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# Cumulants in Noncommutative Probability Theory I. Noncommutative Exchangeability Systems

## 1. Introduction and definitions

### 1.1. Classical Cumulants

Cumulants were introduced by Thiele in his 1889 book under the name of *semi-invariants*, but entered the wider scene of statistics only with Fisher’s fundamental paper \[Fis29\] under the name of *cumulative moment functions*. Shortly afterwards, the name *cumulants* was commonly adopted. We refer to \[Mat99\] for the analytical aspects of classical cumulants and to \[Hal00\] for their history. Here the focus will be on the combinatorial aspects of cumulants.

###### Definition 1.1.

Let $`X`$ be a random variable with moments $`m_n=m_n(X)`$ and denote

$$_X(z)=𝐄e^{zX}=\underset{n=0}{\overset{\mathrm{}}{}}\frac{m_n}{n!}z^n$$

its formal *Fourier-Laplace transform* or *exponential moment generating function*, considered as a formal power series. The coefficients $`\kappa _n=\kappa _n(X)`$ of its formal logarithm

$$\mathrm{log}_X(z)=\underset{n=1}{\overset{\mathrm{}}{}}\frac{\kappa _n}{n!}z^n$$

are called the *(classical) cumulants* of $`X`$.

Equivalently, classical cumulants can be defined by the recursion formula

(1.1)
$$\kappa _n=m_n\underset{k=1}{\overset{n1}{}}\left(\genfrac{}{}{0pt}{}{n1}{k1}\right)\kappa _km_{nk}.$$

In this paper we consider cumulants for *noncommutative* or *quantum probability* spaces.

###### Definition 1.2.

A noncommutative probability space is a pair $`(𝒜,\phi )`$ of a complex unital algebra $`𝒜`$ equipped with a unital linear functional $`\phi `$, which is called the *expectation*. The elements of $`𝒜`$ are called *(noncommutative) random variables*. Usually $`𝒜`$ will be a $`C^{}`$-algebra and $`\phi `$ a faithful state. More generally, an *operator-valued* noncommutative probability space is a unital algebra $`𝒜`$ together with a unital subalgebra $``$ and a *conditional expectation* $`\psi :𝒜`$, i.e., a linear map $`\psi `$ which satisfies the identity $`\psi (bab^{})=b\psi (a)b^{}`$ for all $`a𝒜`$ and $`b`$$`b^{}`$. Such an algebra is also called *$``$-valued probability space* and its elements are *$``$-valued random variables*.

In order to define cumulants, one needs a notion of *independence* or, as it will turn out, *exchangeability*. The most prominent example of independence in noncommutative probability is Voiculescu’s free probability theory \[VDN92\]. Many concepts from classical probability have analogues in free probability, among them are cumulants. Existence of free cumulants was already proved in \[Voi85\], and a beautiful systematic theory was developed by R. Speicher \[Spe94\] with many applications.

Another notion of cumulants (“partial cumulants”) was introduced even earlier by von Waldenfels \[vW73, vW75\] and turned out to be connected to boolean independence \[SW97, BS91\] associated to Bozejko’s “regular” free product of states \[Boż87\]. Other kinds of cumulants appear throughout noncommutative probability theory and will be reviewed in section 4.

The common characteristics of these cumulants can be summarized in the following properties, which in the classical case can easily be deduced from Definition 1.1. To any random variable $`X`$ having moments $`m_n(X)`$ of all orders, there is associated a sequence $`K_n(X)`$ with the following properties.

1. Additivity. If $`X`$ and $`Y`$ are independent random variables, then

(1.2a)
$$K_n(X+Y)=K_n(X)+K_n(Y).$$
2. Homogeneity. For any scalar $`\lambda `$ the $`n`$-th cumulant is $`n`$-homogeneous:

(1.2b)
$$K_n(\lambda X)=\lambda ^nK_n(X).$$
3. There exists a polynomial $`P_n`$ in $`n1`$ variables without constant term such that

(1.2c)
$$m_n(X)=K_n(X)+P_n(K_1(X),K_2(X),\mathrm{},K_{n1}(X)).$$

“Independence” here means classical (resp. free, boolean) independence in the case of classical (resp. free, boolean) cumulants.

### 1.2. Good’s formula

The aim of this paper is to define cumulants in a uniform way. In section 1.5 we introduce an appropriate notion of independence which is based on exchangeability. The axioms are satisfied by all known examples, which are reviewed in section 4. In the future we hope to give new examples. Our definition is based on a formula of Good \[Goo75\] for classical cumulants, which shows up as a curiosity in the exercise sections of some textbooks of statistics. While it is less useful in classical statistics, where much more powerful methods of Fourier analysis are available, it will turn out to be very useful in noncommutative situations.

###### Theorem 1.3 (Good \[Goo75\]).

Let $`X`$ be a random variable and $`X^{(k)}`$, $`k=1,2,\mathrm{},n`$ be i.i.d. copies of $`X`$. Let $`\omega `$ be a primitive $`n`$-th root of unity and set

$$X^\omega =\omega X^{(1)}+\omega ^2X^{(2)}+\mathrm{}+\omega ^nX^{(n)}$$

Then

(1.3)
$$\kappa _n(X)=\frac{1}{n}𝐄[(X^\omega )^n]$$

The original proof consisted of two pages of computations, but it was realized shortly afterwards that there is a three line proof \[Goo77\], based on the properties (1.2) together with a simple symmetry consideration. For the reader’s convenience we include this proof here.

###### Proof.

We evaluate the right hand side of (1.3) using property (1.2c) above:

$$m_n(X^\omega )=\kappa _n(X^\omega )+P_n(\kappa _1(X^\omega ),\kappa _2(X^\omega ),\mathrm{},\kappa _{n1}(X^\omega ));$$

now the cumulants of $`X^\omega `$ can be evaluated using properties (1.2a) and (1.2b):

$`\kappa _m({\displaystyle \underset{k}{}}\omega ^kX^{(k)})`$ $`={\displaystyle \underset{k}{}}\omega ^{km}\kappa _m(X^{(k)})`$
$`={\displaystyle \underset{k}{}}\omega ^{km}\kappa _m(X)`$
and

$$\underset{k}{}\omega ^{km}=\{\begin{array}{cc}n\hfill & \text{if }n\text{ divides }m\hfill \\ 0\hfill & \text{otherwise}\hfill \end{array}$$

In particular the cumulant vanishes for $`m<n`$ and since $`P_n`$ has no constant term, the only contribution comes from $`\kappa _n(X^\omega )`$. ∎

