Wigner semicircle distribution: Difference between revisions
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In [[free probability]] theory, the role of Wigner's semicircle distribution is analogous to that of the [[normal distribution]] in classical probability theory. Namely, |
In [[free probability]] theory, the role of Wigner's semicircle distribution is analogous to that of the [[normal distribution]] in classical probability theory. Namely, |
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in free probability theory, the role of [[cumulant]]s is occupied by "free cumulants", whose relation to ordinary cumulants is simply that the role of the set of all [[partition of a set|partitions of a finite set]] in the theory of ordinary cumulants is replaced by the set of all [[noncrossing partition]]s of a finite set. Just as the cumulants of degree more than 2 of a [[probability distribution]] are all zero [[if and only if]] the distribution is normal, so also, the ''free'' cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is Wigner's semicircle distribution. |
in free probability theory, the role of [[cumulant]]s is occupied by "free cumulants", whose relation to ordinary cumulants is simply that the role of the set of all [[partition of a set|partitions of a finite set]] in the theory of ordinary cumulants is replaced by the set of all [[noncrossing partition]]s of a finite set. Just as the cumulants of degree more than 2 of a [[probability distribution]] are all zero [[if and only if]] the distribution is normal, so also, the ''free'' cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is Wigner's semicircle distribution. |
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== Related distributions == |
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=== Wigner (spherical) parabolic distribution === |
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{{Probability distribution|| |
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|name=Wigner parabolic|type=density|pdf_image=|cdf_image=|parameters=<math>R>0\!</math> [[radius]] ([[real number|real]])|support=<math>x \in [-R;+R]\!</math>|pdf=<math>\frac3{4 R^3}\,(R^2-x^2)</math>|cdf=<math>\frac1{4 R^3}\,(2R-x)\,(R+x)^2</math>|mean=|median=|mode=|variance=|skewness=|kurtosis=|entropy=|mgf=<math>3\,\frac{i_1(R\,t)}{R\,t}</math>|char=<math>3\,\frac{j_1(R\,t)}{R\,t}</math>}}The parabolic [[probability distribution]] {{Citation needed|date=October 2017}} supported on the interval [−''R'', ''R''] of radius ''R'' centered at (0, 0): |
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<math>f(x)={3 \over \ 4 R^3}{(R^2-x^2)}\, </math> |
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for −''R'' ≤ ''x'' ≤ ''R'', and ''f''(''x'') = 0 if ''|x|'' > ''R''. |
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'''Example.''' The joint distribution is |
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<math> \int_{0}^{\pi} \int_{0}^{+2\pi}\int_{0}^{R} f_{X,Y,Z}(x,y,z)R^2\, dr \sin(\theta)\, d\theta\, d\phi =1; </math> |
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<math> f_{X,Y,Z} (x,y,z) = |
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\frac3{4\pi} |
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</math> |
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Hence, the marginal PDF of the spherical (parametric) distribution is:<ref name=":0">{{Cite book|last1=Buchanan|first1=K.|last2=Huff|first2=G. H.|title=2011 IEEE International Symposium on Antennas and Propagation (APSURSI) |chapter=A comparison of geometrically bound random arrays in euclidean space |date=July 2011|pages=2008–2011|doi=10.1109/APS.2011.5996900|isbn=978-1-4244-9563-4|s2cid=10446533}}</ref> |
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<math> f_X(x) = \int_{-\sqrt{1-y^2-x^2}}^{+\sqrt{1-y^2-x^2}} \int_{-\sqrt{1-x^2}}^{+\sqrt{1-x^2}} f_{X,Y,Z}(x,y,z)\,dy\,dz ; </math> |
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<math> f_X(x) = \int_{-\sqrt{1-x^2}}^{+\sqrt{1-x^2}} 2\sqrt{1-y^2-x^2}\,dy\, ; </math> |
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<math> f_X(x) ={3 \over \ 4 }{(1-x^2)}\, ; </math> such that R=1 |
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The characteristic function of a spherical distribution becomes the pattern multiplication of the expected values of the distributions in X, Y and Z. |
