Askey--Wilson polynomials, quadratic harnesses and martingales

By Wlodzimierz Bryc, J. Wesołowski. 2008

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We use orthogonality measures of Askey--Wilson polynomials to construct Markov processes with linear regressions and quadratic conditional variances. Askey--Wilson polynomials are orthogonal martingale polynomials for these processes.

Subfields: Artificial Intelligence, Discrete Mathematics and Combinatorics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/076338362d9ab447c763ee3d890b4db98e7a9bb0