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 [tag:probability-...

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16
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0answers
472 views

Uniqueness of Brownian motion

May be it is a dumb question, but it vexed me a little bit. I understand the construction of the Brownian motion (first use Kolmogorov extension theorem to construct value at dyadic times and then use ...
15
votes
0answers
203 views

Integrating a matrix function involving a determinant and exponential trace

I am trying to find the normalizing constant for a probability distribution and ran into a difficult integral. When $X$ is an $p \times k$ matrix, $a>0,$ and $g>0,$ how can I compute $$\int \...
14
votes
0answers
238 views

Does this Condition on Exit Times imply $X_t$ is a Local Supermartingale?

Let $(X_t)_{t\geq 0}$ be a continuous (or càdlàg), real-valued process, and define stopping times $$\tau_{s,a,b}=\inf~ [s,\infty)\cap\{t:X_t\notin (a,b)\}.$$ We can interpret $\tau_{s,a,b}$ as the ...
12
votes
0answers
166 views

Upper and Lower Bounds on $Var(Var(X\mid Y))$

Are there any particular properties that \begin{align*} Var(Var(X\mid Y)) \end{align*} satisfies so that we can derive any upper and lower bounds on it. For example, if we replace $Var$ with ...
11
votes
0answers
1k views

Azuma's inequality to McDiarmid's inequality?

I was going through some notes on concentration inequalities when I noticed that there are two commonly-cited forms of McDiarmid's inequality. Long story short: I know how to prove the weaker one from ...
11
votes
0answers
173 views

Multiplicative version of Mcdiarmid's inequality?

Suppose you have $n$ i.i.d. random variables taking values in $\{0,1\}$, and $X$ represents their sum. Then you can use a Chernoff bound to control the deviation of $X$ from its expectation. The ...
11
votes
0answers
181 views

Calculating $\sum_{y=0}^x \Pr[Y= y] \Pr[Z\leq k-y]^2$ when Y,Z are binomially distributed?

Remark: I recently rewrote this post, hoping to get answers! I am analyzing the following experiment: Pick an $x \in \{0,\ldots,2k\}$ uniformly at random Pick $(2k+1)$-bit bitstring $b_1=(u,v_1)$ ...
10
votes
0answers
143 views

Probability on entering direction of a simple random walk

Let $X(n)$ be a simple random walk on $\Bbb{Z}^2$. Also we define $S_{R} = \inf\{n > 0 : X(n) \notin [-R, R]^2 \} $ : the exit time of the square $[-R, R]^2$, $T_{v} = \inf\{n > 0 : X(n) = v\}$...
10
votes
0answers
262 views

Do probability distributions form a comonad?

$\def\unit{{\rm unit}}\def\join{{\rm join}}$It's well known that (discrete) probability distributions form a monad. Specifically, if we let $PX$ be the set of discrete probability distributions on ...
10
votes
0answers
312 views

A question connected with the decomposition of a functional on $C(X)$ on Riesz and Banach functionals

Let $X$ be a metric space and let $C(X)$ be a family of all bounded and continuous functions from $X$ in $\mathbb{R}$. We call a positive linear functional $\varphi: C(X) \rightarrow \mathbb{R}$ the ...
9
votes
0answers
673 views

Idempotence and the Rao–Blackwell theorem

Original question: In the Wikipedia article on the Rao–Blackwell theorem, we read: In case the sufficient statistic is also a complete statistic, i.e., one which "admits no unbiased ...
8
votes
0answers
65 views

Number of primitive roots mod $p$ that are not primitive roots mod $p^2$

Consider the primitive roots of a prime $p$ in the range $1...p$ which are not primitive roots mod $p^2$. Let $n(p)$ be this number. While looking for an answer to this question, it seems that the ...
8
votes
0answers
120 views

Transformations of RV's Ensuring Absolute Continuity of Quantile Functions

Given a real random variable $X$, suppose $T:\mathbb{R}\to\mathbb{R}$ is non-decreasing. Define $Y=T\left(X\right)$. Let $Q_{X}$, $Q_{Y}$ be the corresponding right-continuous quantile functions. ...
8
votes
0answers
129 views

