English

On classical and free stable laws

Statistics Theory 2011-01-13 v2 Classical Analysis and ODEs Statistics Theory

Abstract

We derive the representative Bernstein measure of the density of (Xα)α/(1α),0<α<1(X_{\alpha})^{-\alpha/(1-\alpha)}, 0 < \alpha < 1, where XαX_{\alpha} is a positive stable random variable, as a Fox-H function. When 1α=1/j1-\alpha = 1/j for some integer j2j \geq 2, the Fox H-function reduces to a Meijer G-function so that the Kanter's random variable (see below) is closely related to a product of (j1)(j-1) independent Beta random variables. When α\alpha tends to 0, the Bernstein measure becomes degenerate thereby agrees with Cressie's result for the asymptotic behaviour of stable distributions for small values of α\alpha. Coming to free probability, our result makes more explicit that of Biane on the density of its free analog. The paper is closed with analytic arguments explaining the occurence of the Kanter's random variable in both the classical and the free settings.

Keywords

Cite

@article{arxiv.1009.4926,
  title  = {On classical and free stable laws},
  author = {Nizar Demni},
  journal= {arXiv preprint arXiv:1009.4926},
  year   = {2011}
}
R2 v1 2026-06-21T16:18:47.809Z