On three dimensional multivariate version of q-normal distribution and probabilistic interpretations of Askey-Wilson, Al-Salam-Chihara and q-ultraspherical polynomials

DOI10.1016/J.JMAA.2019.02.002zbMATH Open1478.60061arXiv1712.04250OpenAlexW2771943820WikidataQ128429265 ScholiaQ128429265MaRDI QIDQ2633684FDOQ2633684

Authors: Paweł Jerzy Szabłowski 

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We study properties of compactly supported, 4 parameter ewline $(h{o}_{12},h{o}_{23},h{o}_{13},q)in(-1,1{)}^{imes4}$ family of continuous type 3 dimensional distributions, that have the property that for $qightarrow{1}^{-}$ this family tends to some 3 dimensional Normal distribution. For $q=0$ we deal with 3 dimensional generalization of Kesten--McKay distribution. In a very special case when $h{o}_{12}h{o}_{13}h{o}_{23}=q$ all one dimensional marginals are identical, semicircle distributions. We find both all marginal as well as all conditional distributions. Moreover, we find also families of polynomials that are orthogonalized by these one-dimensional margins and one-dimensional conditional distributions. Consequently, we find moments of both conditional and unconditional distributions of dimensions one and two. In particular, we show that all one-dimensional and two-dimensional conditional moments of, say, order $n$ and are polynomials of the same order $n$ in the conditioning random variables. Finding above mentioned orthogonal polynomials leads us to a probabilistic interpretation of these polynomials. Among them are the famous Askey-Wilson, Al-Salam--Chihara polynomials considered in the complex, but conjugate, parameters, as well as q-Hermite and Rogers polynomials. It seems that this paper is one of the first papers that give a probabilistic interpretation of Rogers (continuous q-ultraspherical) polynomials.

Full work available at URL: https://arxiv.org/abs/1712.04250

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zbMATH Keywords

Askey-Wilson polynomialsKesten-McKay distributions\(q\)-Hermite and Rogers polynomials

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Other special orthogonal polynomials and functions (33C47)

Cites Work

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Cited In (4)

• Multidimensional \(q\)-normal and related distributions -- Markov case
• Bivariate \(q\)-normal distribution for transition matrix elements in quantum many-body systems
• On the families of polynomials forming a part of the Askey–Wilson scheme and their probabilistic applications
• Statistical nuclear spectroscopy with \(q\)-normal and bivariate \(q\)-normal distributions and \(q\)-Hermite polynomials

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