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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.
1
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1
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75
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Limiting value of Stieltjes transform of sum of independent Wishart matrices
Let $n_1$, $n_2$, and $d$ positive integers tending to infinity such that $d/n_k \to \phi_k \in (0,\infty)$ and $n_1/(n_1+n_2) \to p \in (0,1)$. Let $X_k$ be an $n_k \times d$ random matrix with iid r …
0
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1
answer
97
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RMT for modified Wishard matrix $Y'Y$ (where $i$th row of $Y$ is zero if $|x_i^\top u| \le \...
Let $n$ and $d$ be positive integers tending to infinity such that $d/n \to \phi \in (0,\infty)$. Let $X$ be an $n \times d$ random matrix with iid rows $x_1,\ldots,x_n$ from $N(0, \Sigma)$, where $\S …
0
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0
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84
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Stein's Lemma for conditional expectation?
Let $X=(X_1,\ldots,X_d)$ be a standard normal random vector in $\mathbb R^d$, let $m:\mathbb R^d \to \mathbb R$ be a function, and let $E=E_m$ denote the expectation operator conditioned on $m(X) > 0$ …
0
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0
answers
42
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Limiting value of trace of resolvent matrix involving two independent Wishart random matrices
Let $n_1$, $n_2$, and $d$ be positive integers tending to infinity such that
$$
d/n_k \to \phi_k \in (0,\infty).
$$
Let $X_1 \in \mathbb R^{n_1 \times d}$ and $X_2^{n_2 \times d}$ be independent rando …
4
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1
answer
368
views
Sufficient condition for a probability distribution on $\mathbb Z_p$ to admit a square-root ...
Let $p \ge 2$ be a positive integer, and let $Q \in \mathcal P(\mathbb Z_p)$ be a probability distribution on $\mathbb Z_p$.
Question. What are necessary and sufficient conditions on $Q$ to ensure th …
1
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0
answers
57
views
Limiting value of expectation of trace of truncated Gram matrix
Let $n$ and $d$ be large positive integers such that $d/n = a \in (0,1)$, fixed. Let $x_1,\ldots,x_n$ be iid random vectors from $N(0,I_d)$. Fix $b \in (0,1]$ and a unit-vector $v \in \mathbb R^d$, an …
1
vote
2
answers
218
views
Beating the $1/\sqrt n$ rate of uniform-convergence over a linear function class
Let $P$ be a probability distribution on $\mathbb R^d \times \mathbb R$, and let $(x_1,y_1), \ldots, (x_n,y_n)$ be an iid sample of size $n$ from $P$. Fix $\epsilon,t\gt 0$. For any unit-vector $w \in …
1
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0
answers
129
views
Large-deviation inequalities for a class of simple random multivariate polynomials
Let $N$ be a large positive integer and let $[N] := \{1,2,\ldots,N\}$. For any $k$, let $K_{N,k}$ denote the collection of $k$-element subsets of $[N]$. Let $x=(x_1,\ldots,x_N)$ be a uniformly random …
1
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0
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86
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Large deviation inequalities for number of coupon types collected by a coupon collector with...
In the generalized Coupon Collector's Problem, there are $N$ types of coupon, and for any $i \in [N] := \{1,2,\ldots,N\}$, $p_i \ge 0$ is the probability of obtaining a type-i coupon on any trial. Thu …
1
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1
answer
280
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Rate of convergence to uniform distribution
Let $p=(p(1),\ldots,p(N))$ be a discrete distribution on $[N]:=\{1,2,\ldots,N\}$ with full support (i.e all the $p(i)$'s are strictly positive and sum to $1$). Let $i_1,i_2,\ldots,i_T$ be an iid sampl …
2
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0
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96
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Limiting value of $\dfrac{1}{m}\mathrm{tr}(FAF^\top (FBF^\top)^{-1})$, where $F$ has iide $N...
Let $F=F_{m,d}$ be a random $m \times d$ matrix with iid entries from $N(0,1)$. Let $A=A_d$ and $B=B_d$ be deterministic $d \times d$ positive-definite matrices. In case it helps, it may be assumed th …
1
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0
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68
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Limiting value of expectation of $\operatorname{tr}(BR(z))$, where $R(z) := (X^\top X - z I_...
Let $A=A(d)$, and $B=B(d)$ be (sequences of) deterministic positive-definite $d \times d$ matrices and let $X$ be an $n \times d$ random matrix with iid rows from $N(0,A)$. Let $R$ be the resolvent of …
2
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0
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119
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Large deviation principle for product of iid bounded symmetric random variables
Let $n$ and $k$ be positive integers. Let $X$ be the empirical mean of $n$ iid Rademacher random variables. Note that the distribution of $X$ is symmetric about 0, and also $|X| \le 1$ w.p 1. Let $X_1 …
1
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1
answer
195
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Concentration of a certain simple / well-structured random multilinear polynomial with growi...
Let $k$ and $N_1$ be positive integers and set $N=kN_1$. Partition $[N] := \{1,2,\ldots,N\}$ $k$ disjoint from $G_1,\ldots,G_k$ of each of size $N_1$, and let $\mathcal T(k,N_1)$ be a transversal of t …
4
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2
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291
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Concentration of minimum Hamming distance between $N$ points sampled iid from uniform distri...
Let $n$ be a large positive integer. Sample $N \ge 2$ points $x_1,\ldots,x_N$ iid from the uniform distribution on the $n$-dimensional hypercube $\{0,1\}^n$. Define the gap $\delta_{N,n} := \min_{i \n …