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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.
0
votes
Gaussian approximation of the characteristic function of Rademacher sum
A general comment which admittedly doesn't answer the question: One cannot choose the $a_i$ so that the sum would be Gaussian. For one can break up the sum into two independent pieces, and necessarily …
1
vote
Is this statement of the Lévy–Khintchine formula ill-posed?
Apologies if this is an inappropriate place to post a comment (I am a newbie). But I wanted to mention that an easier to read treatment of infinite divisibility is Chapter 3 of the classic book by Gne …
4
votes
What concept does covariance formalise?
To add a few additional comments: Full statistical independence of two variables, say X and Y, is actually equivalent to the absence of correlation between f(X) and g(Y) for all functions f and g. And …
2
votes
Is there a way to reconstruct the convolution $(f * g)(x)$ of $f$ with a Gaussian $g$ from s...
I feel that a Fourier-based solution should be possible along these lines: Let $h(t)=\int f(x) \varphi (x-t) dx$ represent the convolution and $f(x)$ be sufficiently bounded. Using sampling rate $1$ f …