Meixner matrix ensembles

Details Meixner matrix ensembles Meixner matrix ensembles

2010-09-23

arxiv.org/abs/1009.4653v2

Mathematics

Probability

corrections to hyperbolic case

Scientific paper

We construct a family of matrix ensembles that fits Anshelevich's regression
postulates for "Meixner laws on matrices". We show that the Laplace transform
of a general n by n Meixner matrix ensemble satisfies a system of partial
differential equations which is explicitly solvable for n=2. We rely on these
solutions to identify the six types of 2 by 2 Meixner matrix ensembles.

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