Modern theory of probability is formulated on the footing of measure theory. Use this tag if your question is about this theoretical footing (for example probability spaces, random variables, law of large numbers, central limit theorems, and the like). Use (probability) for explicit computation of ...

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uniform convergence of characteristic functions

Assume that a sequence of probability measures $\mu_n$ converges weakly to $\mu$. Let $\phi_n$ and $\phi$ denote respetively the characteristic function of $\mu_n$ and $\mu$. Prove that $\phi_n$ ...
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Is multiplication normally/binomially distributed?

I was thinking about the binomial formula in the context of coin flips and got to thinking about the reason that even though HHHHHHHHHH is just as likely to occur as a sequence as HHHHHTTTTT, 5 heads ...
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1answer
8 views

verifying whether a conditional density function is valid

I want to verify whether a given conditional probability function is valid or not. $\mathsf P(y\mid x)=\begin{cases}c\, e^{(-y/x)} & : y\geqslant 0, x>0;\\ 0 & ...
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1answer
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Introduction to Measure-theoretic Probability George Roussas. example 4 page 1

I am reading Introduction to measure-theoretic Probability George Roussas. example 4 page 1 says: Let $\Omega$ be infinite (countably or not) and let $\mathcal{C}= \lbrace A \subseteq \Omega;A$ is ...
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Expected Return, Expected Value, and an Ito Process

I am reading John Hull's "Options, Futures, and Other Derivatives". I am currently in Ch. 31 on the HJM Model. Hull makes a statement which a need an explanation for. First, some notation. Let ...
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The expected value of a random vector when the X_is are independent

$ \DeclareMathOperator{\var}{var} \DeclareMathOperator{\cov}{cov} $ The components of a random vector $\mathbf{X} = [X_1, X_2, \ldots, X_N]^{\intercal}$ all have the same mean $E_X[X]$ and the same ...
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1answer
30 views

How can I prove that without further assumptions Chebyshev's Inequality can not be improved?

I have found some examples on the web for specific random variables such $X$ (a discrete type) with probabilities $1/8$, $3/4$ and $1/8$ at the points $x=-1,0,1$ with $\mu=0$ and $\sigma=1/2$. Then, ...
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A minimization question about the convexity of KL-divergence

Let $f_1$ be a continuous density function which is given and consider the closed ball around $f_1$: $$\mathcal{G}=\left\{g:\int g(x) \ln\frac{g(x)}{f_1(x)}\mathrm{d}x \leq \epsilon\right\}$$ ...
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1answer
8 views

Bernoulli trials case in probability

A fair die is tossed twice. About how many times would you expect to roll 3 or greater? So based on sequence of Bernoulli trials: P(exactly k successes in n trials) = C(n,k) p^k q^(n-k) where p = ...
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probability distribution function of two independent variables

Let $X$ be a random variable whose distribution function is $F_X(t)=3^{-t}$. Suppose that $Y$ is another random variable whose distribution function is $F_Y(t)=4^{-t}$. What is the probability that at ...
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Probality Theory [on hold]

I would like to ask 3 questions about Probality theory. 1) Is there any research being done in Probality theory? 2) Which are the best universities to master in Probality Theory? 3) What a carreer ...
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1answer
22 views

Expected Service Times for truncated exponential

I'm trying to solve a problem where all arriving items (arrival exponential $\lambda = 1/5$) are divided into into groups, those who are served within 5 units of time and those who have their service ...
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16 views

Soft: Interesting examples of applications of the Itô–Nisio theorem

I'm writing up a presentation on the Itô–Nisio theorem and I'm looking for a simple (nontrivial) example showcasing it. I was thinking of a 2-dimensional simple random walk, but that seems ...
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1answer
20 views

How to prove that the sequence of random variables converges to a random variable?

If $Z_1,Z_2,\cdots,Z_n$ are random variables such that $Z(\omega)=\lim_{n \to \infty}Z_n(\omega)$ exists $\forall \omega \in \Omega$, then $Z$ is also a random variable. I was reading a book on ...
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1answer
16 views

Conditional expectation constant on part of partition

I have a question about conditional expectation, while looking for the answer here on stackexchange I noticed that there are a few different definitions used, so I will first give the definitions I ...
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1answer
25 views

characteristic function differentiation

Let $\mu$ be a probability measure on $\mathbb{R}$. Then the characteristic function is: $$ \varphi: \mathbb{R} \rightarrow \mathbb{C} \;\;\ \varphi(t):=i\int_\mathbb{R} e^{itx}d\mu(x) $$ Prove with ...
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1answer
40 views

The probability that $3$ random points on the circumference form a right-angled triangle?

