2
votes
1answer
37 views

I need help understanding this proof about convergence in distribution

The proof says that we used the fact that $(1-\epsilon)^\frac{x}{\epsilon} \rightarrow e^{-x}$ Why is this so? How do I prove this? Also, why do we need the fact that $\lfloor x/p_n \rfloor - ...
0
votes
0answers
17 views

differential equation with random coefficient

I am confused with a problem I encountered at hand, not on how to work on it but rather understanding the problem itself: Let $A(x;\omega)$ be a random field taking values in $[a,b]$ where $a,b < ...
0
votes
0answers
16 views

Upper Bound on Mutual Information

I am interested in an upper bound on mutual information that I have been encountering frequently in the statistics and probability literature. I have yet to see the "purest" form of the inequality, so ...
0
votes
0answers
10 views

Error of a Serial Processs

Give random variable X and two processes A, B . Assume that $ Y_{1}, Y_{2}$ are estimated versions of X by using processes A, B respectively, with probability: $P\left \{ \left | X-Y_{1} \right ...
1
vote
1answer
16 views

Easy way to compute $Pr[\sum_{i=1}^t X_i \geq z]$

We have a set of $t$ independent random variables $X_i \sim Bin(n_i, p_i)$. We know that $$Pr[X_i \geq z] = \sum_{j=z}^{\infty} { n_i \choose j } p_i^j (1-p_i)^{n_i -j}.$$ But is there an easy way to ...
0
votes
0answers
13 views

When do almost all random variables attain the expectation?

Given some sample space $\Omega$ I choose uniformly at random some $X \in \Omega$. Assume that I know the expected value $\mathbb{E}(X)$. What are the further conditions I need if I want to talk ...
1
vote
0answers
5 views

measure of dependence for copula

I have some question about the paper of Schweizer and Wolff (1981). The question concerns about the following bound $$\int_0^1\int_0^1|C(u,v)-uv|\,du\,dv\leq\frac{1}{12}$$ where $C$ is any copula. ...
1
vote
0answers
31 views

Intuition in probability theory

Good afternoon. Could you please suggest me some books or may be articles where I can read about the intuition of Kolmogorov's axiomatics. I know it, I can solve university problems but I can't feel ...
0
votes
0answers
14 views
1
vote
0answers
11 views

derivation law from the call option formula

i am reading a article about the option pricing. and i got stuck with some typical statement. $C(K)=\int (x-K)^+\mu(dx)$ is given. here, $\mu$ is implied law of asset price and C(K) is the price ...
2
votes
0answers
15 views

$X$ and $Y$ are i.i.d random variables with finite second moments. $X+Y$ and $X-Y$ are independent, show that $X$ is Gaussian.

$X$ and $Y$ are i.i.d random variables with finite second moments. $X+Y$ and $X-Y$ are independent, show that $X$ is Gaussian. Without loss of generality we may assume that $X$ and $Y$ are ...
2
votes
3answers
45 views

Independence of $X$ and $2X$

Are these two random variables independent? Unfortunately, I don't know probability theory enough to answer this question. I know for a fact that if $X$ and $Y$ are independent random variables and ...
3
votes
1answer
53 views

[Probability]need help to understand the following expression

So assume $Y$ and $X$ are exponentially distributed with parameters $y_1$, and $x_1$ respecitively. assume c is a constant. I am having huge trouble to understand the integration of the following ...
0
votes
0answers
21 views

Number of trials for two successes

Let Y denote the number of successes required for two successes in a series of Bernoulli trials with parameters p and q. I want to know whether $P[Y=n]=\binom{n}{2}p^2q^{n-2}$ or ...
0
votes
0answers
11 views

Kullback-Leibler or Jensen-Shannon divergence between two distributions.

i would like to understand well what Kullback-Leibler or Jensen-Shannon divergence between two distributions will tels us about two distribution,for instance let us consider following code ...
-1
votes
1answer
57 views

Convergence in Probability (weak law of large numbers) [on hold]

Suppose $X_1, X_2, \dots, X_n$ are i.i.d. standard normal random variables. Prove that $$\frac{X_1X_2 + X_2X_3 + X_3X_4 + \cdots + X_{n−1}X_n}{n}$$ converges in probability to 0. I started this by ...
0
votes
2answers
23 views

Reliability Probability problem

What is the Probability that at least one close path is formed from A to B where each switch has a Probability of close = p and each switch acts independent of the other Proposed Solution Let ...
0
votes
1answer
32 views

Measurability and knowledge

there seems to be a subtle relationship between knowledge and measurability. If I have a stochastic process $(X_n)_n$, then for example a stopping time ( other examples would be martingales, ...
0
votes
0answers
13 views

When is a characteristic function of a distribution real analytic?

