Use this tag only if your question is about the modern theoretical footing for probability, for example probability spaces, random variables, law of large numbers, and central limit theorems. Use [tag:probability] instead for specific problems and explicit computations. Use ...

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2
votes
1answer
37 views
+200

Correlation of a vector generated and its one-period lag, both generated using AR(1) data

Suppose that $C_0$ is $100$ and $\{e_t\}_{t\geq 1}$ is a sequence of i.i.d. standard normal random variables. We generate $C_t=C_{t-1}+e_t$ for $t\geq 1$ and set $$ x_t=C_t^2-C^2_{t-1},\quad ...
0
votes
0answers
5 views

what could 1/probability represent??

I was working on a concept in probability theory with a friend and we came across 1/probability. Is there such s representation?? I'm open to it existing in any context,if there is such a thing
0
votes
1answer
34 views

If $F(a) - F(a^{-})$ is continous then $F(a)$ is continous [on hold]

Suppose $F$ is a distribution function and, $$H(a) = F(a) - F(a^{-})$$ is continous for all $a \in \mathbb{R} $, where $$F(a^{-}) = \lim_{\epsilon \to 0^+}F(a-\epsilon)$$ How to prove that $F$ is ...
0
votes
0answers
12 views

Convergence of random variables and Borel-Cantelli

Let $\lbrace X_n \rbrace_n$ be a sequence of independent random variables such that $$P(\{X_n = \pm 1 \}) = \frac{1}{n}$$ $$P(\{X_n = 0 \}) = 1 - \frac{2}{n}$$ Is the sequence convergent almost ...
0
votes
0answers
10 views

Conditional independence given elementary events implies conditional independence given $\sigma $-algebra

Proposition: Let $X$ be a continuous markov chain with discrete state space $S$. Let $Z$ be the corresponding jump chain and $\left\{ {{W_i},i \in \mathbb{N}} \right\}$ its holding times. Let ...
2
votes
1answer
7 views

Expectation and variance of X − Y

Let's say I have $X=\min\{X_1,...,X_{10}\}$ with the $X_i\sim Exp(\lambda_i)$ independent. And let $Y=\min\{X_{11},...,X_{20}\}$ What is the expectation and variance of $X-Y$? I really don't know ...
0
votes
1answer
16 views

$X_n \to X$ in $L_2$, show that $\lim_{n \to \infty}E[X_n^2]=E[X^2]$

$X,X_1,...$ are random variables, $X_n \to X$ in $L_2$. Show that $\lim_{n \to \infty}E[X_n^2]=E[X^2]$. My attempt: $X_n \to X$ in $L_2 \implies \lim_{n \to \infty} E[(X_n-X)^2]=0 \implies \lim_{n ...
3
votes
2answers
60 views
+50

Limit superior of $\sum_{j=1}^n X_j$ with $\mathbf{P}[X_j = 1] = \mathbf{P}[X_j = -1] = 0.5$

This is Exercise 2.3.1 from Achim Klenke: »Probability Theory — A Comprehensive Course«. Exercise: Let $(X_n)_{n\in N}$ be an independent family of $\mathrm{Rad}_{1/2}$ random variables (i.e., ...
0
votes
0answers
5 views

Probability Theory - Showing something generates the Borel $\sigma$-algebra

If I have $\{(x,y] : x,y \in (0,1] \}$, how would I show that this generates the Borel $\sigma$-algebra on $(0,1]$? So we are just showing that we can form open sets through countable union, countable ...
0
votes
1answer
18 views

Various modes of convergence of random variables

Let $\lbrace X_n \rbrace_n$ be a sequence of independent random variables such that $$P(\{X_n = \pm 1 \}) = \frac{1}{n}$$ $$P(\{X_n = 0 \}) = 1 - \frac{2}{n}$$ Is the sequence convergent: $1$) almost ...
1
vote
1answer
19 views

