Large deviations for random matricial moment problems

DOI10.1016/J.JMVA.2011.11.006MaRDI QIDQ765824zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

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