Some stochastic processes related to random density functions
The authors investigate the properties of the random density function \(f(t)=| \sum a_ n\phi_ n(t)|\) 2, where (i) \(\{\phi_ n\}\) is one of the four orthonormal function systems: trigonometric, Jacobi, Hermite or Laguerre, and (ii) \(\{a_ n\}\) is given by \(a_ 0=\pm (1- U_ 1)^{1/2}\), and \[ a_ n=\pm [U_ 1U_ 2...U_ n(1- U_{n+1})]^{1/2}\quad for\quad n=1,2,..., \] where the signs of \(a_ n\) are arbitrarily chosen and \(\{U_ n\}\) is a sequence of i.i.d. random variables in the unit interval. They show that with probability one, f is analytic and has at most a finite number of zeros in any finite interval. Also, if the Hermite or Laguerre system is used then the tails of f converge rapidly to zero and all moments exist.
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