Please check my answers on these Convergence Problems

Let $X_1,X_2,...$ be a sequence of random variables with corresponding distribution functions given by $F_n(x)=0$ if $x<-n$, $F_n(x)=\dfrac{x+n}{2n}$ if $-n\leq x< n$ and $F_n(x)=1$ if $x\geq ...
3
votes
0answers
17 views

Existence of regular conditional distribution of random variable given the value of another variable

Let $(\Omega, \mathcal{A}, \mathbf{P})$ be a probability space with a measurable function $Y: (\Omega, \mathcal{A}) \rightarrow (E, \mathcal{E})$ and another measurable function $X: (\Omega, ...
1
vote
1answer
21 views

what is the difference between event space and probability space?

Let the sample space, $S=\{1,2,3,4\}$ and event space,$F$ is defined on $S$ are $\{1\}$ and $\{2\}$.Enumerate all possible events in $F$. This is the question I encountered while solving problems ...
0
votes
1answer
24 views

Given the distribution of $X$ and $Y=-2\theta \ln X$. How is $Y$ distributed?

The pdf of $X$ is $f(x) = \theta x^{\theta-1},\enspace 0<x<1, \enspace 0<\theta<\infty.$ Let $Y=-2\theta \ln X.$ How is $Y$ distributed? My work: $$ \begin{align*} F(Y) = P(Y \leq y) ...
1
vote
0answers
5 views

Showing that moment estimates are asymptotically bi-variate normal.

Let $X_1,\dots,X_n$ be iid $\Gamma(p,1/\lambda)$ with density $g_\theta (x) = \frac{1}{\Gamma(p)} \lambda^p x^{p-1} e^{-\lambda x}$, $x>0$, $\theta = (p,\lambda)$, $p > 0$, $\lambda > 0$. ...
2
votes
0answers
17 views

Exercises with solutions for probability theory?

I'm reading the book Probability Theory: A Comprehensive Course by Achim Klenke. There are no solutions for the exercises in this book, so I constantly have to annoy people here (but nobody wants to ...
-2
votes
1answer
60 views

Given $B \cup A = B$ and probability and set theory axioms, prove $\mathbb{P}(A) \leq \mathbb{P}(B)$.

I need to prove that $\mathbb{P}(A)$ is less than or equal to $\mathbb{P}(B)$ using only this three things: $B \cup A = B$ The three axioms of probability: a) $\mathbb{P}(A)$ is greater or equal to ...
0
votes
0answers
8 views

Right stochastic matrix tail bound

Let $X=(x_{i,j})$ be a given $m$ by $n$ right stochastic matrix (i.e. $x_{i,j} \in [0,1]$ and entries of each row add up to $1$ ) and let $u \in \{0,1\}^n$ be a vector chosen uniformly at random. ...
1
vote
3answers
29 views

Expectation of min of two random variable

Looking for your kind help to solve the following expectation problem. Let assume, $C_{u} = min(C_{a},C_{b})$ where $C_{a}$ & $C_{b}$ are random variables. Is the following is true? ...
2
votes
0answers
69 views
+150

Techniques for proving asymptotic normality by Taylor expansion?

Suppose I have a sequence of densities $$ f_{X_n}(x) = \exp[\ell_n(x)], \qquad (x \in A). $$ My goal is to prove a statement like $T_n = \sqrt n (X_n - \mu) \to N(0, \sigma^2)$ in distribution, for ...
0
votes
1answer
49 views

Markov chain doesn't sum up to 1

Let $\{X_n\}$ be a Markov chain on $S=\{1,2,3,4,5,6\}$ with the matrix suppose we define a new sequence $\{Y_n\}$ by $$Y_n=\cases{1\quad X_n=1\vee X_n=2\\2\quad X_n=3\vee X_n=4\\3\quad ...
0
votes
1answer
12 views

Is the product measure space generated by the filtration adapted to the projection maps?