I know that a characteristic function of a random vector $X$ is real analytic, if e.g. $X$ takes values in a bounded set of $\mathbb R^n$ or in other words if the density $p_X$ has compact support. ...
3
votes
2answers
42 views

recurrent events-Probability of even number of successes

Let E be the event of an even number of successes. $u_n$:Probability of E occurring at the nth trial not necessarily for the first time $f_n$:Probability of E occurring at the nth trial for the first ...
1
vote
0answers
29 views

Probability: NEED HELP to Understand with the follow [duplicate]

I need help to understand the probability derviation of a paper. Please help me. For the following, please only treat $|h_{R,B}|^2$ and $|h_{A,R}|^2$ as random variables (other parameters can be ...
2
votes
1answer
18 views

Convergence in total variation

There are the very basic convergence types in probability theory: almost sure, in $L^p$-norm, in measure and in distribution. Besides that there is the concept of convergence in total variation norm. ...
1
vote
1answer
26 views

Product of 2 random variables:domain of integration

I am trying to compute the PDF of the product of two ind. random variables: $Z=XY$, where $0\leq x \leq d$ and $ 0\leq y \leq 1 $. ($0<d<1$) I found this formula : $ f_Z(z) = ...
1
vote
1answer
61 views

Exponential Distribution question

I'm having some trouble understanding the mechanics of how to solve with this distribution. The question: The number of years that a washing machine functions is a random variable whose hazard rate ...
0
votes
1answer
35 views

Property of Wiener process sample path

What is a mean of time, when the trajectory of wiener process $W_t$ is over the line $y=t$? We need to find $\mathbb{E}\tau$, where $\tau=\sum\limits_{a,b:\forall t\in(a,b) ; ...
1
vote
1answer
17 views

$f$ nonnegative map on $X$ implies $\exists g$ s.t. $S \rightarrow \sum_{\omega \in S} g(\omega) f(\omega)$ is probability measure on $2^X$

This is exercise 3.3 in Chapter B of Efe Ok Probability with Economic Applications (freely available online). The claim we are asked to prove is : Let X be a countably infinite set, and $f$ a ...
0
votes
1answer
11 views

$X$ countable and $\exists$ $f : X \rightarrow [0,1] \Rightarrow \big(X,2^X, \sum_{\omega \in S} f(\omega)\big)$ is a probability space.

This is exercise 3.1 in Chapter B of Efe Ok Probability with Economic Applications (freely available online). Part of the claim we are asked to prove is: Let X be a nonempty countable set. If ...
1
vote
0answers
25 views

What is the variance of an arbitrary “good” function of several independent normally distributed random variables

During my studies years ago I came over a formula that states something like if $x_i$ are independent normally distributed variables with variances $\sigma^2_i$ and $f(x_i)$ is differentiable (and ...
0
votes
0answers
19 views

How to compute a marginal probability

Given a weighted graph, using the Kirchhoff's matrix tree theorem, how can I compute the marginal edge presence probability: $$P_\beta(ij)=Z_\beta^{-1}\sum_{\text{T spanning tree:$(i,j)\in ...
1
vote
2answers
67 views

Expected number of coin tosses needed until all coins show heads

We flip $n$ fair coins every iteration of the game. Every coin that shows heads is removed from the game and we use the remaining $n-k$ coins to play the game again (where $k$ is the number of heads ...
6
votes
2answers
139 views

Are random selections from iid random variables independent?

Let us have identically independently distributed random variables $x_1, x_2, \dots, x_{10}$. Now let us pick indices $\alpha, \beta$ uniformly independently from $1,2,\dots,10$. Are variables ...
2
votes
2answers
24 views

What is the probability when i attempt twice?

// I have never got probabilities' lessons , I only know some basics Let's say the probability of me hitting the target ( let's consider hitting a bottle with a soccer ball ) in ONE ATTEMPT is ...
0
votes
0answers
35 views

Covariance between real and imaginary parts of Fourier transform of a stationary time series

Since Fourier transform of a random stationary time series(in the case of existence) is not necessarily real, my question is what is the relation between the covariance of real and imaginary parts of ...
0
votes
1answer
71 views

How to make sense out of this: Ergodic theorem for Markov chains

We had the ergodic theorem for Markov chains, stating that: For a state space $S \subset \mathbb{N}$ and all functions $f \in L^1$ (meaning that $\sum_{s \in S} |f(s)|\pi(s) < \infty$) and an ...
2
votes
1answer
31 views

law of iterated logarithm

Wikipedia claims see this link that the law of the iterated logarithm marks exactly the point, where convergence in probability and convergence almost sure become different. It is apparent from the ...
0
votes
0answers
28 views

Count number of repetitive customer visiting a restaurant [closed]

Suppose a restaurant at the end of year, come to know that he served 10800 Customers. What number or percentage of customers would be repetitive customers. Because all 10800 Can not be new customers. ...
2
votes
0answers
40 views

Does irregularly transformed stationary process preserves stationarity?

