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Dual Lukacs regressions for non-commutative variables
Authors:Kamil Szpojankowski  Jacek Weso?owski
Institution:Wydzia? Matematyki i Nauk Informacyjnych, Politechnika Warszawska, ul. Koszykowa 75, 00-662 Warszawa, Poland
Abstract:Dual Lukacs type characterizations of random variables in free probability are studied here. First, we develop a freeness property satisfied by Lukacs type transformations of free-Poisson and free-binomial non-commutative variables which are free. Second, we give a characterization of non-commutative free-Poisson and free-binomial variables by properties of first two conditional moments, which mimic Lukacs type assumptions known from classical probability. More precisely, our result is a non-commutative version of the following result known in classical probability: if U, V   are independent real random variables, such that E(V(1−U)|UV)E(V(1U)|UV) and E(V2(1−U)2|UV)E(V2(1U)2|UV) are non-random then V has a gamma distribution and U has a beta distribution.
Keywords:Lukacs characterization  Conditional moments  Freeness  Free-Poisson distribution  Free-binomial distribution
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