Free quadratic harness |
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| Authors: | W?odzimierz Bryc Jacek Weso?owski |
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| Institution: | a Department of Mathematical Sciences, University of Cincinnati, Cincinnati, OH 45221-0025, USAb Wydzia? Matematyki i Nauk Informacyjnych, Politechnika Warszawska, Pl. Politechniki 1, 00-661 Warszawa, Poland |
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| Abstract: | Free quadratic harness is a Markov process from the class of quadratic harnesses, i.e. processes with linear regressions and quadratic conditional variances. The process has recently been constructed for a restricted range of parameters in Bryc et al. (2010) 7] using Askey-Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of the parameters. |
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| Keywords: | primary 60J25 secondary 46L53 |
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