In my probability theory course, I dealt with a similar problem which asks for the probability that $3$ random points on the circumference of a circle lie on the same semi-circle. But it makes me ...
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1answer
34 views

Gaussian distributions - a question about convergence

Let $\mu_n$ be Gaussian distributions with mean $0$ and standard deviation $1/n$ and $f$ a function. It may be true that if $\underset{\mathbb{R}}{\int} f \mu_n dx \rightarrow ...
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Proving that Poisson distribution is well-defined

I'm trying to prove that a Poisson distribution is a well-defined probability distribution -- i.e. that the sum of probabilities over all possible values is one. Since the distribution takes on ...
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1answer
19 views

is it true that conditional expectation Y to X is a function of X?

I mean, is it true that $E(Y|X) = \phi(X)?$ if so, how should we derive the form of X?
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29 views

Modes of convergence in infinite direct sums of $L^{2}$ spaces

It is known that if a sequence of random variables converges in norm then there exists a subsequence which converges almost surely. That is: let $\left(X_{n}\right)_{n\in\mathbb{N}}\subseteq ...
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1answer
24 views

Expectation over 2 random variables, help needed

Hi I am new here and I hope I can get some help. My question is about taking expectation over random variables. Lets say I have two random variables $\Xi$ and $\theta$ where $\Xi$ is for example a ...
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1answer
49 views

In frequentism, does every event have a probability?

For an infinitely repeatable trial with event space $\Omega$, and an event $A\subseteq \Omega$, the frequentist probability of $A$ is defined: $P(A):= \lim_{n\rightarrow\infty} \frac{n_a}{n}$, where ...
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1answer
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Probability of non repeated value in a set of vectors (with integer values) for any number in the same vector position.

Suppose a set with $m$ vectors ($m$ finite) defined by $V_{i} = (x_{vi1},x_{vi2},\dots,x_{vin})$, with $i \in \left\{1, 2, \dots, m \right\}$ and $2 \leq n \leq p$, for a given $p \in \mathbb{Z}$ ...
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30 views

Optimal Number of White Balls

There are C containers, B black balls and infinite number of white balls. Each container should have at least one ball. Each of the containers may contain any number of black and white balls. Action ...
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1answer
26 views

Paley Wiener stochastic integral

Sorry for the stupid question, no answers necessary anymore! let $(B_t)_{t\in [0,1]}$ be a standard Brownian motion and $F\in C[0,1]$ differentiable. Then the sequence (which is an easy version of ...
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1answer
24 views

Bounding the difference of random variables by coupling.

Suppose we have two probability densities differing by atmost $\delta$. Is it possible to use coupling to have two random variables with the above two densities differing by less than $\delta$? I ...
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35 views

$\tau$ is stopping time. Check if $\tau + 1$, $\tau - 1$, $\tau^2$ also are stopping time.

Suppose that $\tau$ is stopping time. Is is true that a) $\tau + 1$ b) $ \tau - 1 $ c) $ \tau^2 $ also are stopping time? My prove: a) Yes, because forall t we have $$\{ t: \quad \tau+1 \le t \} ...
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2answers
16 views

Inner dependence of Independent random vectors

If $X = (X_1,X_2)$ and $Y = (Y_1,Y_2)$ , $X$ and $Y$ are stochastically independent can $X_1$ and $Y_1$ be dependent?
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Find $E[Z_1 | aZ_1 + bZ_2]$

Let's $Z_1,Z_2$ be a random variable such that $EZ_1^2 < \infty$ and $EZ_2^2 < \infty$. Find $E[Z_1 | aZ_1 + bZ_2]$ where $a,b \in \mathbb{R}$. We don't know what is distribution of $Z_1$ and ...
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expectation approximation error

Let $X$ be a random variable with no mass taking values in $\mathbb{R}$, and $f:\mathbb{R}\mapsto\mathbb{R}$ be a "smooth" function. I want to approximate $\mathbb{E}[f(X)]$ with $\mathbb{E}[g(X)]$ ...
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1answer
20 views

A Question on the Scaling Invariance of Brownian Motion

I read the following paragraph. Let $B_t, \ t \in [0, \infty)$ be a standard linear Brownian motion. For each $q > 4$, define the following sequence of sets. $$ \Omega_k := \left\{\omega \in ...
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28 views

how to related a weakly convergent random variable with its k-th moment

Let $\{X_n\}$ be independent random sequence with zero mean and unit variance. Suppose $$S_n:=\sum_{m=1}^n \frac{X_m}{\sqrt{n}} \Rightarrow X\sim \mathcal{N}(0,1)$$ holds. (Here "$\Rightarrow$" ...
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1answer
22 views