### 1.3. Posets and Möbius inversion

There is an alternative approach to cumulants using Möbius inversion on the lattice of set partitions. The Möbius function of a poset was introduced in a systematic manner by Rota \[Rot64, DRS72\]. Let $`(P,)`$ be a (finite) partially ordered set, in short a *poset*. The incidence algebra $`(P)=(P,𝐂)`$ is the algebra of functions supported on the set of pairs $`\{(x,y)P\times P:x,yP;xy\}`$ with convolution

$$fg(x,y)=\underset{xzy}{}f(x,z)g(z,y)$$

For example, if $`P`$ is the $`n`$-set $`\{1,2,\mathrm{},n\}`$ with the natural order, then $`(P)`$ is the algebra of $`n\times n`$ upper triangular matrices. In general the algebra $`(P)`$ has the identity $`\delta (x,y)`$ and a function $`f(P)`$ is invertible if and only if $`f(x,x)`$ is invertible for every $`xP`$. The function $`\zeta (x,y)1`$ is called *Zeta function*. It is invertible and its inverse is called the *Möbius function* of $`P`$, denoted $`\mu (x,y)`$. For functions $`F,G:P𝐂`$ we have the fundamental equivalence (“Möbius inversion formula”)

$$(xP:F(x)=\underset{yx}{}G(y))(xP:G(x)=\underset{yx}{}F(y)\mu (y,x))$$

The poset $`P`$ is a *lattice* if supremum and infimum operations exist.

### 1.4. Partitions

We will be working with the lattice of set partitions $`\mathrm{\Pi }_n`$ and some of its sublattices.

###### Definition 1.4.

A *partition* of a set $`S`$ is a set $`\pi =\{\pi _1,\pi _2,\mathrm{},\pi _k\}`$ of pairwise disjoint nonempty subsets of $`S`$ such that $`\pi _j=S`$. Equivalently, a partition of $`S`$ corresponds to an equivalence relation $`_\pi `$ on $`S`$ where $`i_\pi j`$ if $`i`$ and $`j`$ lie in the same block. The components $`\pi _j`$ of $`\pi `$ will be referred to as *blocks* or *classes* of $`\pi `$. The set of partitions of a set $`S`$ will be denoted by $`\mathrm{\Pi }_S`$, or, if $`S=[n]:=\{1,2,\mathrm{},n\}`$, we will abbreviate it as $`\mathrm{\Pi }_n`$. It forms a lattice under the *refinement order*, where $`\pi \sigma `$ if every block of $`\pi `$ is contained in some block of $`\sigma `$. In this ordering there is a maximal element $`\widehat{1}_n`$ consisting of only one block and a minimal element $`\widehat{0}_n`$ consisting of $`n`$ singletons.

Partitions can be visualized by diagrams, where the points are drawn on a line and those points which lie in one block are connected by an arc.

For the examples in section 4 we will be interested in various classes of partitions of the $`n`$-set $`[n]`$ in which the order on $`[n]`$ will be important.

###### Definition 1.5.

1. A partition $`\pi \mathrm{\Pi }_n`$ is *noncrossing* if there is no quadruple of elements $`i<j<k<l`$ s.t. $`i_\pi k`$, $`j_\pi l`$ and $`i\sim ̸_\pi j`$. The noncrossing partitions of order $`n`$ form a lattice which we denote by $`NC_n`$.
2. A block $`B`$ of a noncrossing partition $`\pi `$ is *inner* if there are elements $`i`$, $`jB`$ such that $`i<k<j`$ for all $`kB`$ and $`i_\pi j`$. The other blocks are called the *outer blocks* of $`\pi `$.
3. An *interval partition* is a partition $`\pi `$ for which every block is an interval. Equivalently, this means that $`\pi `$ is noncrossing and all blocks of $`\pi `$ are outer.
4. A partition $`\pi `$ is *connected* if the picture of $`\pi `$ is a connected graph. The *connected components* of $`\pi `$ are the maximal connected subpartitions of $`\pi `$.
5. The *noncrossing closure* of a partition $`\pi `$ is the smallest noncrossing partition which dominates $`\pi `$.
6. A partition $`\pi \mathrm{\Pi }_n`$ is *irreducible* if the elements $`1`$ and $`n`$ are in the same connected component. Every partition $`\pi `$ can be “factored” into irreducible factors.
7. The *interval closure* of a partition $`\pi `$ is the smallest interval partition which dominates $`\pi `$.

Different types of partitions are shown in figure 1.

###### Proposition 1.6.

The noncrossing closure of a partition $`\pi \mathrm{\Pi }_n`$ is obtained by putting all elements of each connected component into one block. Consequently a partition is noncrossing if and only if every connected component consists of exactly one block. Another consequence is the fact that a partition $`\pi `$ is irreducible if and only if $`1_{\widehat{\pi }}n`$ in its noncrossing closure $`\widehat{\pi }`$.

Similarly, the interval closure of $`\pi `$ is obtained by putting the elements of each irreducible factor into one block. Consequently an interval partition is characterized by the property that each irreducible factor consists of exactly one block.

Many formulas in this paper will involve partitions induced by index sequences and for these partitions the following notation will be convenient.

###### Definition 1.7.

Let $`f:[n]X`$ be a function from the $`n`$-set $`[n]`$ to some set $`X`$. The partition $`\pi \mathrm{\Pi }_n`$ corresponding to the equivalence relation $`i_\pi j`$ $``$ $`f(i)=f(j)`$ is called the *kernel* of $`f`$ and denoted $`\mathrm{ker}f`$.

### 1.5. Exchangeability and independence

There is a variant of Good’s formula for multivariate cumulants which will serve as a definition in the following situation.

###### Definition 1.8.

Let $`(𝒜,\phi )`$ be a noncommutative probability space. An *exchangeability system* $``$ for $`(𝒜,\phi )`$ consists of a noncommutative probability space $`(𝒰,\stackrel{~}{\phi })`$ and an infinite family $`𝒥=(\iota _k)_{k𝐍}`$ of state-preserving embeddings $`\iota _k:𝒜𝒜_k𝒰`$, which we conveniently denote by $`XX^{(k)}`$, such that the algebras $`𝒜_j`$ are *interchangeable* with respect to $`\stackrel{~}{\phi }`$: for any family $`X_1,X_2,\mathrm{},X_n𝒜`$, and for any choice of indices $`i_1,i_2,\mathrm{},i_n`$ the expectation is invariant under any permutation $`\sigma 𝔖_{\mathrm{}}`$ in the sense that

$$\stackrel{~}{\phi }(X_1^{(i_1)}X_2^{(i_2)}\mathrm{}X_n^{(i_n)})=\stackrel{~}{\phi }(X_1^{(\sigma (i_1))}X_2^{(\sigma (i_2))}\mathrm{}X_n^{(\sigma (i_n))}).$$

In other words, the value of the expectation only depends on the kernel of the map $`h:ji_j`$, i.e., the partition $`\pi `$ of $`\{1,2,\mathrm{},n\}`$ made up from the equivalence classes of the equivalence relation $`j_\pi k`$ $``$ $`i_j=i_k`$. We will denote this value by $`\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ or $`\phi _\pi (X_1,X_2,\mathrm{},X_n)`$ if the choice of $``$ is clear from context.

