Related papers: Joint cumulants for natural independence
In this paper, the notion of bi-Boolean independence for non-unital pairs of algebras is introduced thereby extending the notion of Boolean independence to pairs of algebras. The notion of B-$(\ell, r)$-cumulants is defined via a bi-Boolean…
It is known that the joint limit distribution of independent Wigner matrices satisfies a very special asymptotic independence, called freeness. We study the joint convergence of a few other patterned matrices, providing a framework to…
We introduce a special class of pairwise-independent self-joinings for a stationary process: Those for which one coordinate is a continuous function of the two others. We investigate which properties on the process the existence of such a…
In this paper, we develop the theory of bi-freeness in an amalgamated setting. We construct the operator-valued bi-free cumulant functions, and show that the vanishing of mixed cumulants is necessary and sufficient for bi-free independence.…
Cyclic monotone independence is an algebraic notion of noncommutative independence, introduced in the study of multi-matrix random matrix models with small rank. Its algebraic form turns out to be surprisingly close to monotone…
We study the Matsumoto-Yor property in free probability. We prove three characterizations of free-GIG and free Poisson distributions by freeness properties together with some assumptions about conditional moments. Our main tools are…
We prove a formula to express multivariate monotone cumulants of random variables in terms of their moments by using a Hopf algebra of decorated Schr\"oder trees.
To find moments of various estimators related to Autoregressive models of Statistics, one first needs the cumulants of products of two Normally distributed random variables. The purpose of this article is to derive the corresponding…
We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…
A joint mix is a random vector with a constant component-wise sum. The dependence structure of a joint mix minimizes some common objectives such as the variance of the component-wise sum, and it is regarded as a concept of extremal negative…
The purpose of this paper is twofold. First, we provide a novel characterization of independence of random vectors based on the checkerboard approximation to a multivariate copula. Using this result, we then propose a new family of tests of…
A formula expressing free cumulants in terms of the Jacobi parameters of the corresponding orthogonal polynomials is derived. It combines Flajolet's theory of continued fractions and Lagrange inversion. For the converse we discuss…
For a family of unital free *-algebras with a family of states on them, we construct a sequence of noncommutative probability spaces, which are tensor product algebras with tensor product states and which approximate the free product of…
We extend the relation between random matrices and free probability theory from the level of expectations to the level of all correlation functions (which are classical cumulants of traces of products of the matrices). We introduce the…
We introduce a new kind of free independence, called real infinitesimal freeness. We show that independent orthogonally invariant with infinitesimal laws are asymptotically real infinitesimally free. We introduce new cumulants, called real…
Copulas are popular as models for multivariate dependence because they allow the marginal densities and the joint dependence to be modeled separately. However, they usually require that the transformation from uniform marginals to the…
We study joint free cumulants of u_t and u_t^{*}, where u_t is a free unitary Brownian motion at time t. We determine explicitly some special families of such cumulants. On the other hand, for a general joint cumulant of u_t and u_t^{*}, we…
Possibilistic conditional independence is investigated: we propose a definition of this notion similar to the one used in probability theory. The links between independence and non-interactivity are investigated, and properties of these…
We show how to reduce free independence to tensor independence in the strong sense. We construct a suitable unital *-algebra of closed operators `affiliated' with a given unital *-algebra and call the associated closure `monotone'. Then we…
Many statistical applications require the quantification of joint dependence among more than two random vectors. In this work, we generalize the notion of distance covariance to quantify joint dependence among d >= 2 random vectors. We…