Questions about maps from a probability space to a measure space which are measurable.

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11
votes
0answers
194 views

Variational formulations in group theory?

I apologise if this is a naïve question. Are there any known / widely applicable / important variational formulations in (finite) group theory? That is, a relationship of the form $$\alpha(G) = \sup\{\...
10
votes
0answers
393 views

Does this random variable have a density?

I have a persistent problem, which I'm almost certain can be answered using elementary probabilistic arguments, but for some reason I've been stuck for some time. Here is the problem. Let $(B_s, s \...
8
votes
0answers
119 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
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. ...
7
votes
0answers
89 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
455 views

What is the distribution of $\sqrt{X^2+Y^2}$ when $X$ and $Y$ are Gaussian but correlated?

If $Z = \sqrt{X^2+Y^2}$, and $X$ and $Y$ are zero-mean i.i.d. normally-distributed random variables, then $Z$ is Rayleigh distributed. What is the distribution of $Z$ if $X$ and $Y$ are correlated (...
6
votes
0answers
343 views

expectation value for minimum distance between random variables

note: edited to clarify boundary issue Suppose $x_i$, $i=1\dots n$, are randomly drawn from a uniform circular distribution between 0 and 1 (using periodic boundaries). Let $d_i$ be the distance ...
5
votes
0answers
67 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
77 views

Random sphere-valued fields

I would like to generate random functions from an $m$-sphere $S^m$ to an $n$-sphere $S^n$ that are not too wild, some kind of generalization of random Gaussian fields. More precisely, I want $f(x)$, ...
5
votes
0answers
88 views

Applying PCA on covariance matrix in order to generate a new random variable.

Let $\mathbf{x}$ be a random $n\times1$ real vector, $\mathbf{x}\in\Bbb{R}^n$, which is distributed normally with mean $\bar{\mathbf{x}}$ and covariance matrix $\Sigma_x\in\Bbb{R}^{n\times n}$, i.e. $\...
4
votes
0answers
56 views

Exsistence of random variable $U[-1,1]$

I have problems with the following question: Let X be the random variable such that $X\sim U[-1,1]$. Does there exsist a random variable Y, independent to X, such that $X+Y\sim 2Y$? I thought that ...
4
votes
0answers
127 views

Discrete Time Two sided Gaussian Random Walk : Hitting Time Distribution

I am looking at the hitting time of a two sided Gaussian random walk i.e. $S_{n}=\sum_{i=1}^{n}X_{i}$ where $X_{i}$ are i.i.d normally distributed random variables. The hitting time is $\tau=\inf\{n:...
4
votes
0answers
133 views

Sigma algebra generated by a homeomorphic random variable

Let $\Omega = [0,1]$ be our probability space with sigma algebra of borel sets on $[0,1]$ and Lebesgue measure on $[0,1]$. Let Y be a random variable such that $Y(\omega) = Y(1-\omega)$ for every $\...
4
votes
0answers
121 views

Calculation of Conditional Expectation $\Bbb E[f(X)\mid Y]$

$\newcommand{\Cov}{\operatorname{Cov}}$and thank you for taking the time to read this. :) My question is about evaluating $\Bbb E[f(X) \mid Y]$ (a random variable in $Y$). There's plenty online (and ...
4
votes
0answers
801 views

Skorohod representation theorem

Assume $X_n$ are random variables such that $\mathbb{P}(X_n \leq B)=1$ for some random variable $B$. Assume also $X_n \Rightarrow X$ ($X_n$ converges weakly to $X$). By the skorohod representation ...
4
votes
0answers
83 views

Identifying the joint distribution from some values of $t \cdot X$

Suppose that $S$ is a subset of $\mathbb{R}^n$ and $X, Y$ are $\mathbb{R}^n$ valued RVs. We already know that $X$ and $Y$ are equidistributed iff $t \cdot X=^d t\cdot Y$ for all $t \in \mathbb{R}^n$. ...
4
votes
0answers
129 views

Is Hoeffding's bound tight in any way?

The inequality: $$\Pr(\overline X - \mathrm{E}[\overline X] \geq t) \leq \exp \left( - \frac{2n^2t^2}{\sum_{i=1}^n (b_i - a_i)^2} \right) $$ Is this bound (or any other form of hoeffding) tight in ...
4
votes
0answers
132 views

A Fibonacci like Stochastic process

Let $X_0, X_1$ and $\{a_n,n\geq0\}$ are i.i.d. $\sim $Bernoulli$(1/2)$ taking values in $\{0,2\}$. Let us define $X_n$ for $n>1$ as below$$X_{n+1}=a_nX_n+a_{n-1}X_{n-1},\ n\geq1 $$ Then it follows ...
4
votes
0answers
233 views

Relation between factor graph and conditional probability distribution

First, I'm from computer science. I don't know how to say this problem in a mathematical way. So please bear with me. The question Let say I have a factor graph illustrated in the figure. The ...
4
votes
0answers
5k views

Characteristic functions of random variables (Poisson, Gamma, etc.)