Simple bounding question for an expectation with truncating function

Let $\{X_m\}$ be independent random sequence. I want to show the following result Given $E[X_m^2]:=\sigma^2 < \infty$ and $$0 = \mathop {\sup }\limits_m P\left( {\left| {{X_m}} \right| > ...
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1answer
36 views

How to show this inequality in the law of iterated logarithm

Let $\psi(t) = \sqrt{2t\log\log t}$ and $q>4$. Then we have for large $k$, $$ \psi\left(q^k - q^{k-1}\right) \geq \psi\left(q^k\right) \left(1-\frac{1}{q}\right). $$ To prove this, I can tell by ...
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1answer
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Requesting deeper understanding of binomial coefficient

I noticed that $\binom {52} 4$ * $\binom {48} 1$ is $5$ times that of $\binom {52} 5$. So for example, if we were to draw $4$ cards from a standard deck then draw $1$ more, we cannot just say there ...
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16 views

Probability distribtuions [on hold]

A 10 metre by 10 metre plot of land is divided into 100 equally sized squares. Suppose that 300 seeds are randomly scattered on the plot of land. Use a suitable approximation to find the probability ...
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1answer
37 views

$X$ normally distributed in $\mathbb R^n$ iff components $x_i$ normally distributed?

We've had the normal distribution today in class and I was thinking about the following: Let $X$ be normally distributed, $X\sim N(a,\Sigma)$ with a symmetric positive definite matrix $\Sigma$ and ...
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19 views

Cameron Martin Theorem

I am struggling with two versions of the Cameron Martin Theorem. 1) We define the measure spaces $(\Omega,\mathcal{F},P)$ and $(C[0,1],\mathcal{C},\mathbb{L}_0)$, where $\mathcal{C}:=\sigma(f\mapsto ...
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17 views

Function of Nakagami Distribution

Does anyone know what the distribution of the sum of squared Nakagami is? $$\sum_i^n X_i^2$$ $$X_i\sim \text{Complex Nakagami-m }$$ Is the distribution Erlang? Is the distribution the same as ...
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1answer
9 views

How to interpret this variance

If I have a probability measure defined by $P( \Omega ) = \int_{\Omega} (1-a) \delta(x) + a \delta(x-a^2) dx,$ then I noticed that the variance is given by $a^5(1-a)$. This is somewhat strange, cause ...
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What is the magnitude of Complex random variable Gaussian Case?

Let $X_1$ and $X_2$ be independent complex Gaussian random variables, $$X_1 \sim \mathcal{CN}(0,\sigma)$$ $$X_2 \sim \mathcal{CN}(0,\sigma)$$ If $X= aX_1 + bX_2$ where $a,b$ are constants then the ...
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Conditional probability: $P(B'|A) = 1-P(B|A)$

Suppose that $A$ and $B$ are events with $P(A) > 0$. Show that $$P(B'|A) = 1-P(B|A),$$ where $B'$ is the complement of $B$. I get stuck after I go from $P(B'|A)$ to $P(AB')/P(A)$. I would greatly ...
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26 views

Law of iterated logarithm proof

I am trying to master this proof of iterated logarithm. However, I get stuck at the last part. Here is a link In the last two line at fourth page. We calculate the probability that: $$ (*) ...
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32 views

Analyzing a coin tossing game with cheating

Consider a game where you toss $N$ coins, and let $H$ denote the number of heads. Let's say you win the game if $|H - N/2| \geq K$, i.e. if the number of heads deviates east least $K$ from what you ...
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72 views

An elementary annoyance

I'm going through some notes and I'm having problem understanding an inequality: The objects involved are: $X$ is a real-valued random variable with mean zero. We consider $n$ identical copies ...
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1answer
12 views

probability theory: best predictor allowing for nonlinear predictors

In chapter 7 the optimal linear predictor of Y based on $X = x_i$ was found. The criterion of optimality was the minimum mean square error, where the mean square was defined as $E_{X, Y}[(Y - (aX + ...
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average distance between vectors of n dimenstions [on hold]

In a recent experiment I did, I observed that the minimum euclidean distance for vectors of about 10k dimensions (each single feature is has standard normal distribution) is about 20, even if I sample ...
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2answers
30 views

For a non-negative absolutely continuous random variable $X$, with distribution $F$. Why is $\lim_{t\rightarrow \infty}t(1-F(t))=0$?

So I am given a non-negative absolutely continuous random variable $X$ with distribution $F$, and density $p_X$. I am given the definition of expectation using simple functions and the survival ...
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1answer
31 views

How to calculate $\mathbb{P}[Y\in F|X]_{\omega}$

Here I have an exercise of book: Probability and Measure of PATRICK BILLINGSLEY of conditional probability in the page 442, exercice 33.4 (b): Let $(\Omega, \mathcal{F}, \mathbb{P})$ be a probability ...