Similarly, for a subset $`B\{1,2,\mathrm{},n\}`$ (resp., a partition $`\pi `$ of a subset $`B`$) we will abbreviate the expectation $`\phi _B(T_1,T_2,\mathrm{},T_n)=\phi (_{jB}T_j)`$ (ordered product) and $`\phi _\pi (T_1,T_2,\mathrm{},T_n)=\phi _\pi (T_j:jB)`$.

We will say that subalgebras $`,𝒞𝒜`$ are *$``$-exchangeable* or, more suggestively, *$``$-independent* if for any choice of random variables $`X_1,X_2,\mathrm{},X_n𝒞`$ and subsets $`I,J\{1,\mathrm{},n\}`$ such that $`IJ=\mathrm{}`$, $`IJ=\{1,\mathrm{},n\}`$, $`X_i`$ for $`iI`$ and $`X_i𝒞`$ for $`iJ`$, we have the identity

$$\phi _\pi (X_1,X_2,\mathrm{},X_n)=\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)$$

whenever $`\pi `$, $`\pi ^{}\mathrm{\Pi }_n`$ are partitions with $`\pi |_I=\pi ^{}|_I`$ and $`\pi |_J=\pi ^{}|_J`$. We say that two families of random variables $`(X_i)_{iI}`$ and $`(Y_j)_{jJ}`$ are $``$-exchangeable if the algebras they generate have this property.

###### Remark 1.9.

In other words, $``$-independence means that if $`\rho =\{I_{},I_𝒞\}`$ is a partition as above then for any map $`h:[n]𝐍`$ the expectation

$$\phi (X_1^{(h(1))}X_2^{(h(2))}\mathrm{}X_n^{(h(n))})$$

is unchanged if we modify $`h`$ in such a way that the partition $`\rho \mathrm{ker}h`$ does not change.

Also note that for a given sequence $`X_1,\mathrm{},X_n`$ there may be different choices for $`I_{}`$ and $`I_𝒞`$, if some of the $`X_i`$ lie in the intersection $`𝒞`$.

###### Example 1.10.

As an example, assume that the subalgebras $``$ and $`𝒞𝒜`$ are $``$-independent in the above sense, then any noncommutative polynomial $`P(X_1,\mathrm{},X_n,Y_1,\mathrm{},Y_n)`$ where $`X_1,\mathrm{},X_n`$ and $`Y_1,\mathrm{},Y_n𝒞`$ satisfies

$`\phi (P(X_1,\mathrm{},X_n,Y_1,\mathrm{},Y_n))`$ $`=\stackrel{~}{\phi }(P(X_1^{(1)},\mathrm{},X_n^{(1)},Y_1^{(1)},\mathrm{},Y_n^{(1)}))`$
$`=\stackrel{~}{\phi }(P(X_1^{(1)},\mathrm{},X_n^{(1)},Y_1^{(2)},\mathrm{},Y_n^{(2)}))`$
A few remarks are in place here.

###### Remark 1.11.

1. For classical (or free) independence, Definition 1.8 reduces to the well known fact that if $`(X,Y)`$ is a random vector with independent entries and $`(X^{},Y^{})`$ and $`(X^{\prime \prime },Y^{\prime \prime })`$ are i.i.d. copies, then the joint distributions of $`(X,Y)`$ and $`(X^{},Y^{\prime \prime })`$ coincide.
2. Note that we do not require the algebras $`𝒜_j`$ to be disjoint. The reader should be warned that the notion of $``$-independence is very weak and sometimes the term “independence” not even justified. Given a noncommutative probability space $`(𝒜,\phi )`$ one can for instance consider the trivial exchangeability system $`𝒰=𝒜`$ with the identical embedding, so that all $`𝒜_i`$ are the same and therefore any two subalgebras are $``$-independent.
3. Most of the following considerations work for general multilinear maps into some vector space which satisfy an analogous invariance condition, but we did not pursue this direction yet.
4. Contrary to the case of classical, free and boolean probabilities we do not have a “free product” construction in general, but rather assume that an infinite family of exchangeable subalgebras of some “big” algebra is given a priori.
5. $``$-Independent algebras can be obtained in the following way. Given an infinite family $`(𝒜_i)_{i𝐍}`$ of interchangeable subalgebras of a fixed noncommutative probability space $`(𝒰,\phi )`$, we fix a number $`N`$ and relabel the sequence to $`(𝒜_{ij})_{i𝐍_0,j=1,\mathrm{},N}`$. Let $`\stackrel{~}{𝒜}_i=𝒜_{i1}𝒜_{i2}\mathrm{}𝒜_{iN}`$ be the algebras generated by these “clusters” and set $`\stackrel{~}{𝒜}=\stackrel{~}{𝒜}_0`$. Then with the embeddings $`\iota _n:\stackrel{~}{𝒜}\stackrel{~}{𝒜}_n`$ we have an exchangeability system $`=(𝒰,\phi ,𝒥)`$ for $`(\stackrel{~}{𝒜},\phi )`$ and the subalgebras $`_j=𝒜_{0j}`$ are clearly $``$-exchangeable.

## 2. Cumulants

### 2.1. Good’s formula

###### Definition 2.1.

Let $`(𝒜,\phi )`$ be a noncommutative probability space and $`=(𝒰,\stackrel{~}{\phi },𝒥)`$ be an exchangeability system for $`(𝒜,\phi )`$. Let $`X_1,X_2,\mathrm{},X_n𝒜`$ be given random variables and let $`X_j^{(k)}`$, $`k=1,\mathrm{},n`$ be their interchangeable copies. Let $`\omega `$ be an $`n`$-th primitive root of unity (e.g., $`\omega =e^{2\pi i/n}`$) and set

(2.1)
$$X_j^\omega =\omega X_j^{(1)}+\omega ^2X_j^{(2)}+\mathrm{}+\omega ^nX_j^{(n)}.$$

We define the $`n`$th cumulant to be

(2.2)
$$K_n^{}(X_1,X_2,\mathrm{},X_n)=\frac{1}{n}\stackrel{~}{\phi }(X_1^\omega X_2^\omega \mathrm{}X_n^\omega ).$$

The notation “$`X^{(n)}`$” and “$`X^\omega `$” instead of something like $`\mathrm{\Phi }_n(X)`$ and $`\stackrel{~}{\mathrm{\Phi }}_n(X)`$ is by no means a perfect one and may be confusing at first, however we sticked to it because we believe that the resulting compactness of the formulae increases their readability.

