views
Convergence of minimiser of empirical risk to minimiser of population risk
Let $X_1, \dots, X_n \sim \mu$ be some random elements of a space $\mathcal{X}$. Let $H$ be a Hilbert space of functions $f: S \to \Re$ with norm $\|\cdot\|_H$.
Let $\|f^*\|_{L_2(\mu)} < \infty$ ...
- 305
0
votes
1
answer
72
views
Analogues of Kac-Bernstein characterisation theorem for non-normal distributions
Let $X,Y$ be two independent random variables.
The Kac-Bernstein theorem states that if $X+Y,X-Y$ are also independent, then $X,Y$ are Normal.
Are there analogues of this theorem for non-normal, ...
- 421
0
votes
0
answers
51
views
Norms of Wigner matrices under power law decay
Suppose $\Sigma=\operatorname{diag}(h)$ where $h=(1^{-p},2^{-p},3^{-p},\ldots,d^{-p})$ and $p> 1$
$X$ is a matrix with $b$ rows sampled independently from $\operatorname{Normal}(0,\Sigma)$
Suppose $...
- 2,118
0
votes
2
answers
135
views
Upper bound about Gaussian tail bound
From the definition of sub-Gaussian distribution $X$ w.r.t. $\sigma$ i.e.
$$\mathbb{P}(|X-\mathbb{E}(X)|\geq t) \leq 2 \exp(-\frac{t^2}{2\sigma^2}).$$
It's natural that when $X \sim \mathcal{N}(\mu, \...
- 71
3
votes
0
answers
73
views
Question on an integral inequality
I am reading van de Vaart and Weller, Weak Convergence and Empirical Processes With Applications to Statistics. And I am stuck in the proof of Theorem 2.6.7 on page 141.
For simplicity I restae the ...
- 53
0
votes
0
answers
53
views
Kernel density estimation is sub-gaussian
Let $X_1, ..., X_n$ be i.i.d. samples drawn from a pdf $f(x)$ on the real line. The kernel density estimator is defined as follows,
$$\hat{f_n}(x) = \frac{1}{nh}\sum_1^n K(\frac{x-X_k}{h})$$
where $K:\...
- 71
2
votes
1
answer
48
views
p.d.f. of exponential family
I have a question about the p.d.f. of exponential family. Suppose $(X,\mathcal{F})$ is a measurable space and $\{F_{\theta},\theta\in \Theta\}$ is a distribution family on $(X,\mathcal{F})$. When $\{...
- 53
1
vote
0
answers
89
views
When is the solution to a Fredholm integral equation a PDF?
I have two questions about inhomogenous Fredholm integral equations of the first kind:
$$f(x) = \int_a^b K(x,t) g(t) dt$$
where $f, K$ are known and $g$ is not.
If a unique solution for $g$ exists, ...
- 111
0
votes
0
answers
99
views
Using projections to determine equidistribution
Suppose I have a collection of points on $\mathbb{S}^{n-1} \subset \mathbb{R}^n.$ I want to know that they are equidistributed (if you want to be more precise, you have a sequence of such collections, ...
- 94.7k
3
votes
0
answers
78
views
Asymptotic approximation of Fisher information matrix for small Gaussian perturbation
Let
$$
X=Y/a+b+\epsilon Z,
$$
where $Y\sim\operatorname{Poisson}(\lambda)$ and $Z\sim\mathcal N(0,1)$ are independent. Also define $\theta=(\lambda,a,b,\epsilon)$. The Fisher information matrix
$$
...
3
votes
0
answers
40
views
Make inference on parameter $\lambda$ in Box-Cox transformation by MLE method
The original form of the Box-Cox transformation, as appeared in
their 1964 paper, takes the following form: $$y(\lambda )=\begin{cases}\frac{y^{\lambda}-1}{\lambda}, & \lambda \neq 0\\ \log(y), &...
- 1,108
2
votes
1
answer
128
views
Can we use Bernstein's inequality without knowledge of variance?
I have a question about Bernstein’s inequality for bounded random variables.