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The parabolic Wigner distribution is also considered the monopole moment of the hydrogen like atomic orbitals. |
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== Wigner n-sphere distribution == |
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The normalized [[N-sphere]] probability density function supported on the interval [−1, 1] of radius 1 centered at (0, 0): |
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<math>f_n(x;n)={(1-x^2)^{(n-1)/2}\Gamma (1+n/2) \over \sqrt{\pi} \Gamma((n+1)/2)}\, (n>= -1) </math>, |
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for −1 ≤ ''x'' ≤ 1, and ''f''(''x'') = 0 if ''|x|'' > 1. |
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'''Example.''' The joint distribution is |
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<math> \int_{-\sqrt{1-y^2-x^2}}^{+\sqrt{1-y^2-x^2}} \int_{-\sqrt{1-x^2}}^{+\sqrt{1-x^2}}\int_{0}^{1} f_{X,Y,Z}(x,y,z) {\sqrt{1-x^2-y^2-z^2}^{(n)}}dx dy dz =1; </math> |
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<math> f_{X,Y,Z} (x,y,z) = |
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\frac3{4\pi} |
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</math> |
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Hence, the marginal PDF distribution is <ref name=":0" /> |
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<math> f_X(x;n) ={(1-x^2)^{(n-1)/2)}\Gamma (1+n/2) \over \ {\sqrt{\pi}} \Gamma((n+1)/2)}\, ; </math> such that R=1 |
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The cumulative distribution function (CDF) is |
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<math> F_X(x) ={2x \Gamma(1+n/2) _2 F _1 (1/2,(1-n)/2;3/2;x^2) \over \ {\sqrt{\pi}} \Gamma((n+1)/2)}\, ; </math> such that R=1 and n >= -1 |
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The characteristic function (CF) of the PDF is related to the [[beta distribution]] as shown below |
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<math> CF(t;n) ={ _1 F _1 (n/2,;n;j t/2) }\, \urcorner (\alpha =\beta =n/2); </math> |
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In terms of Bessel functions this is |
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<math> CF(t;n) ={ \Gamma(n/2+1) J_{n/2}(t)/(t/2)^{(n/2)} }\, \urcorner (n>=-1); </math> |
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Raw moments of the PDF are |
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<math> \mu'_N(n)=\int_{-1}^{+1} x^N f_{X}(x;n)dx={(1+(-1)^N) \Gamma (1+n/2) \over \ {2\sqrt{\pi}} \Gamma((2+n+N)/2)}; </math> |
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Central moments are |
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<math> \mu_0(x)=1 </math> |
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<math> \mu_1(n)=\mu_1'(n) </math> |
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<math> \mu_2(n)=\mu_2'(n)-\mu_1'^2(n) </math> |
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<math> \mu_3(n)=2\mu_1'^3(n)-3\mu_1'(n)\mu_2'(n)+\mu_3'(n) </math> |
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<math> \mu_4(n)=-3\mu_1'^4(n)+6\mu_1'^2(n)\mu_2'(n)-4\mu'_1(n)\mu'_3(n)+\mu'_4(n) </math> |
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The corresponding probability moments (mean, variance, skew, kurtosis and excess-kurtosis) are: |
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<math> \mu(x)=\mu_1'(x)=0 </math> |
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<math> \sigma^2(n)=\mu_2'(n)-\mu^2(n)=1/(2+n) </math> |
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<math> \gamma_1(n)=\mu_3/\mu^{3/2}_2=0 </math> |
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<math> \beta_2(n)=\mu_4/\mu^{2}_2=3(2+n)/(4+n) </math> |
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<math> \gamma_2(n)=\mu_4/\mu^{2}_2-3=-6/(4+n) </math> |
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Raw moments of the characteristic function are: |
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<math> \mu'_{N}(n)=\mu'_{N;E}(n)+\mu'_{N;O}(n)=\int_{-1}^{+1} cos^N (xt) f_{X}(x;n)dx+ \int_{-1}^{+1} sin^N (xt) f_{X}(x;n)dx; </math> |