Let $(\Omega, \mathcal A)$ be a measure space. Consider the product measure space $(\Omega^{\mathbb N}, \mathcal A^{\mathbb N})$ and denote by $\pi_n : \Omega^{\mathbb N} \to \Omega$ the $n$-th ...
0
votes
0answers
13 views

Have I used the Probability generating function of poisson point process correctly?

Let $v\in \mathcal{V}$ be measurable and let $\Phi$ be a Poisson Point Process with intensity $\lambda$ then the probability generating function (PGF) is $$\mathbb{E}\left( \prod_{x\in \Phi} ...
0
votes
1answer
37 views

Find the Expected value of a Random variable

Assume random variable $$X \sim f_X(x) \,\,\, -2 \leq x\leq 2$$ Now Assume we need to compute the following $$F= \mathbb{E}\left(\frac{1}{1+(G(X))^2}\right)$$ where we define the function $$G(x) = ...
0
votes
1answer
17 views

Probability issue given a Bayesian Network

If we have a Bayesian Network A -> B ->C then P(B|A, C) = P(B|A)? Thanks!
2
votes
1answer
47 views

Independence of a Stochastic Process at Distinct Time

Suppose $X_t$ is a stochastic process of $t$ on $[0,\infty)$ with almost surely continuous sample path. I have modified my question to the following one, per Math1000's comment below: Is the ...
1
vote
2answers
45 views
+50

Conditions for uniqueness of the median

A median of a random variable is defined as any $m \in \mathbb{R}$ such that $P(X \le m) \ge 1/2$ and $P(X \ge m) \ge 1/2$. Alternatively, in terms of the CDF $F$ of $X$ defined by $F(x) := P(X ...
1
vote
0answers
20 views

Central limit theorem with Lyapunov condition

$Z_1, Z_2,...$ are iid uniformly distributed on $[-1;1]$, $\lim_{n \to \infty} a_n=0$ and $\lim_{n \to \infty} na_n=\infty$ also $a_n>0$ $\forall n$, $X_{n,j}= \frac{1}{a_n}I(|Z_j| \le a_n)$ ...
2
votes
2answers
114 views

If $P(X \geq a) = 1 - \frac{1}{4}a^2$, $0 \leq a \leq 2$, then what is the expectation of $X$?

Suppose for a random variable $X$ it is given $P(X \ge a)=1-\frac{1}{4}a^2$, for $0\le a\le 2$. what is the expectation of $X$? Correct answer: $\frac{4}{3}$ I have difficulty solving the problem ...
2
votes
1answer
17 views

Slutsky for joint convergence

I am interested whether Slutsky's Theorem also holds in the case of joint convergence. Let $(X_n,Y_n)$ be random variables with $(X_n,Y_n) \rightarrow (X,Y)$ in distribution for $n \to \infty$. ...
0
votes
0answers
17 views

Show Projection minimizes variance

Van der Vaart's Asymptotic Statistics, problem 11.2 Another idea of projection is based on minimizing variance instead of second moment. Show that $\text{Var}[T-S]$ is minimized over a linear space ...
0
votes
1answer
17 views

An example of covergence to an exponential distribution, the role of continuity

I got a probability problem I can solve, but my solution does not use an assumption which is given in the formulation of the problem. I am afraid that this is might be a sign that my solution is ...
1
vote
1answer
34 views

An Elementary Convergence Problem in Probability

Suppose that $X_1,X_2,...$ are degenerate random variables such that $f_{X_n}$ denotes the mass function of $X_n$.$$f_{X_n}(x)=P(X_n=x)= \begin{cases} 1, & x=2+\dfrac{1}{n} \\ 0, ...
0
votes
0answers
12 views

Proof of theorem on markov chains

If $X=(X_n)_{n\in\mathbb N}$ is a Markov chain on a space $E$, it has an initial distribution $(\lambda_i)_{i\in E}$ such that $\sum\lambda_i=1$ and a transition matrix $(p_{ij})_{i,j\in E}$ such that ...
1
vote
2answers
50 views

If $\{X_n\}$ converges in probability to $1$, where does $\{1/X_n\}$ converge to?