My self-study in measure and probability theory as finally brought me to the subject of characteristic functions, and I have not handled these in the past with any rigor at all, so all of this is ...
3
votes
0answers
52 views

$P(|X_1+X_2|<x)\le P(|X_1|<x)$ for every independent centered continuous $X_1$ and $X_2$?

Let $X_1$ and $X_2$ be zero mean independent continuous random variables. Then, is it true that $P(|X_1+X_2|<x)\le P(|X_1|<x)$. The intuition is that summing independent variables increase ...
3
votes
0answers
85 views

Trace of power of random matrix / sum of random variables with semicircle distribution

I want to calculate the expectation value for the trace of the $m$-th power of the $n\times n$ adjacency matrix $A$ of a large Erdos-Renyi random graph (without self-coupling, i.e., all diagonal ...
3
votes
0answers
52 views

What does $\Bbb E[X|Y]\Bbb E[Y]$ simplify to?

My Goal I am trying to figure out what $\Bbb E[X|Y]\Bbb E[Y]$ simplifies to. My Work So Far I have the following train of thought $$\Bbb E[X|Y] = \sum_i x_i \Bbb P(X=x_i|Y=y_j)$$ $$\Bbb E[Y] = \...
3
votes
0answers
63 views

If $X_n\nearrow X$ then $E(X_n)\rightarrow E(X)$?

Let $(X_n)$ be an increasing sequence of real valued integrable rvs on a probability space $(\Omega,\mathcal{F},P)$, such that $(X_n)$ converges ae to some rv $X$. Is it true that $E(X_n)\rightarrow E(...
3
votes
0answers
139 views

Random Variable: Ordered List of ints.

You are given an ordered list of integers : 1, 2, ...100. You then randomly permute (reorder) the integers. a.) Define a random variable that indicates whether or not a pair of integers in the list ...
3
votes
0answers
51 views

Sum of inverse chi squared random variables

Let $X$ and $Y$ be two i.i.d. random variables that follow an inverse chi squared distribution. Let $\nu$ be the corresponding degrees of freedom parameter. What is the distribution of the sum $S=X+Y$...
3
votes
0answers
35 views

A sequence converging to 0 in probability times a sequence bounded in probability

I'm trying to prove the following from Lehman's "Elements of Large Sample Theory" Lemma 2.3.1: If the sequence $\{Y_n, n=1,2,\ldots\}$ is bounded in probability and if $\{C_n\}$ is a sequence of ...
3
votes
0answers
31 views

Convergence in distribution, in $L^p$ and convergence of first and second moments

For some application, we have the following three assumptions about a sequence of Random Variables $X_n$ (with values in $\mathbb{R}^+$, $n \geq 1$: There exists a $X \geq 0$ such that a) $X_n \...
3
votes
0answers
20 views

The boundedness of a certain sequence of expectations

In Bálint Tóth's paper, "No More Than Three Favourite Sites for Simple Random Walk", while proving one of the many technical lemmas in his theorem's proof, he makes the following claim: suppose for ...
3
votes
0answers
46 views

Uniformly sampling points from inside a region of cube

Let the dimension n=200 be fixed. The problem I am interested in is sampling points in n-dimensional Euclidean space uniformly from the region $$ \sum_{i=1}^{n} x_{i}\leq 1, $$ where $0\leq x_{i}...
3
votes
0answers
58 views

Limiting sequence of exponential random variables

Let $\eta_k$ be i.i.d. random variables having an exponential distribution, $$F_\lambda(x) = P(\eta_k \leq x) = 1-e^{-\lambda x}$$ for $x \geq 0$. Consider a sequence $\xi_k = F_{\lambda}(\eta_k)$. ...
3
votes
0answers
38 views

Why the case of independence of random variables is more important than any other specific type of dependence?

Maybe a stupid question but why is the case of independence of, say, two random variables $X$ and $Y$ is in some ways considered to be more ``central'' or more important than any other type of fixed ...
3
votes
0answers
49 views

What is the Skewness of a Geometric Brownian Motion?