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For an even distribution the moments are <ref name=TMCover1963>{{cite web|title=Antenna pattern distribution from random array|author = Thomas M. Cover|year=1963|type=MEMORANDUM RM-3502--PR|publisher=The RAND Corporation|location=Santa Monica|url=https://apps.dtic.mil/sti/pdfs/AD0296368.pdf|archive-url=https://web.archive.org/web/20210904050106/https://apps.dtic.mil/sti/pdfs/AD0296368.pdf|url-status=live|archive-date=September 4, 2021}}</ref> |
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<math> \mu_1'(t;n:E)=CF(t;n) </math> |
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<math> \mu_1'(t;n:O)=0 </math> |
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<math> \mu_1'(t;n)=CF(t;n) </math> |
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<math> \mu_2'(t;n:E)=1/2(1+CF(2t;n)) </math> |
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<math> \mu_2'(t;n:O)=1/2(1-CF(2t;n)) </math> |
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<math> \mu'_2(t;n)=1 </math> |
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<math> \mu_3'(t;n:E)=(CF(3t)+3 CF(t;n))/4 </math> |
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<math> \mu_3'(t;n:O)=0 </math> |
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<math> \mu_3'(t;n)=(CF(3t;n)+3 CF(t;n))/4 </math> |
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<math> \mu_4'(t;n:E)=(3+4 CF(2t;n)+CF(4t;n))/8 </math> |
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<math> \mu_4'(t;n:O)=(3-4 CF(2t;n)+CF(4t;n))/8 </math> |
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<math> \mu_4'(t;n)=(3+CF(4t;n))/4 </math> |
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Hence, the moments of the CF (provided N=1) are |
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<math> \mu(t;n)=\mu_1'(t)=CF(t;n)=_0F_1({2+n \over 2},-{t^2 \over 4}) </math> |
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<math> \sigma^2(t;n)=1-|CF(t;n)|^2=1-|_0F_1({2+n \over 2},-t^2/4)|^2 </math> |
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<math> \gamma_1(n)={\mu_3\over \mu^{3/2}_2}={_0F_1({2+n \over 2},-9{t^2 \over 4})-_0F_1({2+n \over 2},-{t^2 \over 4})+8|_0F_1({2+n \over 2},-{t^2 \over 4})|^3 |
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\over 4(1-|_0F_1({2+n \over 2},-{t^2 \over 4}))^2|^{(3/2)}} </math> |
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<math> \beta_2(n)={\mu_4\over\mu^{2}_2}={ |
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3+_0F_1({2+n \over 2},-4t^2)-(4 _0F_1({2+n \over 2},-{t^2 \over 4})(_0F_1({2+n \over 2},-9{t^2 \over 4}))+ |
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3_0F_1({2+n \over 2},-{t^2 \over 4})(-1+|_0F_1({2+n \over 2},-{t^2 \over 4}|^2)) |
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\over 4(-1+|_0F_1({2+n \over 2},-{t^2 \over 4}))^2|^{2}} </math> |
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<math> \gamma_2(n)=\mu_4/\mu^{2}_2-3={ |
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-9+_0F_1({2+n \over 2},-4t^2)-(4 _0F_1({2+n \over 2},-t^2/4)(_0F_1({2+n \over 2},-9{t^2 \over 4}))- |
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9_0F_1({2+n \over 2},-{t^2 \over 4}) +6|_0F_1({2+n \over 2},-{t^2 \over 4}|^3) |
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\over 4(-1+|_0F_1({2+n \over 2},-{t^2 \over 4}))^2|^{2}} </math> |
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Skew and Kurtosis can also be simplified in terms of Bessel functions. |
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The entropy is calculated as |
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<math> H_{N}(n)=\int_{-1}^{+1} f_{X}(x;n)\ln (f_{X}(x;n))dx </math> |
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The first 5 moments (n=-1 to 3), such that R=1 are |
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<math> \ -\ln(2/\pi) ; n=-1 |
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</math> |
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<math> \ -\ln(2) ;n=0 |
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</math> |
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<math> \ -1/2+\ln(\pi) ;n=1 |
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</math> |
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<math> \ 5/3-\ln(3) ;n=2 |
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</math> |
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<math> \ -7/4-\ln(1/3\pi) ; n=3 |
