A law of the iterated logarithm for a class of polynomial hypergroups

We consider stationary ₀-valued Markov chains whose transition probabilities are associated with convolution structures of measures which are induced by linearization formulas of orthogonal polynomials. The best known examples are random walks on polynomial hypergroups and generalized birth and death random walks. Using central limit theorems derived in a recent paper by the author and some martingale arguments, we here prove a law of the iterated logarithm for a class of such Markov chains.     

The Polynomial Method for Random Matrices

We define a class of “algebraic” random matrices. These are random matrices for which the Stieltjes transform of the limiting eigenvalue distribution function is algebraic, i.e., it satisfies a (bivariate) polynomial equation. The Wigner and Wishart matrices whose limiting eigenvalue distributions are given by the semicircle law and the Marčenko–Pastur law are special cases. Algebraicity of a random matrix sequence is shown to act as a certificate of the computability of the limiting eigenvalue density function. The limiting moments of algebraic random matrix sequences, when they exist, are shown to satisfy a finite depth linear recursion so that they may often be efficiently enumerated in closed form. In this article, we develop the mathematics of the polynomial method which allows us to describe the class of algebraic matrices by its generators and map the constructive approach we employ when proving algebraicity into a software implementation that is available for download in the form of the RMTool random matrix “calculator” package. Our characterization of the closure of algebraic probability distributions under free additive and multiplicative convolution operations allows us to simultaneously establish a framework for computational (noncommutative) “free probability” theory. We hope that the tools developed allow researchers to finally harness the power of infinite random matrix theory.     

The Matsumoto-Yor property and the structure of the Wishart distribution

This paper establishes a link between a generalized matrix Matsumoto-Yor (MY) property and the Wishart distribution. This link highlights certain conditional independence properties within blocks of the Wishart and leads to a new characterization of the Wishart distribution similar to the one recently obtained by Geiger and Heckerman but involving independences for only three pairs of block partitionings of the random matrix.In the process, we obtain two other main results. The first one is an extension of the MY independence property to random matrices of different dimensions. The second result is its converse. It extends previous characterizations of the matrix generalized inverse Gaussian and Wishart seen as a couple of distributions.We present two proofs for the generalized MY property. The first proof relies on a new version of Herz's identity for Bessel functions of matrix arguments. The second proof uses a representation of the MY property through the structure of the Wishart.     

Laws of large numbers for polynomial hypergroups and some applications

There are introduced moments on polynomial hypergroups. These moments are used to prove strong laws of large number (SSLLNs) for random walks on the nonnegative integers that are homogeneous with respect to a polynomial hypergroup where SLLNs of different kind appear for polynomial hypergroups thth different properties. Furthermore, we discuss polynomial hypergroups that are associated with some discrete semigroups in a canonical way, and, using SLLNs for polynomial hypergroups, we get SLLNs for isotropic random walks on some discrete semigroups.     

An alternative method for computing mean and covariance matrix of some multivariate distributions

Computing the mean and covariance matrix of some multivariate distributions, in particular, multivariate normal distribution and Wishart distribution are considered in this article. It involves a matrix transformation of the normal random vector into a random vector whose components are independent normal random variables, and then integrating univariate integrals for computing the mean and covariance matrix of a multivariate normal distribution. Moment generating function technique is used for computing the mean and covariances between the elements of a Wishart matrix. In this article, an alternative method that uses matrix differentiation and differentiation of the determinant of a matrix is presented. This method does not involve any integration.     

The central limit theorem for stationary Markov processes with normal generator—with applications to hypergroups

We extend the central limit theorem for additive functionals of a stationary, ergodic Markov chain with normal transition operator due to Gordin and Lif?ic, 1981 [A remark about a Markov process with normal transition operator, In: Third Vilnius Conference on Probability and Statistics 1, pp. 147–48] to continuous-time Markov processes with normal generators. As examples, we discuss random walks on compact commutative hypergroups as well as certain random walks on non-commutative, compact groups.     