A generalization of simple random walk

Suppose $S_n, n\geq 0$ is a martingale on $\mathbb{R}$ such that $S_0=0$ and $|S_{n+1}-S_{n}|\in [\frac{1}{2}, 1]$. Prove that there exists $c,C>0$ s.t. $$ \frac{c}{\sqrt{n}} \leq P( S_1\geq 0,\...
8
votes
0answers
218 views

Uncountable family of random variables

Let $\{ \xi _a \}_{a \in [0;1]}$ be a family of independent uniformly distributed on $[0;1]$ random variables on some probability space $(\Omega, \mathscr{F},P)$, indexed by a continuous parameter. ...
8
votes
0answers
4k views

How to find probability distribution function given the Moment Generating Function

After searching, I found two questions like mine, but didn't see my answer to my question. Finding a probability distribution given the moment generating function Finding probability using moment-...
8
votes
0answers
2k views

Different versions of functional central limit theorem (aka Donsker theorem)?

I have seen several versions of functional central limit theorem (see the end of this post). I am confused, and hope someone could help to clarify their relations and differences. For example, I am ...
8
votes
0answers
252 views

Proving existence of limit by Martingale.

I'm thinking about a question: Suppose $y_n > −1$ for all $n$ and $\sum |y_n| < \infty$. Show that $\prod_{m=1}^\infty (1 + y_m)$ exists. Since $\sum |y_n| < \infty$, we must be able ...
8
votes
0answers
219 views

Closure in the Space of Probability Measures with the Prohorov metric

I have seen this result stated countless times: assume the metric space $(\theta,d)$ is separable; then $(\theta,d)$ is complete if and only if the space $(\mathcal{P}(\Theta),\rho)$ (the space of ...
7
votes
0answers
190 views

Limit distributions for Markov chains $X\to\sqrt{U+X}$

This question spawned from a recent, very interesting problem. Let $\varphi=\frac{1+\sqrt{5}}{2}$ and $T$ denote the map on the space of continuous probability density functions supported over $\...
7
votes
0answers
91 views

Recast the scalar SPDE $du_t(Φ_t(x))=f_t(Φ_t(x))dt+∇ u_t(Φ_t(x))⋅ξ_t(Φ_t(x))dW_t$ into a SDE in an infinite dimensional function space.

Let$^1$ $(\Omega,\mathcal A,\operatorname P)$ be a probability space $U$ be a separable Hilbert space $Q\in\mathfrak L(U)$ be nonnegative and symmetric operator on $U$ with finite trace $(W_t)_{t\...
7
votes
0answers
70 views

A random variable is symmetric if and only if its characteristic function is real-valued

Quick summary: I am stuck on the implication: $\phi_X$ real-valued $\rightarrow$ $X$ symmetric. Assume you have a probability space $(\Omega, \mathcal{F},P)$, and a random varaiable $X: \Omega \...
7
votes
0answers
119 views

Higher math and statistics/probability

So I've heard that certain areas of statistics and probability use manifolds and results from analysis and topology. Given that I lack the background to see where manifolds would become useful in ...
7
votes
0answers
257 views

Relation between Shannon Entropy and Total Variation distance

Let $p_1(\cdot), p_2(\cdot)$ be two discrete distributions on $\mathbb{Z}.$ Total variation distance is defined as $d_{TV}(p_1,p_2)= \frac{1}{2} \displaystyle \sum_{k \in \mathbb{Z}}|p_1(k)-p_2(k)|$ ...
7
votes
0answers
90 views

Uniqueness of the transformation turning random variables into IID uniform

We have two random variable $X:\Omega \to \mathbb R $ and $Y: \Omega \to \mathbb R^d, d \in \mathbb N$, $F_Y$ is the density function of $Y$ and $F_{X|Y=y}$ is a regular density function of $X$ ...
7
votes
0answers
127 views

