Some properties of the free stable distributions

DOI10.1214/19-AIHP962zbMATH Open1479.60034arXiv1805.01133OpenAlexW3005261380MaRDI QIDQ2179239FDOQ2179239

Takahiro Hasebe, Min Wang, Thomas Simon

Publication date: 12 May 2020

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We investigate certain analytical properties of the free $alpha-$stable densities on the line. We prove that they are all classically infinitely divisible when $alphale1$, and that they belong to the extended Thorin class when $alphaleq3/4.$ The L'evy measure is explicitly computed for $alpha=1,$ showing that the free 1-stable random variables are not Thorin except in the drifted Cauchy case. In the symmetric case we show that the free stable densities are not infinitely divisible when $alpha>1.$ In the one-sided case we prove, refining unimodality, that the densities are whale-shaped that is their successive derivatives vanish exactly once. Finally, we derive a collection of results connected to the fine structure of the one-sided free stable densities, including a detailed analysis of the Kanter random variable, complete asymptotic expansions at zero, a new identity for the Beta-Gamma algebra, and several intrinsic properties of whale-shaped densities.

Full work available at URL: https://arxiv.org/abs/1805.01133

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zbMATH Keywords

infinite divisibilityWright functionfree stable distributionshape of densities

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Exact distribution theory in statistics (62E15) Other functions defined by series and integrals (33E20) Free probability and free operator algebras (46L54)

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