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</math> |
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== N-sphere Wigner distribution with odd symmetry applied == |
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The marginal PDF distribution with odd symmetry is <ref name=":0" /> |
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<math> f{_X}(x;n) ={(1-x^2)^{(n-1)/2)}\Gamma (1+n/2) \over \ {\sqrt{\pi}} \Gamma((n+1)/2)}\sgn(x)\, ; </math> such that R=1 |
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Hence, the CF is expressed in terms of Struve functions |
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<math> CF(t;n) ={ \Gamma(n/2+1) H_{n/2}(t)/(t/2)^{(n/2)} }\, \urcorner (n>=-1); </math> |
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"The Struve function arises in the problem of the rigid-piston radiator mounted in an infinite baffle, which has radiation impedance given by" <ref>{{Cite web|url=http://mathworld.wolfram.com/StruveFunction.html|title=Struve Function|last=W.|first=Weisstein, Eric|website=mathworld.wolfram.com|language=en|access-date=2017-07-28}}</ref> |
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<math> Z= { \rho c \pi a^2 [R_1 (2ka)-i X_1 (2 ka)], } </math> |
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<math> R_1 ={1-{2 J_1(x) \over 2x} , } </math> |
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<math> X_1 ={{2 H_1(x) \over x} , } </math> |
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== Example (Normalized Received Signal Strength): quadrature terms == |
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The normalized received signal strength is defined as |
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<math> |R| ={{1 \over N} | }\sum_{k=1}^N \exp [i x_n t]| </math> |
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and using standard quadrature terms |
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<math> x ={{1 \over N} }\sum_{k=1}^N \cos ( x_n t) </math> |
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<math> y ={{1 \over N} }\sum_{k=1}^N \sin ( x_n t) </math> |
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Hence, for an even distribution we expand the NRSS, such that x = 1 and y = 0, obtaining |
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<math> {\sqrt{x^2+y^2}}=x+{3 \over 2}y^2-{3 \over 2}xy^2+{1 \over 2}x^2y^2 + O(y^3) +O(y^3)(x-1) +O(y^3)(x-1)^2 +O(x-1)^3 </math> |
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The expanded form of the Characteristic function of the received signal strength becomes <ref>{{Cite web|url=http://www.dtic.upf.edu/~alozano/papers/ThesisIlaria.pdf|title=Advanced Beamforming for Distributed and Multi-Beam Networks}}</ref> |
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<math> E[x] = {1\over N }CF(t;n) </math> |
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<math> E[y^2] ={1\over 2 N}(1 - CF(2t;n)) </math> |
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<math> E[x^2] ={1\over 2N}(1 + CF(2t;n)) </math> |
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<math> E[xy^2] = {t^2 \over 3N^2} CF(t;n)^3+({N-1 \over 2N^2})(1-t CF(2t;n))CF(t;n) </math> |
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<math> E[x^2y^2] = {1\over 8N^3} (1-CF(4t;n))+({N-1 \over 4N^3})(1-CF(2t;n)^2) +({N-1 \over 3N^3})t^2CF(t;n)^4 |
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+({(N-1)(N-2)\over N^3})CF(t;n)^2(1-CF(2t;n)) </math> |
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== See also == |
== See also == |
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* [[Wigner surmise]] |
* [[Wigner surmise]] |
Revision as of 16:12, 28 April 2024
Probability density function ![]() | |||
Cumulative distribution function ![]() | |||
Parameters | radius (real) | ||
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Support | |||
CDF |
for | ||
Mean | |||
Median | |||
Mode | |||
Variance | |||
Skewness | |||
Excess kurtosis | |||
Entropy | |||
MGF | |||
CF |
The Wigner semicircle distribution, named after the physicist Eugene Wigner, is the probability distribution on [−R, R] whose probability density function f is a scaled semicircle (i.e., a semi-ellipse) centered at (0, 0):
for −R ≤ x ≤ R, and f(x) = 0 if |x| > R. The parameter R is commonly referred to as the "radius" parameter of the distribution.
