Abstract
We derive the representative Bernstein measure of the density of (Xα)−α/(1−α), 0 < α < 1, where Xα is a positive stable random variable, as a Fox-H function. Up to a factor, this measure describes the law of some function aα of a uniform random variable U on (0,π). The distribution function of a1−α(U) is then expressed through a H-function and is used to describe more explicitly the density of the analogue of Xα in the setting of free probability theory. Moreover, this density is shown to converge to a function with infinite mass when α → 0+, in contrast to the classical setting where Xα is known to converge weakly to the inverse of an exponential random variable. Analytic evidences of the occurence of aα in both the classical and the free settings conclude the exposition.
Original language | English (US) |
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Pages (from-to) | 137-149 |
Number of pages | 13 |
Journal | Electronic Communications in Probability |
Volume | 16 |
DOIs | |
State | Published - Jan 1 2011 |
Keywords
- Fox H-function
- Free probability
- Stable laws
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty