Related papers: Fast simulation of new coins from old
We study the problem of global maximization of a function f given a finite number of evaluations perturbed by noise. We consider a very weak assumption on the function, namely that it is locally smooth (in some precise sense) with respect…
Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has…
Few people use the probability theory in order to achieve image segmentation with snake models. In this article, we are presenting an active contour algorithm based on a probability approach inspired by A. Blake work and P.…
Simon's problem asks the following: determine if a function $f: \{0,1\}^n \rightarrow \{0,1\}^n$ is one-to-one or if there exists a unique $s \in \{0,1\}^n$ such that $f(x) = f(x \oplus s)$ for all $x \in \{0,1\}^n$, given the promise that…
We study maps of the unit interval whose graph is made up of two increasing segments and which are injective in an extended sense. Such maps $f_{\p}$ are parametrized by a quintuple $\p$ of real numbers satisfying inequations. Viewing…
We describe a simple Monte Carlo method for estimating $\pi$ by tossing a coin. Although the underlying Catalan-number series identities appear implicitly in the probability theory literature, the interpretation of $\frac{\pi}{4}$ presented…
Prediction, where observed data is used to quantify uncertainty about a future observation, is a fundamental problem in statistics. Prediction sets with coverage probability guarantees are a common solution, but these do not provide…
In this paper we use e-values in the context of multiple hypothesis testing assuming that the base tests produce independent, or sequential, e-values. Our simulation and empirical studies and theoretical considerations suggest that, under…
The well-know needle experiment of Buffon can be regarded as an analog (i.e., continuous) device that stochastically "computes" the number 2/pi ~ 0.63661, which is the experiment's probability of success. Generalizing the experiment and…
Parametric stochastic simulators are ubiquitous in science, often featuring high-dimensional input parameters and/or an intractable likelihood. Performing Bayesian parameter inference in this context can be challenging. We present a neural…
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect…
The Sinc approximation is a function approximation formula that attains exponential convergence for rapidly decaying functions defined on the whole real axis. Even for other functions, the Sinc approximation works accurately when combined…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
For a variant of the algorithm in [Pit19] (arXiv:1903.10816) to compute the approximate density or distribution function of a linear mixture of independent random variables known by a finite sample, it is presented a proof of the functional…
Probabilistic graphical models have emerged as a powerful modeling tool for several real-world scenarios where one needs to reason under uncertainty. A graphical model's partition function is a central quantity of interest, and its…
The following work is written in easy language for college level students. It shows how the first digit probabilities of a group of continuous real-valued functions can be calculated. Thus, examples explaining how the probabilities are…
In a multifidelity setting, data are available under the same conditions from two (or more) sources, e.g. computer codes, one being lower-fidelity but computationally cheaper, and the other higher-fidelity and more expensive. This work…
Consider the following probability puzzle: A fair coin is flipped n times. For each HT in the resulting sequence, Bob gets a point, and for each HH Alice gets a point. Who is more likely to win? We provide a proof that Bob wins more often…
The Moran process on graphs is a popular model to study the dynamics of evolution in a spatially structured population. Exact analytical solutions for the fixation probability and time of a new mutant have been found for only a few classes…
We consider solutions to so-called stochastic fixed point equation $R \stackrel{d}{=} \Psi(R)$, where $\Psi $ is a random Lipschitz function and $R$ is a random variable independent of $\Psi$. Under the assumption that $\Psi$ can be…