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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
134 views

Linear transformation of random vector has bounded moments?

Suppose that the random vector $\mathbf{y}=(Y_1, Y_2,\ldots, Y_p)^{\top}$ satisfies: $\mathbb{E}(Y_i) = 0$, $\mathbb{E}(Y_i^2)=1$ for any $1\leqslant i \leqslant p$; $\mathrm{Cov}(Y_i,Y_j)=0$ for $i\ …
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5 votes
1 answer
282 views

Maximal inequality of iid random variables $\{X_{ij}\}_{1\leqslant i,j \leqslant n}$

Suppose that $\{X_{ij}\}_{1\leqslant i,j\leqslant n}$ are iid random variables with $\mathbb{E}(X_{11})=0$ and $\mathrm{Var}(X_{11})=1$, does the following convergence hold: $$ \max_{1\leqslant j\le …
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  • 81