Markov processes of infinitely many nonintersecting random walks

Consider an N-dimensional Markov chain obtained from N one-dimensional random walks by Doob h-transform with the q-Vandermonde determinant. We prove that as N becomes large, these Markov chains converge to an infinite-dimensional Feller Markov process. The dynamical correlation functions of the limit process are determinantal with an explicit correlation kernel. The key idea is to identify random point processes on ${\mathbb Z}$ with q-Gibbs measures on Gelfand–Tsetlin schemes and construct Markov processes on the latter space. Independently, we analyze the large time behavior of PushASEP with finitely many particles and particle-dependent jump rates (it arises as a marginal of our dynamics on Gelfand–Tsetlin schemes). The asymptotics is given by a product of a marginal of the GUE-minor process and geometric distributions.     

Wishart ratios with dependent structure: New members of the bimatrix beta type IV

In multivariate statistics under normality, the problems of interest are random covariance matrices (known as Wishart matrices) and “ratios” of Wishart matrices that arise in multivariate analysis of variance (MANOVA) (see 24). The bimatrix variate beta type IV distribution (also known in the literature as bimatrix variate generalised beta; matrix variate generalization of a bivariate beta type I) arises from “ratios” of Wishart matrices. In this paper, we add a further independent Wishart random variate to the “denominator” of one of the ratios; this results in deriving the exact expression for the density function of the bimatrix variate extended beta type IV distribution. The latter leads to the proposal of the bimatrix variate extended F distribution. Some interesting characteristics of these newly introduced bimatrix distributions are explored. Lastly, we focus on the bivariate extended beta type IV distribution (that is an extension of bivariate Jones’ beta) with emphasis on P(X₁<X₂) where X₁ is the random stress variate and X₂ is the random strength variate.     

A law of the iterated logarithm for Markov chains on ℕ0 associated with orthogonal polynomials

We derive laws of the iterated logarithm for Markov chains on the nonnegative integers whose transition probabilities are associated with a sequence of orthogonal polynomials. These laws can be applied to a large class of birth and death random walks and random walks on polynomial hypergroups. In particular, the results of our paper lead immediately to a law of the iterated logarithm for the growth of the distance of isotropic random walks on infinite distance-transitive graphs as well as on certain finitely generated semigroups from their starting points.     

Algebraic quantum hypergroups

An algebraic quantum group is a regular multiplier Hopf algebra with integrals. In this paper we will develop a theory of algebraic quantum hypergroups. It is very similar to the theory of algebraic quantum groups, except that the comultiplication is no longer assumed to be a homomorphism. We still require the existence of a left and of a right integral. There is also an antipode but it is characterized in terms of these integrals. We construct the dual, just as in the case of algebraic quantum groups and we show that the dual of the dual is the original quantum hypergroup. We define algebraic quantum hypergroups of compact type and discrete type and we show that these types are dual to each other. The algebraic quantum hypergroups of compact type are essentially the algebraic ingredients of the compact quantum hypergroups as introduced and studied (in an operator algebraic context) by Chapovsky and Vainerman.We will give some basic examples in order to illustrate different aspects of the theory. In a separate note, we will consider more special cases and more complicated examples. In particular, in that note, we will give a general construction procedure and show how known examples of these algebraic quantum hypergroups fit into this framework.     

The simultaneous diophantine approximation of values of functions satisfying certain n variable q-difference equations

In a previous paper lower bounds were obtained on the simultaneous diophantine approximation of values of certain functions which satisfy linear q-difference equations. In the present paper these results are generalized from n = 1 to n > 1 variables. In order to better see what some of these solutions “look like” the algebraic properties of certain classes of functions are investigated, particularly with regard to a type of multiplication which is analogous to the convolution product. At the end of the paper such algebraic results are also obtained for the case n = 1.     

Distributional Fourier Transform and Convolution Associated to Chébli-Trimèche Hypergroups

 In this paper we investigate the convolution and the generalized Fourier transform related to Chébli-Trimèche hypergroups on new spaces of distributions. Boundedness, smoothness, uniqueness, and inversion theorems are established for this transform, as well as the main properties of the convolution. The theory developed is used in solving a differential equation involving a singular differential operator.     

