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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.

10 votes
3 answers
2k views

Random Walks on high dimensional spaces

I've read on a paper that, in the two dimensional case, if you start from the origin and take steps of length one in arbitrary directions (uniformely on the unit sphere $S^1$, not left-right-up-down), …
Alfred's user avatar
  • 899
4 votes
1 answer
293 views

How sensitive are probability distributions to noise?

I'm trying to prove a result but I'm stuck at the very end of it: I'm having troubles understanding how noise propagates when considering a probability distribution. In other words, if I inject some n …
Alfred's user avatar
  • 899
2 votes
1 answer
213 views

Are Linear Maps resistant to Noise?

Let's assume I have a $m \times m$ matrix $M$ with Frobenius norm $1$ and a unit vector $x \in S^{m-1}$. I also have a second $m \times m$ matrix $M^*$ which is obtained from the first one plus some i …
Alfred's user avatar
  • 899
1 vote
1 answer
168 views

Expected norm of linear maps

I want to compute the expected norm of a vector-matrix multiplication. I have a vector $x \in \mathbb{R}^n$ with norm one and a matrix $M \in \mathbb{R}^{n \times n}$, whose entries are iid taken from …
Alfred's user avatar
  • 899