The distribution arises as the limiting distribution of the eigenvalues of many random symmetric matrices, that is, as the dimensions of the random matrix approach infinity. The distribution of the spacing or gaps between eigenvalues is addressed by the similarly named Wigner surmise.
General properties
Because of symmetry, all of the odd-order moments of the Wigner distribution are zero. For positive integers n, the 2n-th moment of this distribution is
In the typical special case that R = 2, this sequence coincides with the Catalan numbers 1, 2, 5, 14, etc. In particular, the second moment is R2⁄4 and the fourth moment is R4⁄8, which shows that the excess kurtosis is −1.[1] As can be calculated using the residue theorem, the Stieltjes transform of the Wigner distribution is given by
for complex numbers z with positive imaginary part, where the complex square root is taken to have positive imaginary part.[2]
The Wigner distribution coincides with a scaled and shifted beta distribution: if Y is a beta-distributed random variable with parameters α = β = 3⁄2, then the random variable 2RY – R exhibits a Wigner semicircle distribution with radius R. By this transformation it is direct to compute some statistical quantities for the Wigner distribution in terms of those for the beta distributions, which are better known.[3] In particular, it is direct to recover the characteristic function of the Wigner distribution from that of Y:
where 1F1 is the confluent hypergeometric function and J1 is the Bessel function of the first kind. Likewise the moment generating function can be calculated as
where I1 is the modified Bessel function of the first kind. The final equalities in both of the above lines are well-known identities relating the confluent hypergeometric function with the Bessel functions.[4]
The Chebyshev polynomials of the third kind are orthogonal polynomials with respect to the Wigner semicircle distribution of radius 1.[5]
Relation to free probability
In free probability theory, the role of Wigner's semicircle distribution is analogous to that of the normal distribution in classical probability theory. Namely, in free probability theory, the role of cumulants is occupied by "free cumulants", whose relation to ordinary cumulants is simply that the role of the set of all partitions of a finite set in the theory of ordinary cumulants is replaced by the set of all noncrossing partitions of a finite set. Just as the cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is normal, so also, the free cumulants of degree more than 2 of a probability distribution are all zero if and only if the distribution is Wigner's semicircle distribution.
Related distributions
Wigner (spherical) parabolic distribution
Parameters | radius (real) | ||
---|---|---|---|
Support | |||
CDF | |||
MGF | |||
CF |
The parabolic probability distribution [citation needed] supported on the interval [−R, R] of radius R centered at (0, 0):
for −R ≤ x ≤ R, and f(x) = 0 if |x| > R.
Example. The joint distribution is
Hence, the marginal PDF of the spherical (parametric) distribution is:[6]
such that R=1
The characteristic function of a spherical distribution becomes the pattern multiplication of the expected values of the distributions in X, Y and Z.
The parabolic Wigner distribution is also considered the monopole moment of the hydrogen like atomic orbitals.
Wigner n-sphere distribution
The normalized N-sphere probability density function supported on the interval [−1, 1] of radius 1 centered at (0, 0):
,
for −1 ≤ x ≤ 1, and f(x) = 0 if |x| > 1.
Example. The joint distribution is
Hence, the marginal PDF distribution is [6]
such that R=1
The cumulative distribution function (CDF) is
such that R=1 and n >= -1
The characteristic function (CF) of the PDF is related to the beta distribution as shown below
In terms of Bessel functions this is
Raw moments of the PDF are
Central moments are
The corresponding probability moments (mean, variance, skew, kurtosis and excess-kurtosis) are:
Raw moments of the characteristic function are:
For an even distribution the moments are [7]
Hence, the moments of the CF (provided N=1) are
Skew and Kurtosis can also be simplified in terms of Bessel functions.
