Kanter random variable and positive free stable distributions

Nizar Demni

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)137-149
Number of pages13
JournalElectronic Communications in Probability
Volume16
DOIs
StatePublished - Jan 1 2011

Keywords

  • Fox H-function
  • Free probability
  • Stable laws

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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