Positive definite functions and stable random vectors

Publication date 19 November 2012

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 i n R^{n}

the random variables

s u m a_{i} X_{i}

and

g a m m a (a) Y

are identically distributed, where

g a m m a : R^{n} o [0, i n f t y)

is called the standard of

X .

An old problem is to characterize those functions

g a m m a

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 i n (0, 2]

is the standard of an

n

-dimensional version (

p

-stable random vector) by the classical result of P.L`evy. An equivalent formulation is that if a function of the form

f (| c d o t |_{K})

is positive definite on

R^{n},

where

K

is an origin symmetric star body in

R^{n}

and

f : R o R

is an even continuous function, then either the space

(R^{n}, | c d o t |_{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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