Dual Lukacs regressions for non-commutative variables

DOI10.1016/J.JFA.2013.09.015MaRDI QIDQ477018zbMATH OpenOpenAlexFDO

Authors Kamil Szpojankowski, Jacek Wesołowski

Publication date 2 December 2014

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.3419

zbMATH Keywords

conditional momentsLukacs characterizationfree Poisson distributionfreenessfree binomial distribution

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54)

Abstract: Dual Lukacs type characterizations of random variables in free probability are studied here. First, we develop a freeness property satisfied by Lukacs type transformations of free-Poisson and free-Binomial non-commutative variables which are free. Second, we give a characterization of non-commutative free-Poisson and free-Binomial variables by properties of first two conditional moments, which mimic Lukacs type assumptions known from classical probability. More precisely, our result is a non-commutative version of the following result known in classical probability: if $U$, $V$ are independent real random variables, such that $E(V(1-U)|UV)$ and $E(V^2(1-U{)}^2|UV)$ are non-random then $V$ has a gamma distribution and $U$ has a beta distribution.

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Cited in

(11)

• New characterization of two-state normal distribution
• Sample variance in free probability
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• Conditional expectations through Boolean cumulants and subordination -- towards a better understanding of the Lukacs property in free probability
• A characterization of the normal distribution by the independence of a pair of random vectors
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