Next we derive the fundamental properties which justify the name “cumulants”. The cumulant functions are clearly multilinear. The vanishing of “mixed” cumulants is almost immediate:

###### Proposition 2.2.

Mixed cumulants vanish. That is, if there is a nontrivial subset $`I[n]`$ (i.e., $`I\mathrm{}`$ and $`I[n]`$) s.t. $`(X_j)_{jI}`$ and $`(X_j)_{j[n]I}`$ are $``$-independent, then $`K_n^{}(X_1,X_2,\mathrm{},X_n)=0`$.

###### Proof.

$``$-independence implies that if we replace $`(X_j^{(k)})_{jI}`$ by $`(X_j^{(\sigma (k))})_{jI}`$, where $`\sigma 𝔖_n`$ is any permutation, then the expectation on the right hand side of (2.2) does not change. This can be seen by expanding the right hand side,

(2.3)
$$\frac{1}{n}\stackrel{~}{\phi }(X_1^\omega X_2^\omega \mathrm{}X_n^\omega )=\frac{1}{n}\underset{k_1,\mathrm{},k_n=1}{\overset{n}{}}\stackrel{~}{\phi }(\omega ^{k_1}X_1^{(k_1)}\mathrm{}\omega ^{k_n}X_n^{(k_n)}),$$

and observing that to each summand $`\phi (\omega ^{k_1}X_1^{(k_1)}\mathrm{}\omega ^{k_n}X_n^{(k_n)})`$ there corresponds a map $`h:jk_j`$ whose kernels $`\mathrm{ker}h|_I`$ and $`\mathrm{ker}h|_{[n]I}`$ do not change when we apply a permutation $`\sigma `$ to the values $`\{k_j:jI\}`$ only. Let’s take $`\sigma =(1,2,\mathrm{},n)`$ to be the full cycle. That is, we replace $`X_j^{(k)}`$ by $`X_j^{(\sigma (k))}`$ for each $`jI`$. Then the expectations in the sum on the right hand side of (2.3) do not change, but on the other hand, for $`jI`$, the random variable $`X_j^\omega =\omega ^kX_j^{(k)}`$ is permuted to $`\stackrel{~}{X}_j^\omega =\omega ^{k1}X_j^{(k)}`$ and this is equal to $`\overline{\omega }X_j^\omega `$. Thus we can factor out $`\overline{\omega }`$ from each $`X_j^k`$ for which $`jI`$ and get

$$K_n^{}(X_1,X_2,\mathrm{},X_n)=\overline{\omega }^{\left|I\right|}K_n^{}(X_1,X_2,\mathrm{},X_n).$$

Since we assumed $`0<|I|<n`$, the factor $`\overline{\omega }^{\left|I\right|}1`$ and the cumulant must vanish. ∎

A converse of this proposition is also true, but for the proof the partition lattice formulation is needed, see Proposition 3.5.

By multilinear expansion of the cumulant we immediately get the most prominent property of cumulants, namely additivity for sums of independent variables.

###### Corollary 2.3.

In the setting of Proposition 2.2, let $`(X_i)`$ and $`(Y_i)`$ be $``$-independent families of noncommutative random variables. Then

$$K_n^{}(X_1+Y_1,X_2+Y_2,\mathrm{},X_n+Y_n)=K_n^{}(X_1,X_2,\mathrm{},X_n)+K_n^{}(Y_1,Y_2,\mathrm{},Y_n).$$

The following lemma is obvious, yet it will turn out to be the most useful feature of Good’s construction.

###### Lemma 2.4.

Let $`X_j^\omega `$ be as in (2.1) and let $`j_1,j_2,\mathrm{},j_m`$ be a subsequence of $`\{1,2,\mathrm{},n\}`$ with $`m<n`$. Then

$$\stackrel{~}{\phi }(X_{j_1}^\omega X_{j_2}^\omega \mathrm{}X_{j_m}^\omega )=0$$

### 2.2. Partition lattice formulation

Up to now we have found the general form of properties (1.2a) and (1.2b). Property (1.2c) in the form stated does not hold in general, but in a rather weaker form which is the subject of this section. Formula (2.2) can be expanded and after collecting terms we obtain the well known partition lattice formulation of the moment-cumulant formula, see \[Sch47, Spe83\].

###### Theorem 2.5.

In the setting of Definition 2.1 we have

(2.4)
$$K_n^{}(X_1,X_2,\mathrm{},X_n)=\underset{\pi \mathrm{\Pi }_n}{}\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)\mu (\pi ,\widehat{1}_n)$$

where $`\mu (\pi ,\sigma )`$ is the Möbius function on the partition lattice.

###### Proof.

$`K_n^{}(X_1,X_2,\mathrm{},X_n)`$ $`={\displaystyle \frac{1}{n}}{\displaystyle \underset{k_1,\mathrm{},k_n=1}{\overset{n}{}}}\phi (\omega ^{k_1}X_1^{(k_1)}\omega ^{k_2}X_2^{(k_2)}\mathrm{}\omega ^{k_n}X_n^{(k_n)})`$
$`={\displaystyle \frac{1}{n}}{\displaystyle \underset{g:[n][n]}{}}\omega ^{g(1)+g(2)+\mathrm{}+g(n)}\phi (X_1^{(g(1))}X_2^{(g(2))}\mathrm{}X_n^{(g(n))})`$
$`={\displaystyle \frac{1}{n}}{\displaystyle \underset{\pi \mathrm{\Pi }_n}{}}{\displaystyle \underset{\mathrm{ker}g=\pi }{}}\omega ^{g(1)+g(2)+\mathrm{}+g(n)}\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)`$
because by assumption the value $`\phi (X_1^{(g(1))}X_2^{(g(2))}\mathrm{}X_n^{(g(n))})`$ only depends on $`\mathrm{ker}g`$. So we need to evaluate the function

$$F(\pi )=\underset{\mathrm{ker}g=\pi }{}\omega ^{g(1)+g(2)+\mathrm{}+g(n)}.$$

To this end define another function $`G`$ on $`\mathrm{\Pi }_n`$ by

$$G(\pi )=\underset{\sigma \pi }{}F(\sigma )=\underset{\mathrm{ker}g\pi }{}\omega ^{g(1)+g(2)+\mathrm{}+g(n)}.$$

