Orthogonal polynomials via random variables

MaRDI QIDQ2895371zbMATH OpenFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 2 July 2012

Published in Utilitas Mathematica (Search for Journal in Brave)

zbMATH Keywords

Fourier expansionsorthogonal polynomialsrandom variables

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05)

Review text

Orthogonal polynomials can be generated in different ways, all of which are based on the associated measure. For instance, one can use the Gram-Schmidt procedure or the three-term recurrence relation. The authors study a random variable that is generated by a finite probability measure. Then three different ways of generating orthonormal polynomials in this random variable are compared. They argue that the best way is a particular central version of the Gram-Schmidt procedure. Explicit formulas are given for the first six polynomials generated by this random variable. Moreover, recurrence formulas are obtained for the general polynomials.

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Cited in

(16)

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• Analysis of random walks using orthogonal polynomials
• On a simple identity for the conditional expectation of orthogonal polynomials
• Dimensionwise multivariate orthogonal polynomials in general probability spaces
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• Orthogonal polynomials for seminonparametric instrumental variables model
• A note on some random orthogonal polynomials on a compact interval
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