227 research outputs found
On the computation of classical, boolean and free cumulants
This paper introduces a simple and computationally efficient algorithm for
conversion formulae between moments and cumulants. The algorithm provides just
one formula for classical, boolean and free cumulants. This is realized by
using a suitable polynomial representation of Abel polynomials. The algorithm
relies on the classical umbral calculus, a symbolic language introduced by Rota
and Taylor in 1994, that is particularly suited to be implemented by using
software for symbolic computations. Here we give a MAPLE procedure. Comparisons
with existing procedures, especially for conversions between moments and free
cumulants, as well as examples of applications to some well-known distributions
(classical and free) end the paper.Comment: 14 pages. in press, Applied Mathematics and Computatio
Cumulants, lattice paths, and orthogonal polynomials
A formula expressing free cumulants in terms of the Jacobi parameters of the
corresponding orthogonal polynomials is derived. It combines Flajolet's theory
of continued fractions and Lagrange inversion. For the converse we discuss
Gessel-Viennot theory to express Hankel determinants in terms of various
cumulants.Comment: 11 pages, AMS LaTeX, uses pstricks; revised according to referee's
suggestions, in particular cut down last section and corrected some wrong
attribution
On a symbolic representation of non-central Wishart random matrices with applications
By using a symbolic method, known in the literature as the classical umbral
calculus, the trace of a non-central Wishart random matrix is represented as
the convolution of the trace of its central component and of a formal variable
involving traces of its non-centrality matrix. Thanks to this representation,
the moments of this random matrix are proved to be a Sheffer polynomial
sequence, allowing us to recover several properties. The multivariate symbolic
method generalizes the employment of Sheffer representation and a closed form
formula for computing joint moments and cumulants (also normalized) is given.
By using this closed form formula and a combinatorial device, known in the
literature as necklace, an efficient algorithm for their computations is set
up. Applications are given to the computation of permanents as well as to the
characterization of inherited estimators of cumulants, which turn useful in
dealing with minors of non-central Wishart random matrices. An asymptotic
approximation of generalized moments involving free probability is proposed.Comment: Journal of Multivariate Analysis (2014
New characterization of two-state normal distribution
In this article we give a purely noncommutative criterion for the
characterization of two-state normal distribution. We prove that families of
two-state normal distribution can be described by relations which is similar to
the conditional expectation in free probability, but has no classical analogue.
We also show a generalization of Bozejko, Leinert and Speicher's formula
(relating moments and noncommutative cumulants).Comment: 19 pages, 2 figures, accepted for publication by Infinite Dimensional
Analysis, Quantum Probability and Related Topic
Weighted dependency graphs
The theory of dependency graphs is a powerful toolbox to prove asymptotic
normality of sums of random variables. In this article, we introduce a more
general notion of weighted dependency graphs and give normality criteria in
this context. We also provide generic tools to prove that some weighted graph
is a weighted dependency graph for a given family of random variables.
To illustrate the power of the theory, we give applications to the following
objects: uniform random pair partitions, the random graph model ,
uniform random permutations, the symmetric simple exclusion process and
multilinear statistics on Markov chains. The application to random permutations
gives a bivariate extension of a functional central limit theorem of Janson and
Barbour. On Markov chains, we answer positively an open question of Bourdon and
Vall\'ee on the asymptotic normality of subword counts in random texts
generated by a Markovian source.Comment: 57 pages. Third version: minor modifications, after review proces
- …