Random variables that span copies of $\ell_p$

Consider the coin-toss measure $\mu$ on $\{0,1\}^\mathbb{N}$. Within this framework it is easy to construct a sequence of independent, symmetric Bernoulli random variables. Indeed the point-evaluation ...
7
votes
0answers
2k views

A difficult integral

For $\gamma>0,\delta>0$, trying to evaluate this integral: $$ I=\int_0^H\frac{e^{i t x} \log\left(\frac{H}{H-x}\right) ^{\frac{1}{\gamma }-1} \left(\left(\frac{k}{H \log \left(\frac{H}{H-x}\...
7
votes
0answers
392 views

The Expectation of a function of independent random variables

Assume we have for some index $i>n$ ($n \in \mathbb{N} $) the following ${\it Independent \ Random \ Variables}$ $$h_i \sim \text {i.i.d }\ \ \mathcal{CN}(0,1) \ \ \text{ Complex Gaussian}$$ $$\...
7
votes
0answers
262 views

proving equalities in stochastic calculus

I am struggling with this question: FIRST PART (almost done, but stuck somewhere): Let $Z $~$ N(0,1)$ be a standard normal random variable, and define a function $F$ by the formula \begin{equation} ...
7
votes
0answers
293 views

Sigma-algebra generated by a set of random variables

I know from standard textbooks that "Given the measurable functions $X_i:(\Omega,\mathcal{F})\rightarrow(\Omega_i,\mathcal{A}_i)$, the $\sigma$-algebra generated by a set of random variables $(X_i; i\...
7
votes
0answers
138 views

Donsker's Theorem for triangular arrays

Assume we have a sequence of smooth i.i.d. random variables $(X_i)_{i=1}^{\infty}$. Given $\alpha>0$, does some sort of Donsker's Theorem hold for $\left(\frac{X_i}{n^{\alpha}}\right)_{i=1}^n$? ...
7
votes
0answers
387 views

Calculating probability of some event using geometric considerations

I want to estimate exponentially the following probability: Let $\bf{U}\in\mathbb{R}^n$ be a random vector uniformly distributed on the $n$-dimensional hypersphere, centered at the origin with radius ...
6
votes
0answers
65 views

Kolmogoroff 0-1 does this proof work?

I have thought at this proof of the Kolmogorov 0-1 Law varying a little the sketch found in Probability essentials (Jean Jacod, Philip Protter). My questions are Is it a valid proof? Is it a bad ...
6
votes
0answers
80 views

Rigorous justification for “complex” change of variable in integration

Suppose that I have $X_1,\ldots,X_n$ i.i.d. $\sim $ $X$ and $Y_1,\ldots,Y_n$ i.i.d. $\sim$ $Y$ for some continuous $X$ and $Y$. Consider the r.v.'s $\bar{X}=\frac{1}{n}\sum_jX_j$ and $\bar{Y}=\frac{1}{...
6
votes
0answers
57 views

If the difference of two independent random variables has a mean, so does each variable

This is a proof-verification request; I’m also recording this proof for my own later reference. Any feedback is appreciated. Claim: Let $X$ and $Y$ be independent, real-valued random variables on ...
6
votes
0answers
65 views

a dynamical systems view of the central limit theorem?

I have seen many heuristic discussions of the classical central limit theorem speak of the normal distribution (or any of the "stable distributions") as an "attractor" in the space of probability ...
6
votes
0answers
189 views

How to compute or simplify this integration?

Any hints on solving an integration of the following form, $$\int_{x}^{+\infty}\left(1-\frac{1}{1+sy^{-1}}\right) \left(\text{exp}(-\sqrt{y})+ y^{-\frac{1}{2}}(1-\text{exp}(-\sqrt[4]y)\right)dy $$ ...
6
votes
0answers
117 views

Finding an upper bound for $\frac{d}{d\theta}\beta^*(\theta)|_{\theta=\theta_0}$

Suppose that a random variable X has a distribution depending on a parameter $\theta$, $\theta \in \Theta$, and consider a test of hypothesis $H_0: \theta = \theta_0$ versus the alternative $H_1: \...
6
votes
0answers
140 views

Linear w.r.t. any measure

Let $X$ be a Banach space endowed with a Borel $\sigma$-algebra. How do we call a real-valued Borel function $f$ that satisfies for any Borel probability measure $\mu$ the following formula $$ \...
6
votes
0answers
358 views

Convergence of Martingale.