I would like to apply the following theorem in a probably unusual way. Let $Z_t=f(Z_{t-1},Z_{t-2},\dots,Z_{t-M})+\varepsilon_t, t=1,2,\dots$ be a stationary and ergodic Markov chain as well as ...
0
votes
1answer
33 views

How to prove that convergence in MGF implies Convergence in Distribution?

I know that if the moment generating function of two distribution converges to the same function then the two distribution converges in CDF. But how can we prove this thing explicitly ?
0
votes
1answer
19 views

Return time Markov chain

I have been wondering about this for quite a while now that I found in a textbook in the proof that an irreducible positive recurrent markov chain $(X_n)$ has a stationary distribution Let $t_i$ ...
1
vote
1answer
54 views

Need help with a basic exercise about Markov chains

Suppose $\left\{ X_{n}\right\} _{n=1}^{\infty}$ is a Markov Chain taking real values. Are the following Markov Chains? $$Y_{n}=\sum_{i=1}^{n}X_{i} , Z_{n}=\left(X_{n},X_{n-1}\right)$$ Edit1 I ...
0
votes
0answers
17 views

Prove the duality law for events

There is this law in the book I'm reading, but I can't prove it, neither can I find a proof online. It's 'called the duality law, and it's as follows : If $A$, $B$, and $C$ are events then: $AC + BC ...
0
votes
1answer
35 views

calculating moments of random variables

Suppose that $E[X]$ is known where $X$ is a random variable. Is it possible to compute $E[X^3]$ with only this information? I am thinking of resorting to moment generating functions but I am not sure ...
2
votes
0answers
26 views

Rate of convergence of a martingale

I have a question related to convergence rates of martingales: Assume that there is a sequence of maximized likelihood ratios: $ \frac{f_{\hat{\theta}_{n}} \left ( Y_{1},Y_{2},\dots,Y_{n} \right ) ...
0
votes
0answers
15 views

Distribution maximum with small sample related to large sample

Suppose the random variables $X_i$, $i=1,\cdots,n$ and $Y_j$, $j=1,\cdots,m$ all have distribution $F(x)$, with order statistics denoted by $X_{(i)}$ and $Y_{(j)}$. Assuming $n<m$ (e.g. $n=m/100$), ...
1
vote
1answer
59 views

Proving a property of hitting times of a simple random walk on $\mathbb{Z}$

I'm reading the course notes of a probability course about martingales currently and I'm trying to solve some of the exercises, however I'm very much stuck with the following exercise: Let $\left\{ ...
3
votes
1answer
84 views

If $X_{i}$ are I.I.D and $n^{-1}\sum_{i=1}^{n}X_{i}$ converges a.s/in-distribution to a constant $a$ is it true that $a=\mathbb{E}[X_{i}] $?

The question itself is in the title. It is immediate by the strong law of large numbers that if $X_{i}$ had a finite first moment then we would have a.e convergence (and thus in probability and in ...
1
vote
0answers
20 views

Deriving joint distribution from expectation

Given two random variables $X$ and $Y$ and let $K$ be a constant value. Assume the expectation $\mathbb{E}[X(Y-K)^{+}]$ is given for all possible values of $K\geq 0$. Is there a way to derive the ...
4
votes
2answers
53 views

Homework problem - Ways to test if a density function is cumulative density function

I have a problem that states: Let $F : \mathbb R \to R$ be defined by $$F(x) =\begin{cases}e^{\frac{-1}{x}} &\text{if } x > 0\\ 0&\text{if } x \leq 0\end{cases}$$ Is $F$ a ...
0
votes
0answers
45 views

Show that $P(\liminf\limits_{n\rightarrow \infty} A_n)\leq \liminf\limits_{n\rightarrow \infty} P(A_n) $

I am trying to understand the following proof in the book A probability path by Sidney Resnick. Given the probability space $(P,B,\Omega,)$, Suppose $A_n\in B$ for $n\geq 1$. Fatou's Lemma: We have ...
6
votes
1answer
49 views

Finding tight upper/lower bounds for $\mathbb{E}[\frac{1}{1+X^{2}}]$ where $X$ is a RV with $\mathbb{E}[X]=0$ and $\mbox{Var}(X)=\nu<\infty $

The question is pretty much in the title. My first thought was using Jensen's inquality to get some sort of lower bound. Since $\frac{1}{1+x^{2}}$ is convex on ...