The condition $`\mathrm{ker}g\pi `$ means that $`g`$ is constant on the blocks of $`\pi `$. Since everything is commutative, for $`\pi =\{\pi _1,\pi _2,\mathrm{},\pi _p\}`$ we have

$$G(\pi )=\underset{k_1,k_2,\mathrm{},k_p=1}{\overset{n}{}}\omega ^{\left|\pi _1\right|k_1}\omega ^{\left|\pi _2\right|k_2}\mathrm{}\omega ^{\left|\pi _p\right|k_3}=\left(\underset{k=1}{\overset{n}{}}\omega ^{\left|\pi _1\right|k}\right)\left(\underset{k=1}{\overset{n}{}}\omega ^{\left|\pi _2\right|k}\right)\mathrm{}\left(\underset{k=1}{\overset{n}{}}\omega ^{\left|\pi _p\right|k}\right)$$

and this vanishes unless $`\pi =\widehat{1}_n`$, in which case it equals $`n`$. Therefore by Möbius inversion we obtain

$$F(\pi )=\underset{\sigma \pi }{}\mu (\pi ,\sigma )G(\sigma )=n\mu (\pi ,\widehat{1}_n).$$

### 2.3. Good’s formula for partitioned cumulants

The previous formula naturally leads to the definition of *partitioned cumulants*.

###### Definition 2.6.

Let $`(𝒜,\phi )`$ be a noncommutative probability space and $`=(𝒰,\phi ,𝒥)`$ be an exchangeability system for $`(𝒜,\phi )`$. Given random variables $`X_1,X_2,\mathrm{},X_n𝒜`$ and a partition $`\pi \mathrm{\Pi }_n`$ we define the partitioned cumulant

$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\sigma \pi }{}\phi _\sigma ^{}(X_1,X_2,\mathrm{},X_n)\mu (\sigma ,\pi ).$$

By Möbius inversion the general moment-cumulant formula now follows.

###### Proposition 2.7.

(2.5)
$$\phi (X_1X_2\mathrm{}X_n)=\underset{\pi }{}K_\pi ^{}(X_1,X_2,\mathrm{},X_n);$$

more generally, for any partition $`\sigma \mathrm{\Pi }_n`$ we have

(2.6)
$$\phi _\sigma ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\pi \sigma }{}K_\pi ^{}(X_1,X_2,\mathrm{},X_n).$$

Formula (2.6) as it stands is just a reformulation of the definition of $`K_\pi ^{}`$ and Möbius inversion. However there is a Good type formula which can be proved in the same way as Theorem 2.5.

###### Proposition 2.8.

Given noncommutative random variables $`X_1`$$`X_2`$, …, $`X_n`$ and a partition $`\pi \mathrm{\Pi }_n`$, we choose for each $`k[n]`$ an exchangeable copy $`\{X_j^{(k)}:j[n]\}`$ of the given family $`\{X_j:j[n]\}`$, for each block $`B=\{k_1<k_2<\mathrm{}<k_b\}\pi `$ we pick a primitive root of unity $`\omega _b`$ of order $`b=|B|`$, and set for each $`iB`$

$$X_i^{\pi ,\omega }=\omega _bX_i^{(k_1)}+\omega _b^2X_i^{(k_2)}+\mathrm{}+\omega _b^bX_i^{(k_b)};$$

that is, we do the construction of Definition 2.1 for each block of $`\pi `$ independently. Then

(2.7)
$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=\frac{1}{\left|B\right|}\phi (X_1^{\pi ,\omega }X_2^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })$$

Also the analogue of Proposition 2.2 holds for partitioned cumulants.

###### Corollary 2.9.

Mixed partitioned cumulants vanish: Let $``$ and $`𝒞`$ be $``$-independent algebras and $`X_i𝒞`$ some noncommutative random variables taken from their union. Let $`\pi \mathrm{\Pi }_n`$ be an arbitrary partition. If there is a block of $`\pi `$ which contains indices $`i`$ and $`j`$ such that $`X_i`$ and $`X_j𝒞`$, then $`K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ vanishes.

The converse holds, too.

###### Proposition 2.10.

Let $``$, $`𝒞`$ be subalgebras of $`𝒜`$ such that mixed cumulants vanish, that is, if for any family of random variables $`X_1`$$`X_2`$,…,$`X_n𝒞`$ and any partition $`\pi `$ such that in one of the blocks of $`\pi `$ there appears at least one element from either algebra, the cumulant $`K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ vanishes, then $``$ and $`𝒞`$ are $``$-independent.

###### Proof.

We need to check that any finite sequence of random variables $`X_1,X_2,\mathrm{},X_n𝒞`$ satisfy the condition of Definition 1.8. Let $`\rho `$ be the partition $`\{I_{},I_𝒞\}`$ induced by the subsets $`I_{}=\{i:X_i\}`$ and $`I_𝒞=\{i:X_i𝒞\}`$. Then for any partition $`\pi `$ we have

$$\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\sigma \pi }{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\sigma \pi \rho }{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)$$

because by assumption $`K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)=0`$ unless $`\sigma \rho `$. Therefore

$$\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)=\phi _\pi ^{}^{}(X_1,X_2,\mathrm{},X_n)$$

whenever $`\pi \rho =\pi ^{}\rho `$ and by remark 1.9 the claim follows. ∎

An analogous result holds (Proposition 3.5) for concrete elements but for the proof we need the product formula of Leonov and Shiryaev, see Proposition 3.3 below.

## 3. Basic transformations

In this section we investigate the behaviour of cumulants under certain transformations of the random variables.

### 3.1. Affine transformations

###### Proposition 3.1.

Let $`Y_i=_j\alpha _{ij}X_j+\beta _i`$, $`i=1,\mathrm{},m`$ be an affine transformation of $`X_1,\mathrm{},X_n`$, then all cumulants except the first one do not depend on the constants $`\beta _i`$ and we have for $`m2`$

$$K_m^{}(Y_1,\mathrm{},Y_m)=\underset{j_1,\mathrm{},j_m}{}\alpha _{1,j_1}\mathrm{}\alpha _{m,j_m}K_m^{}(X_{j_1},\mathrm{},X_{j_m})$$

An analogous formula holds for partitioned cumulants $`K_\pi ^{}`$ if $`\pi `$ contains no singleton.

###### Proof.

Simply expand Good’s formula (2.2) multilinearly and notice that $`\beta _i^{(k)}=\beta _i`$ and consequently we have $`_k\omega ^k\beta _i^{(k)}=0`$ if $`m2`$. ∎

### 3.2. Cumulants of products

The formula of Leonov and Shiryaev for cumulants of products \[LS59\] and Speed’s proof \[Spe83, Proposition 4.3\] can immediately be transferred to the noncommutative case. The analogous formula for free cumulants was found with a different proof and many applications in \[KS00\], see also \[Spe00, CD99\] for other proofs.

