Large deviations for random matricial moment problems

DOI10.1016/J.JMVA.2011.11.006zbMATH Open1236.15068arXiv1011.0299OpenAlexW2050993885MaRDI QIDQ765824FDOQ765824

Authors: Fabrice Gamboa, Jan Nagel, Alain Rouault, Jens Wagener 

Publication date: 22 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We consider the moment space $mathcal{M}_n^K$ corresponding to $pimesp$ complex matrix measures defined on $K$ ($K=[0,1]$ or $K=D$). We endow this set with the uniform law. We are mainly interested in large deviations principles (LDP) when $nightarrowinfty$. First we fix an integer $k$ and study the vector of the first $k$ components of a random element of $mathcal{M}_n^K$. We obtain a LDP in the set of $k$-arrays of $pimesp$ matrices. Then we lift a random element of $mathcal{M}_n^K$ into a random measure and prove a LDP at the level of random measures. We end with a LDP on Carth'eodory and Schur random functions. These last functions are well connected to the above random measure. In all these problems, we take advantage of the so-called canonical moments technique by introducing new (matricial) random variables that are independent and have explicit distributions.

Full work available at URL: https://arxiv.org/abs/1011.0299

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zbMATH Keywords

large deviationsrandom matricesSchur functionsmoment spacescanonical momentsCaratheodory functions

Mathematics Subject Classification ID

Large deviations (60F10) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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Cited In (15)

• Distributions on matrix moment spaces
• The maximization of determinants of block Toeplitz matrices with applications in optimal design theory
• Canonical moments and random spectral measures
• Large deviations of spread measures for Gaussian matrices
• Large deviations for random power moment problem.
• Operator-valued spectral measures and large deviations
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• Hankel determinants of random moment sequences
• Another look at the moment method for large dimensional random matrices
• Determinants of block Hankel matrices for random matrix-valued measures
• Sum rules and large deviations for spectral matrix measures

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