Consider a GBM : $$S(t) = S(0)\exp\left({(\mu-\frac{1}{2}\sigma^2) t + \sigma W_t}\right)$$ $$d\log S(t) = (\mu-\frac{1}{2}\sigma^2) t + \sigma dW_t$$ $$\frac{d S(t)}{S(t)} = \mu t + \sigma ...
3
votes
0answers
34 views

Linear combination of i.i.d random variables

We say that a random variable $X$ satisfies the $(\alpha,\beta)-$condition for some $\alpha>0$ and $\beta>0$ if $$\mathbb{P}(|X|<t)<\alpha t\text{ and }\mathbb{P}(|X|>t)<e^{-\beta t}\...
3
votes
0answers
69 views

PDF of Random Variable $\sin\alpha \cdot \cos\beta$ with $\alpha,\beta$ uniform

As part of a bigger problem, I want to compute the probability density $f_Z(z)$ of $$Z = \sin\alpha \cdot \cos\beta$$ where $\alpha, \beta$ are random variables, independently and uniformly ...
3
votes
0answers
98 views

Book on Convergence Concepts in Probability without Measure Theory

I am looking for a comprehensive book on Probability which discusses Convergence of Random Variables in detail, excluding portions of Measure Theory. Allan Gut's "Probability: A Graduate Course" seems ...
3
votes
0answers
134 views

Estimating the support of a probability density function

The inverse moment problem deals with the reconstruction of a probability density function (PDF) of a random variable (RV) by means of its statistical moments. In the special case of the Hausdorff ...
3
votes
0answers
49 views

Rao-Cramer lower bound regularity condition and dominated convergence

Let $(\mathcal{X}, \mathcal{F}, (\mathbb{P}_\vartheta)_{\vartheta \in \Theta})$ be a statistical model dominated by a sigma-finite measure $\mu$ with Likelihood-function $L(\vartheta, x)$ which is ...
3
votes
0answers
212 views

Central Limit Theorem for independent but non identically distributed random variables

My question is the following: Given the sum of R.V.s, $Z_N = X_1 + X_2 + ... +X_N $, where $X_i$ are independent, Rice distributed ($X_i\sim Rice(\mu_i,\sigma) $), is there any way to approximate $...
3
votes
0answers
75 views

Simple random walk conditioning on non-return

Consider a simple symmetric random walk on $\mathbb{Z}$, $(S_t)_{t \geq 0}$, with $S_0=0$. Let $k$ and $j$ be two positive integers. Let $P_{k,j}$ be the probability that the walker hits the vertex $k$...
3
votes
0answers
77 views

Almost sure limit of $\log(X_1 + X_2 + … + X_n) - \log(n)$

Let $X_n$ be an i.i.d. sequence of positive random variables with expectation 2 and variance 1. What is the almost sure limit of $$\log(X_1 + X_2 + ... + X_n) - \log(n)$$ as $n \to \infty$ Would it ...
3
votes
0answers
1k views

Problem with the expectation of a maximum of independent gamma distributed random variables

Having a problem with the expectation of the maximum among $n$ independent random variables $ X_1, X_2 \dots X_n$ all ~ the same class of distributions but not necessarily the same mean and other ...
3
votes
0answers
305 views

Covariance matrix and Gaussian i.i.d. random variables

I have a set $X = \left \{ X_i | i \in (1,n) \wedge X_i \text{ is a random variable} \right \} $ Does $\forall i \in (1,n ), X_i \text{ follows a normal distribution} $ implies that $\...
3
votes
0answers
157 views

Intuition behind (statistical) completeness

I was wondering if any of the members of the MSE community would like to share his/her intuition about completeness in statistics. For the sake of "completeness", here's the definition, taken from ...
3
votes
0answers
3k views

Relation between standard deviation and mean in random processes

In a Poisson distribution the square of the standard deviation $\sigma$ is equal to mean $\mu$ ($\sigma^2=\mu$) and in a binomial distribution $\sigma ^2=\mu\,(1-p)$ (with $p$ the probability of ...
3
votes
0answers
106 views

Intuition of $ P( X = a) $ for a continuous random variable?

Let $(\Omega, {\cal B}, P )$ be a probability space, $( \mathbb{R}, {\cal R} )$ the usual measurable space of reals and its Borel $\sigma$- algebra, and $X : \Omega \rightarrow \mathbb{R}$ a random ...
3
votes
0answers
197 views

Joint distribution between a uniform random variable and a function which is “almost” independent from it

Motivation Let $f(\cdot)$ be a (possibly randomized) function, such that for any random variable $X$ (taking values from a finite set $D$), $X$ and $f(X)$ are statistically independent. Let $U, U_1, ...
3
votes
0answers
118 views

How many independent random variables can be defined over a standard probability space.

Consider the probability space $(0,1)$ equipped with the Borel $\sigma$-algebra and the uniform-distribution as the probability. Is there a set of independent random variables defined on it with the ...
3
votes
0answers
39 views

Squares of random binary matrices

Are there results/techniques pertaining to the analysis of squares of random matrices ? More specifically, let $A$ be an $n\times n$ matrix such that each entry is $1$ or $-1$ independently and with ...