###### Definition 3.2.

Let $`(X_{i,j})_{i[m],j[n_i]}𝒜`$ be a family of noncommutative random variables, in total $`n=n_1+n_2+\mathrm{}+n_m`$ variables. Then every partition $`\pi \mathrm{\Pi }_m`$ induces a partition $`\stackrel{~}{\pi }`$ on $`[n]=\{(i,j):i[m],j[n_i]\}`$ with blocks $`\stackrel{~}{B}=\{(i,j):iB,j[n_i]\}`$. A partition $`\sigma \mathrm{\Pi }_n`$ is called *decomposable* relative to $`\pi `$ if $`\sigma \stackrel{~}{\pi }`$ and it is *indecomposable* if no such relation holds other than $`\sigma \stackrel{~}{\widehat{1}}_m`$; in other words, if $`\sigma \stackrel{~}{\widehat{0}}_m=\stackrel{~}{\widehat{1}}_m`$.

###### Proposition 3.3.

With the settings of Definition 3.2 we have

$$K_m^{}(\underset{j_1}{}X_{1,j_1},\underset{j_2}{}X_{2,j_2},\mathrm{},\underset{j_m}{}X_{m,j_m})=\underset{\sigma \mathrm{\Pi }_n\text{indec.}}{}K_\sigma ^{}(X_{1,1},X_{1,2},\mathrm{},X_{1,n_1},X_{2,1}\mathrm{},X_{m,n_m})$$

###### Proof.

Denote $`\stackrel{~}{X}_i=_jX_{i,j}`$. Then using the fact that mixed cumulants vanish we have for $`\pi \mathrm{\Pi }_m`$ that

$$F(\pi ):=\phi _\pi ^{}(\stackrel{~}{X}_1,\stackrel{~}{X}_2,\mathrm{},\stackrel{~}{X}_m)=\underset{\sigma \stackrel{~}{\pi }}{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)$$

Define for $`\pi \mathrm{\Pi }_m`$ the partial sum

$$f(\pi )=\underset{\begin{array}{c}\sigma \stackrel{~}{\pi }\\ \sigma \stackrel{~}{\rho }\rho <\pi \end{array}}{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\begin{array}{c}\sigma \stackrel{~}{\pi }\\ \sigma \stackrel{~}{\widehat{0}}_m=\stackrel{~}{\pi }\end{array}}{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)$$

Then obviously $`F(\pi )=_{\rho \pi }f(\rho )`$ and by Möbius inversion $`f(\pi )=_{\sigma \pi }F(\sigma )\mu (\sigma ,\pi )`$. Therefore

$`K_m^{}(\stackrel{~}{X}_1,\stackrel{~}{X}_2,\mathrm{},\stackrel{~}{X}_m)`$ $`={\displaystyle \underset{\pi }{}}\phi _\pi ^{}(\stackrel{~}{X}_1,\stackrel{~}{X}_2,\mathrm{},\stackrel{~}{X}_m)\mu (\pi ,\widehat{1}_m)`$
$`={\displaystyle \underset{\pi }{}}F(\pi )\mu (\pi ,\widehat{1}_m)`$
$`=f(\widehat{1}_m)={\displaystyle \underset{\sigma \text{indec.}}{}}K_\sigma ^{}(X_{1,1},X_{1,2},\mathrm{},X_{m,n_m})`$
An analogous formula holds for partitioned cumulants.

###### Proposition 3.4.

With the settings of Definition 3.2 we have

$$K_\pi ^{}(\underset{j_1}{}X_{1,j_1},\underset{j_2}{}X_{2,j_2},\mathrm{},\underset{j_m}{}X_{m,j_m})=\underset{\begin{array}{c}\sigma \mathrm{\Pi }_n\\ \sigma \stackrel{~}{\widehat{0}}_m=\stackrel{~}{\pi }\end{array}}{}K_\sigma ^{}(X_{1,1},X_{1,2},\mathrm{},X_{m,n_m})$$

Now we are able to prove a stronger version of Proposition 2.10

###### Proposition 3.5.

A family of random variables $`X_1,X_2,\mathrm{},X_m𝒜`$ is $``$-independent if and only if mixed cumulants vanish, i.e., if for every finite sequence $`X_{i_1},X_{i_2},\mathrm{},X_{i_n}`$ taken from the family and for every partition $`\pi \mathrm{\Pi }_n`$, such that some block of $`\pi `$ contains two different indices, the cumulant $`K_\pi ^{}(X_{i_1},X_{i_2},\mathrm{},X_{i_n})`$ vanishes.

###### Proof.

This can be reduced to Proposition 2.10, with the help of the product formula. For simplicity we consider the case of two random variables $`X_1`$ and $`X_2`$ only. All that is left to show is that if all mixed cumulants of $`X_1`$ and $`X_2`$ vanish, then all mixed cumulants of elements from the algebras $`_1`$ and $`_2`$ generated by $`X_1`$ and $`X_2`$, respectively, vanish. In other words, we have to show that mixed cumulants of polynomials $`P_1(X_{i_1}),P_1(X_{i_2}),\mathrm{},P_1(X_{i_m})`$ vanish. By multilinearity it suffices to consider simple powers $`X_{i_1}^{k_1},X_{i_2}^{k_2},\mathrm{},X_{i_m}^{k_m}`$. Let $`n=k_1+k_2+\mathrm{}+k_m`$ and denote $`\stackrel{~}{\widehat{0}}_m`$ the partition induced on $`[n]`$ (see Definition 3.2). In other words, $`\stackrel{~}{\widehat{0}}_m`$ is the partition with interval blocks $`I_1`$, $`I_2`$,…, $`I_m`$ of length $`k_1`$, $`k_2`$,…, $`k_m`$. Let $`\pi \mathrm{\Pi }_m`$ and assume that some block of $`\pi `$ contains elements $`X_1^{k_r}`$ and $`X_2^{k_s}`$. By Proposition 2.10 we have

$$\begin{array}{c}K_\pi ^{}(X_{i_1}^{k_1},X_{i_2}^{k_2},\mathrm{},X_{i_m}^{k_m})\hfill \\ \hfill =\underset{\begin{array}{c}\sigma \mathrm{\Pi }_n\\ \sigma \stackrel{~}{\widehat{0}}_m=\stackrel{~}{\pi }\end{array}}{}K_\sigma ^{}(X_{i_1},X_{i_1},\mathrm{},X_{i_1},X_{i_2},X_{i_2},\mathrm{},X_{i_2},\mathrm{},X_{i_m},X_{i_m},\mathrm{},X_{i_m})\end{array}$$

By assumption the blocks $`I_r`$ and $`I_s`$ are contained in one block of $`\stackrel{~}{\pi }`$ and therefore a partition $`\sigma \mathrm{\Pi }_n`$ which satisfies $`\sigma \stackrel{~}{\widehat{0}}_m=\stackrel{~}{\pi }`$ must connect at least one element from each $`I_r`$ and $`I_s`$. This implies that some block of $`\sigma `$ must contain both $`X_1`$ and $`X_2`$, that is, it is a mixed cumulant of $`X_1`$ and $`X_2`$, which by assumption vanishes. ∎

### 3.3. Cumulants of matrices

Free cumulants of matrices with free entries are computed in \[NSS02\]. Using Good’s formula it is actually quite simple to obtain a formula for the cumulants of matrices of random variables.

