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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

2 votes
1 answer
124 views

Entropy of distribution with block matrix support

Let $P(X_1,X_2)$ be a discrete bivariate distribution that has the form shown in the figure below, i.e. its support can be split into blocks that do not overlap on either dimensions. Let's build $P …
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  • 189
0 votes
1 answer
101 views

Realizations of alternative configurations

Consider a discrete distribution $P(\mathbf{X},Y)$ with $\mathbf X = \{ X_1, \dotsc, X_N \}$. I use the shorthand notation $p(\mathbf{x}, y)$ for $P(\mathbf{X}=\mathbf{x}, Y=y)$. Consider $P_\text{ind …
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  • 189
1 vote
1 answer
193 views

Identity for special case of Markov chain

Consider $P(X,Y)$ discrete and $Z = f(Y)$ with $f$ deterministic. The function $f$ identifies a partition of the elements of the alphabet $\mathcal{Y}$ of $Y$. Each outcome $z \in \mathcal{Z}$ is a su …
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  • 189