Distributions on unbounded moment spaces and random moment sequences

Holger Dette, Jan Nagel

Research output: Contribution to journalArticleAcademicpeer-review

6 Citations (Scopus)

Abstract

In this paper we define distributions on moment spaces corre-
sponding to measures on the real line with an unbounded support.
We identify these distributions as limiting distributions of random
moment vectors defined on compact moment spaces and as distribu-
tions corresponding to random spectral measures associated with the
Jacobi, Laguerre and Hermite ensemble from random matrix theory.
For random vectors on the unbounded moment spaces we prove a
central limit theorem where the centering vectors correspond to the
moments of the Marchenko–Pastur distribution and Wigner’s semi-
circle law.
Original languageEnglish
JournalThe Annals of Probability
Volume40
Issue number6
Publication statusPublished - 2012
Externally publishedYes

Fingerprint Dive into the research topics of 'Distributions on unbounded moment spaces and random moment sequences'. Together they form a unique fingerprint.

  • Cite this