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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
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Expectation of top-K selection of squared Gaussian random variables
Let us have
$$
Z = [z_1, z_2, \dots, z_n],
$$ where $z_i \sim N(0, \sigma^2)$ and are iid. Additionally, consider
$$
X_k := \{ x \in \{0, 1\}^n : e^T x = k \}
$$ If $Y = \max_{X \in X_k} |Z^T X|^2,$ …