###### Proposition 3.6.

Let $`(𝒜,\phi )`$ be a noncommutative probability space and $`=(𝒰,\phi ,𝒥)`$ be an exchangeability system for $`(𝒜,\phi )`$. Then $`M_d()=(M_d(𝒰),\psi ,M_d(𝒥))`$ is an exchangeability system for matrix-valued probability space $`(M_d(𝒜),\psi )`$ where $`\psi =Id_{M_d}\phi `$ is the conditional expectation from $`M_d(𝒜)`$ onto be the subalgebra of constant matrices $`IM_dM_d(𝒜)`$ given by $`\psi ([X_{i,j}])=[\phi (X_{i,j})]`$. The subalgebras $`M_d(𝒜_i)`$ are clearly interchangeable with respect to $`\psi `$ if the algebras $`𝒜_i`$ are interchangeable with respect to $`\phi `$ and the cumulants of the matrices $`X_k=[X_{i,j}(k)]M_d(𝒜_0)`$ are matrices with entries

$$K_\pi ^{M_d()}(X_1,X_2,\mathrm{},X_n)_{i,j}=\underset{i_1,\mathrm{},i_{n1}=1}{\overset{d}{}}K_\pi ^{}(X_{i,i_1}(1),X_{i_1,i_2}(2),\mathrm{},X_{i_{n1},j}(n))$$

Theorem 6.2 of \[NSS02\] is a consequence of this because $`M_d(𝒜_i)`$ are free with amalgamation over $`IM_d`$ if and only if $`𝒜_i`$ are free.

Cumulants of matrices are a special case of cumulants of tensor products. The above observation is a special case of the following proposition.

###### Proposition 3.7.

Let $`𝒜_i𝒰`$ be interchangeable with respect to $`\phi `$ and let $`𝒞`$ be another algebra, then the algebras $`𝒞𝒜_i`$ are interchangeable w.r. to $`\psi =E_𝒞=Id_𝒞\phi `$. and we have a new exchangeability system $`𝒞](𝒞𝒰,\psi ,Id_𝒞𝒥)`$. For $`X_i=_jC_{ij}T_{ij}`$ we have

$$E_𝒞(X_1\mathrm{}X_n)=\underset{j_1,j_2,\mathrm{},j_n}{}C_{1j_1}C_{2j_2}\mathrm{}C_{nj_n}\phi (T_{1j_1}T_{2j_2}\mathrm{}T_{nj_n})$$

and therefore the corresponding cumulants satisfy

$$K_\pi ^𝒞(X_1,X_2,\mathrm{},X_n)=\underset{j_1,j_2,\mathrm{},j_n}{}C_{1j_1}C_{2j_2}\mathrm{}C_{nj_n}K_\pi ^{}(T_{1j_1},T_{2j_2},\mathrm{},T_{nj_n})$$

Another possibility is to choose a state $`\rho `$ on $`𝒞`$ and consider the product state $`\rho \phi `$ on $`𝒞𝒜`$. The corresponding cumulants are then given by

$$K_\pi ^{𝒞,\rho \phi }(X_1,X_2,\mathrm{},X_n)=\rho (K_\pi ^𝒞(X_1,X_2,\mathrm{},X_n))$$

In the case of matrices where $`𝒞=IM_d`$ a natural choice for $`\rho `$ is the trace $`\tau _d=\frac{1}{d}\mathrm{tr}`$ and in this case the cumulants are given by “cyclic sums” of the original cumulants:

$$K_\pi ^{M_d(),\tau _d\phi }(X_1,X_2,\mathrm{},X_n)=\frac{1}{d}\underset{i_1,\mathrm{},i_n=1}{\overset{d}{}}K_\pi ^{}(X_{i_n,i_1}(1),X_{i_1,i_2}(2),\mathrm{},X_{i_{n1},i_n}(n)).$$

The reader should be warned that for example in the case of freeness the cumulants $`K_\pi ^{M_d(),\tau _d\phi }(X_1,X_2,\mathrm{},X_n)`$ are *different* from the free cumulants $`K_\pi ^{,\tau _d\phi }(X_1,X_2,\mathrm{},X_n)`$, which are related to a different exchangeability system and it is much more difficult to express these in terms of the amalgamated cumulants.

The following lemma allows us to remove the identity element from cumulants. It is an easy consequence of Proposition 2.8.

###### Lemma 3.8.

Let $`X_i𝒜`$ s.t. $`X_j=I`$ for $`jI\{1,2,\mathrm{},n\}`$. Let $`\pi \mathrm{\Pi }_n`$ have singletons at each $`jI`$ (and possibly more). Let $`\stackrel{~}{\pi }`$ be the partition obtained by removing these singletons from $`\pi `$. Then

$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=K_{\stackrel{~}{\pi }}^{}(X_i:i\{1,2,\mathrm{},n\}I)$$

On the other hand it is clear from Good’s formula that if $`I`$ appears in a block of size at least two then the corresponding cumulant $`K_\pi `$ vanishes.

### 3.4. The recursion formula

The general form of the recursion formula (1.1) (see also \[Spe94\] for the free analog) is as follows. The general philosophy is to replace cumulants by expectations of $`X^\omega `$.

