On classical and free stable laws

Nizar Demni (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

We derive the representative Bernstein measure of the density of $(X_{\alpha})^{-\alpha/(1-\alpha)}, 0 < \alpha < 1$, where $X_{\alpha}$ is a positive stable random variable, as a Fox-H function. When $1-\alpha = 1/j$ for some integer $j \geq 2$, 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 $(j-1)$ independent Beta random variables. When $\alpha$ 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 $\alpha$. 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.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Analyse classique [math.CA]

Nizar Demni. On classical and free stable laws. 2010. ⟨hal-00521017v2⟩