Free Quadratic Harness
Probability
2011-09-13 v2
Abstract
Free quadratic harness is a Markov process from the class of quadratic harnesses, i.e. processes with linear regressions and quadratic conditional variances. The process has recently been constructed for a restricted range of parameters in the paper "Askey-Wilson polynomials, quadratic harnesses and martingales" by W. Bryc and J. Weso{\l}owski using Askey--Wilson polynomials. Here we provide a self-contained construction of the free quadratic harness for all values of parameters.
Keywords
Cite
@article{arxiv.1003.4771,
title = {Free Quadratic Harness},
author = {Wlodzimierz Bryc and Wojciech Matysiak and Jacek Wesołowski},
journal= {arXiv preprint arXiv:1003.4771},
year = {2011}
}