English

Positive definite functions and multidimensional versions of random variables

Probability 2009-03-10 v1 Functional Analysis

Abstract

We say that a random vector X=(X1,...,Xn)X=(X_1,...,X_n) in RnR^n is an nn-dimensional version of a random variable YY if for any aRna\in R^n the random variables aiXi\sum a_iX_i and γ(a)Y\gamma(a) Y are identically distributed, where γ:Rn[0,)\gamma:R^n\to [0,\infty) is called the standard of X.X. An old problem is to characterize those functions γ\gamma that can appear as the standard of an nn-dimensional version. In this paper, we prove the conjecture of Lisitsky that every standard must be the norm of a space that embeds in L0.L_0. This result is almost optimal, as the norm of any finite dimensional subspace of LpL_p with p(0,2]p\in (0,2] is the standard of an nn-dimensional version (pp-stable random vector) by the classical result of P.L\`evy. An equivalent formulation is that if a function of the form f(K)f(\|\cdot\|_K) is positive definite on Rn,R^n, where KK is an origin symmetric star body in RnR^n and f:RRf:R\to R is an even continuous function, then either the space (Rn,K)(R^n,\|\cdot\|_K) embeds in L0L_0 or ff is a constant function. Combined with known facts about embedding in L0,L_0, this result leads to several generalizations of the solution of Schoenberg's problem on positive definite functions.

Keywords

Cite

@article{arxiv.0903.1433,
  title  = {Positive definite functions and multidimensional versions of random variables},
  author = {Alexander Koldobsky},
  journal= {arXiv preprint arXiv:0903.1433},
  year   = {2009}
}
R2 v1 2026-06-21T12:19:35.639Z