Meixner matrix ensembles
Probability
2017-10-19 v3
Abstract
We construct a family of matrix ensembles that fits Anshelevich's regression postulates for "Meixner laws on matrices". We show that the Laplace transform of a general n by n Meixner matrix ensemble satisfies a system of partial differential equations which is explicitly solvable for n=2. We rely on these solutions to identify the six types of 2 by 2 Meixner matrix ensembles.
Cite
@article{arxiv.1009.4653,
title = {Meixner matrix ensembles},
author = {Wlodek Bryc and Gerard Letac},
journal= {arXiv preprint arXiv:1009.4653},
year = {2017}
}