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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.

20 votes
Accepted

Choosing a relative large density subsequence from a low density sequence

The answer is no. This is a good illustration of a reasoning principle identified explicitly in Gowers, W. T., The two cultures of mathematics, Arnold, V. (ed.) et al., Mathematics: Frontiers and pers …
Terry Tao's user avatar
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16 votes
Accepted

Probability vector $p$ majorizes its normalized entropy vector $\small \frac{-p\log p}{H(p)}$

This appears to be the case, but I was forced to rely on a somewhat complicated inequality on two real variables that looks quite plausible numerically, though I do not have a 100% rigorous proof of i …
Terry Tao's user avatar
  • 114k
9 votes
Accepted

Where has this structure been observed?

This is an infinite commutative diagram on $M$ (viewed as a category with a single object $\bullet$). $\require{AMScd}$ \begin{CD} \vdots @. \vdots @. \vdots\\ @VVR_y(0,2)V @VVR_y(1,2)V @VVR_y(2,2)V …
Terry Tao's user avatar
  • 114k
6 votes

Free probability: A unitary group heuristic for the relationship between additive free convo...

One can get a certain way towards this goal via a sort of "dimensional analysis". This isn't a completely satisfying heuristic argument - in particular, it only partially specifies what compression m …
Terry Tao's user avatar
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9 votes
Accepted

Joint distribution of minor of Wigner Hermitian matrices

There is certainly no asymptotic independence between $\det M_{11}, \det M_{22}$. From the base times height formula for parallelepipeds we see that \begin{align*} \frac{|\det M_{12}|}{|\det M_{22}|} …
Terry Tao's user avatar
  • 114k
38 votes

If $X$ and $Y$ independent and identically distributed, then $E(|X-Y|)\leq E(|X+Y|)$. Are ot...

Shorn of probabilistic language, this inequality follows from the assertion that $|x+y|-|x-y|$ is a positive semi-definite kernel, and is therefore the sum (or integral) of squares. Your Fourier-anal …
Terry Tao's user avatar
  • 114k
5 votes

Has the technique of "sprinkling" been used in studying random matrices?

The continuous comparison method of Knowles and Yin, Knowles, Antti; Yin, Jun, Anisotropic local laws for random matrices, Probab. Theory Relat. Fields 169, No. 1-2, 257-352 (2017). ZBL1382.15051. fol …
Terry Tao's user avatar
  • 114k
28 votes
Accepted

Is there a noncommutative Gaussian?

The theory of classical independence and classical convolution can be generalised to noncommutative settings in several ways. The most famous one is that of free independence and free convolution (int …
Terry Tao's user avatar
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7 votes
Accepted

Distribution of some sums modulo p

Using the Newton identities, one can (in the high characteristic regime $p>k$) express the elementary symmetric polynomial $\sum_{i_1 < \dots < i_k} a_{i_1} \dots a_{i_k}$ in terms of the moments $\su …
Terry Tao's user avatar
  • 114k
19 votes

Heuristic lower bounds on small sums of roots of unity

One heuristic is to replace the $n^{th}$ roots of unity by $n$ iid elements $\zeta_1,\dots,\zeta_n$ of the unit circle, drawn uniformly at random. For any sum $\zeta_{i_1} + \dots + \zeta_{i_k}$ of $ …
Terry Tao's user avatar
  • 114k
11 votes
Accepted

Lower-bound for smallest eigenvalue of random $k \times $k matrix $C(W)$ defined by $C(W)_{i...

We have $$ C(W) = 2 A \circ A + v v^\top$$ where $v$ is the vector with entries $\|w_i\|^2$, $A$ is the Wishart matrix with entries $w_i^\top w_j$, and $\circ$ is the Hadamard product. From the Schur …
Terry Tao's user avatar
  • 114k
11 votes

Discrete entropy of the integer part of a random variable

Using (say) decimal notation, ASCII encoding, and a delimiter symbol such as a space or comma, as well as the law of large numbers, one can almost surely encode $N$ independent copies of $\lfloor X \r …
Terry Tao's user avatar
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3 votes
Accepted

How typical are integer isometries on a hypercube? Littlewood-Offord problem for Bernoulli G...

By the Chernoff bound, we see that for each $1 \leq i < j \leq m$, one has $u_i \cdot u_j = O(\sqrt{n})$ with probability at least $1-\frac{1}{10m^2}$ (say), where implied constants are allowed to dep …
Terry Tao's user avatar
  • 114k
21 votes

Can random variables that almost surely solve equations be repaired to surely solve these eq...

After chasing down references relating to the paper of Shelah mentioned by Will Brian, I now have a satisfactory answer to the question. It all hinges on whether there is a splitting of the quotient …
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5 votes
Accepted

Convex combination iid Bernoulli random variables

To complement my other answer, I will show Proposition 1 Let $\xi_k$ be a finite number of iid Bernoulli random variables of expectation $p > 1/2$, and let $a_k > 0$ be real numbers. Then ${\bf …
Terry Tao's user avatar
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