The entropy is calculated as
The first 5 moments (n=-1 to 3), such that R=1 are
N-sphere Wigner distribution with odd symmetry applied
The marginal PDF distribution with odd symmetry is [6]
such that R=1
Hence, the CF is expressed in terms of Struve functions
"The Struve function arises in the problem of the rigid-piston radiator mounted in an infinite baffle, which has radiation impedance given by" [8]
Example (Normalized Received Signal Strength): quadrature terms
The normalized received signal strength is defined as
and using standard quadrature terms
Hence, for an even distribution we expand the NRSS, such that x = 1 and y = 0, obtaining
The expanded form of the Characteristic function of the received signal strength becomes [9]
See also
- Wigner surmise
- The Wigner semicircle distribution is the limit of the Kesten–McKay distributions, as the parameter d tends to infinity.
- In number-theoretic literature, the Wigner distribution is sometimes called the Sato–Tate distribution. See Sato–Tate conjecture.
- Marchenko–Pastur distribution or Free Poisson distribution
References
- ^ Anderson, Guionnet & Zeitouni 2010, Section 2.1.1; Bai & Silverstein 2010, Section 2.1.1.
- ^ Anderson, Guionnet & Zeitouni 2010, Section 2.4.1; Bai & Silverstein 2010, Section 2.3.1.
- ^ Johnson, Kotz & Balakrishnan 1995, Section 25.3.
- ^ See identities 10.16.5 and 10.39.5 of Olver et al. (2010).
- ^ See Table 18.3.1 of Olver et al. (2010).
- ^ a b c Buchanan, K.; Huff, G. H. (July 2011). "A comparison of geometrically bound random arrays in euclidean space". 2011 IEEE International Symposium on Antennas and Propagation (APSURSI). pp. 2008–2011. doi:10.1109/APS.2011.5996900. ISBN 978-1-4244-9563-4. S2CID 10446533.
- ^ Thomas M. Cover (1963). "Antenna pattern distribution from random array" (PDF) (MEMORANDUM RM-3502--PR). Santa Monica: The RAND Corporation. Archived (PDF) from the original on September 4, 2021.
- ^ W., Weisstein, Eric. "Struve Function". mathworld.wolfram.com. Retrieved 2017-07-28.
{{cite web}}
: CS1 maint: multiple names: authors list (link) - ^ "Advanced Beamforming for Distributed and Multi-Beam Networks" (PDF).
- Anderson, Greg W.; Guionnet, Alice; Zeitouni, Ofer (2010). An introduction to random matrices. Cambridge Studies in Advanced Mathematics. Vol. 118. Cambridge: Cambridge University Press. doi:10.1017/CBO9780511801334. ISBN 978-0-521-19452-5. MR 2670897. Zbl 1184.15023.
- Bai, Zhidong; Silverstein, Jack W. (2010). Spectral analysis of large dimensional random matrices. Springer Series in Statistics (Second edition of 2006 original ed.). New York: Springer. doi:10.1007/978-1-4419-0661-8. ISBN 978-1-4419-0660-1. MR 2567175. Zbl 1301.60002.
- Johnson, Norman L.; Kotz, Samuel; Balakrishnan, N. (1995). Continuous univariate distributions. Volume 2. Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics (Second edition of 1970 original ed.). New York: John Wiley & Sons, Inc. ISBN 0-471-58494-0. MR 1326603. Zbl 0821.62001.
- Olver, Frank W. J.; Lozier, Daniel W.; Boisvert, Ronald F.; Clark, Charles W., eds. (2010). NIST handbook of mathematical functions. Cambridge: Cambridge University Press. ISBN 978-0-521-14063-8. MR 2723248. Zbl 1198.00002.
- Wigner, Eugene P. (1955). "Characteristic vectors of bordered matrices with infinite dimensions". Annals of Mathematics. Second Series. 62 (3): 548–564. doi:10.2307/1970079. MR 0077805. Zbl 0067.08403.
External links
- Eric W. Weisstein et al., Wigner's semicircle