Symbolic calculus in mathematical statistics: a review

zbMATH Open1380.62087arXiv1512.08379MaRDI QIDQ2362276FDOQ2362276

Authors: E. Di Nardo 

Publication date: 7 July 2017

Published in: Séminaire Lotharingien de Combinatoire (Search for Journal in Brave)

Abstract: In the last ten years, the employment of symbolic methods has substantially extended both the theory and the applications of statistics and probability. This survey reviews the development of a symbolic technique arising from classical umbral calculus, as introduced by Rota and Taylor in $1994.$ The usefulness of this symbolic technique is twofold. The first is to show how new algebraic identities drive in discovering insights among topics apparently very far from each other and related to probability and statistics. One of the main tools is a formal generalization of the convolution of identical probability distributions, which allows us to employ compound Poisson random variables in various topics that are only somewhat interrelated. Having got a different and deeper viewpoint, the second goal is to show how to set up algorithmic processes performing efficiently algebraic calculations. In particular, the challenge of finding these symbolic procedures should lead to a new method, and it poses new problems involving both computational and conceptual issues. Evidence of efficiency in applying this symbolic method will be shown within statistical inference, parameter estimation, L'evy processes, and, more generally, problems involving multivariate functions. The symbolic representation of Sheffer polynomial sequences allows us to carry out a unifying theory of classical, Boolean and free cumulants. Recent connections within random matrices have extended the applications of the symbolic method.

Full work available at URL: https://arxiv.org/abs/1512.08379

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zbMATH Keywords

umbral calculusSheffer polynomialscompound Poisson random variables

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Parametric inference (62Fxx) Umbral calculus (05A40) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (5)

• On non-linear dependence of multivariate subordinated Lévy processes
• A cumulant approach for the first-passage-time problem of the Feller square-root process
• A symbolic method for \(k\)-statistics
• Approximating the first passage time density from data using generalized Laguerre polynomials
• Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix

Uses Software

• Maple

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