Its statement is the following. Let $X_1, \ldots, X_N$ be independent, mean zero random variables with $|X_i| \leq K \ (i = ...
- 133
3
votes
1
answer
115
views
Existence of disintegrations for improper priors on locally-compact groups
In wide generality, the disintegration theorem says that Radon probability measures admit disintegrations. I'm trying to understand the case when we weaken this to infinite measures, specifically ...
- 8,222
2
votes
1
answer
69
views
VC-based risk bounds for classifiers on finite set
Let $X$ be a finite set and let $\emptyset\neq \mathcal{H}\subseteq \{ 0,1 \}^{\mathcal{X}}$. Let $\{(X_n,L_n)\}_{n=1}^N$ be i.i.d. random variables on $X\times \{0,1\}$ with law $\mathbb{P}$. ...
- 89
1
vote
1
answer
76
views
Asymptotic expansion on the following integral of exponential function
I wish to obtain the asymptotic for the following integral
$$
\int_{r: \|r\|\le 1} \exp(M\cdot a^Tr) \, dr,
$$
where $a$ is a given vector in $\mathbb{R}^d$, $\|\cdot\|$ is a general norm function and ...
- 21
3
votes
1
answer
167
views
Local maxima of the sum of Gaussian functions in *multiple dimensions* are always strict local maxima - prove/disprove/prove conditionally?
This is a follow up of the question in one dimension, that asked to show that the all the maxima of the sum of Gaussian
$$f_n(x):= \sum_{i=1}^{n}e^{-(x-x_i)^2}, x_1 < x_2 < \dots < x_n$$
are ...
- 1,223
1
vote
1
answer
93
views
Local maxima of the sum of Gaussian functions in *one dimension* are always strict local maxima - proof?
Motivated by this question asked earlier, I was wondering whether one can prove easily that the local maxima of the sum of Gaussians:
$$f_n(x):= \sum_{i=1}^{n}e^{-(x-x_i)^2}, \quad x_1 < x_2 < \...
- 1,223
0
votes
0
answers
55
views
Support function of the intersection of a hyper-ellipsoid and a Euclidean ball
Le $\lambda_1 \ge \lambda_2 \ge \ldots \ge \lambda_d$ be positive numbers. For any $x \in \mathbb R^d$ and $r \ge 0$, define $\gamma(x,r) := \sup_{z \in E(r)}x^\top z$, where
$$
E(r) := E \cap B_2^d(r)...
- 6,338
3
votes
2
answers
140
views
Precise asymptotics for moments of order statistics of normal distribution
Let $X_1, \cdots, X_n \sim N(0,1)$ be i.i.d. normal random variates. I am interested in understanding the first two moments of the quasi-range $X_{(n)}-X_{(n-1)}$ (i.e., the maximum value minus the ...
- 151
2
votes
0
answers
41
views
Probability bounds of some ranked version of Dirichlet distribution
Recently I have come across a distribution defined on the open ranked simplex $\nabla^{n-1}_+ = \{\vec x \in \mathbb{R}^n:\sum_{k=1}^n x_k =1, x_1 \geq x_2 \geq \cdots \geq x_n > 0\}$, whose ...
- 21
9
votes
1
answer
485
views
Popular mistakes in probability
$\DeclareMathOperator\Var{Var}\DeclareMathOperator\Bern{Bern}\DeclareMathOperator\Pois{Pois}$Question: What not-trivial mistakes do students often make when solving problems in probability theory, ...
-1
votes
1
answer
59
views
Under which conditions Mean Square Continuity implies Sample Continuity for Gaussian Processes?
First, let us give the setting.
Let $(\Omega, \Sigma, \mathbf{P})$ be a probability space, let $T$ be some interval of time, and let $X: T \times \Omega \rightarrow S$ be a stochastic process.
By Mean ...
- 103
0
votes
0
answers
31
views
Verifying if this Gaussian mixture is a regular parametric model
*I am not sure if this question is better-suited for here or the MSE.
According to A Tutorial on Fisher Information (pg. 40), for so-called regular parametric models we have
$$
\sqrt n(\tilde\theta-\...