Joint cumulants for natural independence

Takahiro Hasebe (Kyoto University)
Hayato Saigo (Nagahama Institute of Bio-Science and Technology)

Abstract


Many kinds of independence have been defined in non-commutative probability theory. Natural independence is an important class of independence; this class consists of five independences (tensor, free, Boolean, monotone and anti-monotone ones). In the present paper, a unified treatment of joint cumulants is introduced for natural independence. The way we define joint cumulants enables us not only to find the monotone joint cumulants but also to give a new characterization of joint cumulants for other kinds of natural independence, i.e., tensor, free and Boolean independences. We also investigate relations between generating functions of moments and monotone cumulants. We find a natural extension of the Muraki formula, which describes the sum of monotone independent random variables, to the multivariate case.

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Pages: 491-506

Publication Date: September 5, 2011

DOI: 10.1214/ECP.v16-1647

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