Positive definite functions and stable random vectors |
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Authors: | Alexander Koldobsky |
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Institution: | 1.Department of Mathematics,University of Missouri,Columbia,USA |
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Abstract: | We say that a random vector X = (X
1, …, X
n
) in ℝ
n
is an n-dimensional version of a random variable Y if, for any a ∈ ℝ
n
, the random variables Σa
i
X
i
and γ(a)Y are identically distributed, where γ: ℝ
n
→ 0,∞) is called the standard of X. An old problem is to characterize those functions γ that can appear as the standard of an n-dimensional version. In this paper, we prove the conjecture of Lisitsky that every standard must be the norm of a space that
embeds in L
0. This result is almost optimal, as the norm of any finite-dimensional subspace of L
p
with p ∈ (0, 2] is the standard of an n-dimensional version (p-stable random vector) by the classical result of P. Lèvy. An equivalent formulation is that if a function of the form f(‖ · ‖
K
) is positive definite on ℝ
n
, where K is an origin symmetric star body in ℝ
n
and f: ℝ → ℝ is an even continuous function, then either the space (ℝ
n
, ‖·‖
K
) embeds in L
0 or f is a constant function. Combined with known facts about embedding in L
0, this result leads to several generalizations of the solution of Schoenberg’s problem on positive definite functions. |
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Keywords: | |
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