IDEAS home Printed from https://ideas.repec.org/a/spr/jotpro/v23y2010i4d10.1007_s10959-009-0239-1.html
   My bibliography  Save this article

Canonical Moments and Random Spectral Measures

Author

Listed:
  • F. Gamboa

    (Université de Toulouse, Université Paul Sabatier)

  • A. Rouault

    (Université Versailles-Saint-Quentin)

Abstract

We study some connections between the random moment problem and random matrix theory. A uniform draw in a space of moments can be lifted into the spectral probability measure of the pair (A,e), where A is a random matrix from a classical ensemble, and e is a fixed unit vector. This random measure is a weighted sampling among the eigenvalues of A. We also study the large deviations properties of this random measure when the dimension of the matrix increases. The rate function for these large deviations involves the reversed Kullback information.

Suggested Citation

  • F. Gamboa & A. Rouault, 2010. "Canonical Moments and Random Spectral Measures," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1015-1038, December.
    • Handle: RePEc:spr:jotpro:v:23:y:2010:i:4:d:10.1007_s10959-009-0239-1
    DOI: 10.1007/s10959-009-0239-1
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10959-009-0239-1
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10959-009-0239-1?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. A. Dawson, Donald & Feng, Shui, 2001. "Large deviations for the Fleming-Viot process with neutral mutation and selection, II," Stochastic Processes and their Applications, Elsevier, vol. 92(1), pages 131-162, March.
    2. Gamboa, F. & Rouault, A. & Zani, M., 1999. "A functional large deviations principle for quadratic forms of Gaussian stationary processes," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 299-308, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Schraiber, Joshua G., 2014. "A path integral formulation of the Wright–Fisher process with genic selection," Theoretical Population Biology, Elsevier, vol. 92(C), pages 30-35.
    2. Fatheddin, Parisa & Xiong, Jie, 2015. "Large deviation principle for some measure-valued processes," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 970-993.
    3. da Silva, Telles Timóteo & Fragoso, Marcelo D., 2008. "Sample paths of jump-type Fleming-Viot processes with bounded mutation operators," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1784-1791, September.
    4. Maïda, M. & Najim, J. & Péché, S., 2007. "Large deviations for weighted empirical mean with outliers," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1373-1403, October.
    5. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
    6. Boistard Hélène, 2007. "Large deviations for L-statistics," Statistics & Risk Modeling, De Gruyter, vol. 25(2/2007), pages 1-37, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jotpro:v:23:y:2010:i:4:d:10.1007_s10959-009-0239-1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.