Beyond endoscopy for the Rankin-Selberg L-function

We try to understand the poles of L-functions via taking a limit in a trace formula. This technique avoids endoscopic and Kim-Shahidi methods. In particular, we investigate the poles of the Rankin-Selberg L-function. Using analytic number theory techniques to take this limit, we essentially get a new proof of the analyticity of the Rankin-Selberg L-function at s=1. Along the way we discover the convolution operation for Bessel transforms.     

Moment Functions and Central Limit Theorem for Jacobi Hypergroups on [0,\infty [

In this paper, we derive sharp estimates and asymptotic results for moment functions on Jacobi type hypergroups. Moreover, we use these estimates to prove a central limit theorem (CLT) for random walks on Jacobi hypergroups with growing parameters $\alpha ,\beta \rightarrow \infty $ . As a special case, we obtain a CLT for random walks on the hyperbolic spaces ${H}_d(\mathbb F )$ with growing dimensions $d$ over the fields $\mathbb F =\mathbb R ,\ \mathbb C $ or the quaternions $\mathbb H $ .     

Distributional Fourier Transform and Convolution Associated to Chébli-Trimèche Hypergroups

 In this paper we investigate the convolution and the generalized Fourier transform related to Chébli-Trimèche hypergroups on new spaces of distributions. Boundedness, smoothness, uniqueness, and inversion theorems are established for this transform, as well as the main properties of the convolution. The theory developed is used in solving a differential equation involving a singular differential operator. (Received 26 January 2000; in final form 24 July 2001)     

Singular random matrix decompositions: distributions

Assuming that Y has a singular matrix variate elliptically contoured distribution with respect to the Hausdorff measure, the distributions of several matrices associated to QR, modified QR, SV and polar decompositions of matrix Y are determined, for central and non-central, non-singular and singular cases, as well as their relationship to the Wishart and pseudo-Wishart generalized singular and non-singular distributions. Some of these results are also applied to two particular subfamilies of elliptical distributions, the singular matrix variate normal distribution and the singular matrix variate symmetric Pearson type VII distribution.     

Statistical maps and generalized random walks

We continue our study of statistical maps (equivalently, fuzzy random variables in the sense of Gudder and Bugajski). In the realm of fuzzy probability theory, statistical maps describe the transportation of probability measures on one measurable space into probability measures on another measurable space. We show that for discrete probability spaces each statistical map can be represented via a special matrix the rows of which are probability functions related to conditional probabilities and the columns are related to fuzzy n-partitions of the domain. Discrete statistical maps sending a probability measure p to a probability measure q can be represented via conditional distributions and correspond to joint probabilities on the product. The composition of statistical maps provide a tool to describe and to study generalized random walks and Markov chains.     

Transient Nearest Neighbor Random Walk and Bessel Process

We prove a strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times. We show that their local times are close enough to share the same strong limit theorems. It is also shown that if the difference between the distributions of two NN random walks are small, then the walks themselves can be constructed in such a way that they are close enough. Finally, some consequences concerning strong limit theorems are discussed.     

Convolution equivalence and distributions of random sums

A serious gap in the Proof of Pakes’s paper on the convolution equivalence of infinitely divisible distributions on the line is completely closed. It completes the real analytic approach to Sgibnev’s theorem. Then the convolution equivalence of random sums of IID random variables is discussed. Some of the results are applied to random walks and Lévy processes. In particular, results of Bertoin and Doney and of Korshunov on the distribution tail of the supremum of a random walk are improved. Finally, an extension of Rogozin’s theorem is proved.     

Limit distributions of random matrices

We study limit distributions of independent random matrices as well as limit joint distributions of their blocks under normalized partial traces composed with classical expectation. In particular, we are concerned with the ensemble of symmetric blocks of independent Hermitian random matrices which are asymptotically free, asymptotically free from diagonal deterministic matrices, and whose norms are uniformly bounded almost surely. This class contains symmetric blocks of unitarily invariant Hermitian random matrices whose asymptotic distributions are compactly supported probability measures on the real line. Our approach is based on the concept of matricial freeness which is a generalization of freeness in free probability. We show that the associated matricially free Gaussian operators provide a unified framework for studying the limit distributions of sums and products of independent rectangular random matrices, including non-Hermitian Gaussian matrices and matrices of Wishart type.