The question is: 5.2.11. Let $X_n$ and $Y_n$ be positive integrable and adapted to Fn. Suppose $\mathbb E(X_{n+1}|\mathcal F_n) ≤ (1 + Y_n )X_n$ with $ \sum Y_n < \infty$ a.s. Prove that $X_n$...
6
votes
0answers
245 views

Regular Version of Conditional Gaussian Distribution

Let $Z_{1}$ and $Z_{2}$ be two independent normally distributed random variables with expectations $\mu_{1},\mu_{2}\in\mathbb{R}$ and variances $\sigma_{1}^2,\sigma_{2}^2\in (0,\infty)$ . I would ...
6
votes
0answers
666 views

Topological necessary and sufficient condition for tightness

Recall the definition of tightness for a probability measure $\mathbb P$ on the Borel $\sigma$-algebra of a metric space $(S,d)$: For each $\varepsilon>0$, we can find a compact subset $K$ of $...
6
votes
0answers
217 views

Expected Number of Convex Layers and the expected size of a layer for different distributions

It is well-known that the expected number of vertices on the convex hull of random set of points in the plane distributed uniformly within a $k$-gon is $O(k\log n)$ and within a smooth shape (e.g. a ...
5
votes
0answers
63 views

Difference between $d\mu(x)$ and $\mu(dx)$

In my lecture notes of probability course I found two different notations involving $d,\mu$ and $x$: is there any difference between $\mu(dx)$ and $d\mu(x)$? For example I read $\mu(dx) = \frac{1}{\...
5
votes
0answers
51 views

How to Prove the Stochastic Fubini Theorem? (Exercise 2.19 in Chapter IV of Revuz and Yor)

Here is the theorem statement: Let $B$ and $C$ be two independent standard Brownian motions. If $\phi$ is square integrable on the unit square ($\phi \in L^2([0,1]^2)$ ), by suitable filtrations, ...
5
votes
0answers
49 views

Can Stochastic Integration be Further Generalized?

Is the idea of stochastic integration to accept convergence towards the stochastic integrals in probability instead of almost surely (pathwise)? I.e. to accept a weaker form of convergence for the ...
5
votes
0answers
60 views

Brownian Motion Third Power Martingale using Ito Integral

Let $(B_t)_{t \geq 0}$ be a standard Brownian motion and $M_t = B_t^2 - t$. According to this and this posts we know that \begin{align} [M] = [B^2] = 2 \int_0^t B_s^2\ ds. \end{align} Now, without ...
5
votes
0answers
69 views

Properties of characteristic functions under statistical dependence

Given random variables $X,Y,Z$,and $\phi(.)$ denoting the characteristic function, I can see that the following is true when $Z$ is independent of $X,Y$: $|\phi_{X+Z,Y} (t, s) − \phi_{X+Z}(t)f_{Y} (s)|...
5
votes
0answers
44 views

Poisson Process: indepedent increment

Let $\{N(t): t\geq0\}$ be a Poisson process of rate $\lambda$, and let $S_n$ denote the time until the $n_{th}$ event occurs. compute $P(S_3>5|N(2)=1)$ Attempt: Notice that $P(S_3>5)=P(N(5)&...
5
votes
0answers
69 views

There exists a real number so that $X_n$ is a martingale

I am working on the following problem: Let $Y_n$ be a sequence for which there exists constants $\alpha$ and $\beta$ with $$ E(Y_{n+1}\mid \mathcal{F}_n)=\alpha Y_n +\beta Y_{n-1} $$ for each ...