Without using the continuous mapping theorem, I want to show that, given $\{X_n\}$ is a sequence of random variables converging in probability to $1$, $\{1/X_n\}$ converges in probability to $1$. The ...
4
votes
3answers
1k views

Is it a characteristic function?

Can anyone explain how I can prove that either $\phi(t) = |\cos (t)|$ is characteristic function or not? And which random variable has this characteristic function? Thanks in advance.
-1
votes
0answers
13 views

Chain conditional probability issue [on hold]

In conditional probability network if A -> B ->C then P(B|A, C) = P(B|A)? If no, then what is the answer? Thanks!
0
votes
6answers
76 views

How come everyone says that you can't with in lottery because of statistics yet every single day I hear that someone has won?

I'm a very simple man with basic understanding of mathematics and theory. This question has bugged me for the last few years, ever since I learned about lottery tickets. When I talk with people about ...
0
votes
1answer
23 views

Which is the difference between $P(A \mid B)$ and $P(A=t \mid B)$ in a Bayesian Network?

Which is the difference between $P(A \mid B)$ and $P(A=t \mid B)$ in a Bayesian Network, where $A$ and $B$ are boolean values?
-1
votes
0answers
21 views

Conditional probabilities given the evidence(Bayesian network)

Let's say we have a Bayesian network: How can I compute P(A | F, E) ? I have all the probabilities for each node. Thanks!
0
votes
0answers
24 views

Borel Sets and relation to probability theory.

I am currently having difficulty understanding the link between Borel Sets and Probability theory. How/Why are Borel Sets used in Probability theory?
5
votes
2answers
384 views

Existence of iid random variables

In probability theory we often used the existence of a sequence $(X_n)_n$ of independent and identically distributed random variables. This was already discussed here. One of the answers says: As ...
1
vote
1answer
149 views

A problem on almost sure convergence

Consider a sequence of random variables defined on the standard unit interval probability space : $$X_n = \begin{cases} 2^n & \text{when} \quad \frac{1}{2^n} \leq \omega \leq ...
2
votes
2answers
339 views

Poisson Distribution for Consecutive Figures

I am trying to find the probability for a Poisson distribution. The mean is two cars sold per day. The question is: "What is the probability that at least one car is sold for each of three ...
-1
votes
1answer
20 views

Show countable additivity of a certain probability measure

Let $\mathcal{F}$ be the field consisting of the finite and the co-finite sets in an infinite and ${\bf{uncountable}}\;\Omega$, and define a probability measure $P$ on $\mathcal{F}$ by taking $P(A)$ ...
3
votes
0answers
60 views
+100

Expected Value of R squared

Let $n$ be a fixed positive integer. Generate $n$ numbers $x_1, x_2, ..., x_n$ from the set $[0,1]$, with the probability distribution being the uniform one and the $x_i$ all being independent of each ...
0
votes
0answers
18 views

Density of product of random variable

I would like to derive the product density of two independent continuous random variable in a measure theoretic framework. I am well aware of the result which can be found here: ...
2
votes
1answer
37 views

Counterexample for generating function?

This is Exercise 3.1.2 from Achim Klenke: »Probability Theory — A Comprehensive Course«. Exercise: Give an example for two different probability generating functions that coincide at countably ...
0
votes
0answers
12 views

Convolution of negative binomial distribution w/ generalized binomial theorem

This is Exercise 3.1.1 from Achim Klenke: »Probability Theory — A Comprehensive Course«. Exercise: Show that $b^−_{r,p} \ast b^−_{s,p} = b^−_{r+s,p}$ for $r, s \in (0,\infty)$ and $p \in (0,1]$. ...