On positivity of orthogonal series and its applications in probability

DOI10.1007/S11117-022-00883-4MaRDI QIDQ6353044arXivFDO

Authors Paweł Jerzy Szabłowski

Publication date 5 November 2020

Published in arXiv

Full work available at URL https://doi.org/10.1007/S11117-022-00883-4

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Fourier series in special orthogonal functions (Legendre polynomials, Walsh functions, etc.) (42C10) Probability distributions: general theory (60E05) Transition functions, generators and resolvents (60J35)

arXiv classification

math.FAmath.PR

Abstract: We give necessary and sufficient conditions for an orthogonal series to converge in the mean-squares to a nonnegative function. We present many examples and applications, in analysis and probability. In particular, we give necessary and sufficient conditions for a Lancaster-type of expansion $$ with two sets of orthogonal polynomials $leftalph{a}_{n}ight$ and $$ to converge in means-squares to a nonnegative bivariate function. In particular, we study the properties of the set $$ of the sequences $left{c}_{n}ight,$ for which the above-mentioned series converge to a nonnegative function and give conditions for the membership to it. Further we show that the class of bivariate distributions for which a Lancaster type expansion can be found, is the same as the class of distributions having all conditional moments in the form of polynomials in the conditioning random variable.

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