Multiple orthogonal polynomials (MOPs) extend the classical notion of orthogonality by satisfying simultaneous orthogonality conditions with respect to several weight functions or measures. This ...
We discuss the application of orthogonal polynomials to the estimation of probability density functions, particularly with regard to accessing features of a portfolio's profit/loss distribution. Such ...
The paper characterizes matrices A = {aij i,j=0 N which have a given system of vectors orthogonal with respect to a given probability distribution as its right eigenvectors. Results of Hoare and ...
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