Regular variation and free regular infinitely divisible laws

DOI10.1016/J.SPL.2019.108607MaRDI QIDQ2288760zbMATH OpenOpenAlexWikidataFDO

Authors Arijit Chakrabarty, Sukrit Chakraborty, Rajat Subhra Hazra

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.07119

zbMATH Keywords

free convolutionfree regular measureproduct of random matricesregular variationsubexponential

Mathematics Subject Classification ID

Noncommutative probability and statistics (46L53) Free probability and free operator algebras (46L54) Random matrices (probabilistic aspects) (60B20) Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In this article the relation between the tail behaviours of a free regular infinitely divisible (positively supported) probability measure and its L'evy measure is studied. An important example of such a measure is the compound free Poisson distribution, which often occurs as a limiting spectral distribution of certain sequences of random matrices. We also describe a connection between an analogous classical result of Embrechts et al. [1979] and our result using the Bercovici-Pata bijection.

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Cited in

(2)

• A phase transition for tails of the free multiplicative convolution powers
• On free regular infinitely divisible distributions

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