###### Proposition 3.9.

(3.1)
$$\phi (X_1X_2\mathrm{}X_n)=\underset{\begin{array}{c}A[n]\\ A1\end{array}}{}\frac{1}{\left|A\right|}\phi (X_1^{A,\omega }X_2^{A,\omega }\mathrm{}X_n^{A,\omega })$$

where $`\omega `$ is a root of unity of order $`\left|A\right|`$ and

$$X_j^{A,\omega }=\{\begin{array}{cc}X_j^\omega =\omega X_j^{(1)}+\omega ^2X_j^{(2)}+\mathrm{}+\omega ^{\left|A\right|}X_j^{(\left|A\right|)}\hfill & jA\hfill \\ X_j^{(0)}\hfill & \text{otherwise}\hfill \end{array}$$

###### Proof.

We have (cf. (2.6))

$`\phi (X_1X_2\mathrm{}X_n)`$ $`={\displaystyle \underset{\pi \mathrm{\Pi }_n}{}}K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$
$`={\displaystyle \underset{\begin{array}{c}A[n]\\ A1\end{array}}{}}{\displaystyle \underset{\pi \mathrm{\Pi }_{[n]A}}{}}K_{\pi \{A\}}^{}(X_1,X_2,\mathrm{},X_n)`$
Now for fixed $`A`$ define a new multilinear functional $`\phi _A`$ for tuples of random variables which are indexed by $`[n]A`$, the complement of $`A`$, namely for any such tuple

$$\phi _A((S_j)_{j[n]A})=\frac{1}{\left|A\right|}\phi (S_1S_2\mathrm{}S_n)$$

where we fill up the sequence to an $`n`$-tuple by setting $`S_j=X_j^\omega `$ for $`jA`$, where $`(X_j^{(k)})_{jA}`$ and $`(S_j)_{j[n]A}`$ are chosen independent. Then exchangeable families of $`(S_j)`$ remain exchangeable and we can define cumulants for this functional:

$`K_\pi ^{,\phi _A}((S_j)_{j[n]A})`$ $`={\displaystyle \frac{1}{_{B\pi }\left|B\right|}}\phi _A((S_j^{\omega ,\pi })_{j[n]A})`$
$`={\displaystyle \frac{1}{\left|A\right|_{B\pi }\left|B\right|}}\phi (\stackrel{~}{S}_1^{\omega ,\pi }\stackrel{~}{S}_2^{\omega ,\pi }\mathrm{}\stackrel{~}{S}_n^{\omega ,\pi })`$
$`=K_{\pi \{A\}}^{}(\stackrel{~}{S}_1,\stackrel{~}{S}_2,\mathrm{},\stackrel{~}{S}_n)`$
where

$$\stackrel{~}{S}_j=\{\begin{array}{cc}X_j\hfill & jA\hfill \\ S_j\hfill & jA\hfill \end{array};$$

now (3.1) follows. ∎

### 3.5. Pyramidal independence

Pyramidal independence implies that cumulants are multiplicative on noncrossing partitions and, more generally, along the connected components.

###### Definition 3.10 (\[BS96\]).

Two subalgebras $``$ and $`𝒞`$ of $`𝒜`$ satisfy *pyramidal independence* if $`\phi (XYX^{})=\phi (XX^{})\phi (Y)`$ whenever $`X,X^{}`$ and $`Y𝒞`$ and vice versa.

We will say that an interchangeable family of algebras $`𝒜_i`$ satisfies pyramidal independence if for any choice of disjoint index sets $`I`$ and $`J`$ the algebras $`𝒜_I`$ and $`𝒜_J`$, generated by $`(A_i)_{iI}`$ and $`(A_i)_{iJ}`$ respectively, satisfy pyramidal independence.

###### Proposition 3.11.

If the algebras $`𝒜_i`$ satisfy pyramidal independence, then the moments and consequently the $``$-cumulants factorize along the connected components. That is, if $`\pi `$ has connected components $`\pi ^{}`$, $`\pi ^{\prime \prime }`$,… etc., then

$$\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)=\phi _\pi ^{}^{}(X_1,X_2,\mathrm{},X_n)\phi _{\pi ^{\prime \prime }}^{}(X_1,X_2,\mathrm{},X_n)\mathrm{}$$

and

$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=K_\pi ^{}^{}(X_1,X_2,\mathrm{},X_n)K_{\pi ^{\prime \prime }}^{}(X_1,X_2,\mathrm{},X_n)\mathrm{}$$

### 3.6. Relations between different cumulants

Considering matrices (section 3.3) and classical exchangeable random variables (section 4.3) one might wonder what are the relations between the different kinds of cumulants: given different exchangeability systems for a fixed probability space $`(𝒜,\phi )`$, is it possible to express one kind of cumulants in terms of the other?

One can indeed express free cumulants in terms of classical cumulants, namely \[Leh02\]

$$K_n^{}(X)=\underset{\pi \mathrm{\Pi }_n^{conn}}{}\kappa _\pi (X)$$

where the sum runs over all connected partitions. One can show by induction that an inverse formula holds as well, but there is apparently no way to write it down explicitly.

In general one cannot expect to be able to express one kind of cumulants in terms of another. For example, the $`q`$-cumulants of some a noncommutative random variable $`X`$ (cf. \[Leh03b\]) are not determined by the moments of $`X`$ alone \[vLM96\], but depend on the concrete realization of $`X`$ as an operator on $`q`$-Fock space; free or classical cumulants however only depend on the moments of $`X`$. Therefore it is not possible to express $`q`$-cumulants in terms of free cumulants. The converse, however, is true, because the $`q`$-cumulants determine the moments of $`X`$ and the moments determine both free and classical cumulants.

Another question is the following. Assume that we are given an operator-valued exchangeability system $`(,\psi ,𝒥)`$ for the operator-valued noncommutative probability space $`(𝒜,\psi )`$ with values in some subalgebra $``$. Choosing an arbitrary state $`\phi `$ on $``$, $`(,\phi \psi ,𝒥)`$ becomes an exchangeability system for $`(𝒜,\phi \psi )`$ and trivially

$$K_\pi ^{,\phi }(X_1,X_2,\mathrm{},X_n)=\phi (K_\pi ^{,\psi }(X_1,X_2,\mathrm{},X_n))$$

as already observed in section 3.3, where $`=IM_n`$. More interesting is the question, how to express for example free cumulants of matrices $`A_k=[a_{i,j}(k)]`$ w.r. to $`\tau _n\phi `$ in terms of the free cumulants of the entries $`a_{i,j}`$. These are different from the cumulants above, because freeness with amalgamation w.r. to $`\psi `$ does not imply freeness w.r. to $`\phi `$. Some aspects of this question are treated in \[NSS02\].

For classical cumulants there is Brillinger’s formula (4.1), which expresses classical cumulants in terms of conditional cumulants. There is a certain free analog \[Leh04\], but we were not able to find a formulation of Brillinger’s formula in the general context.

## 4. Examples

In this section we review some known facts about various cumulants in the light of Good’s formula. It is easily checked that all the examples considered here satisfy the axioms of Definition 1.8. We start with the simplest cases, namely classical independent random variables and conditionally independent random variables. De Finetti’s theorem (see Theorem 4.1 below) tells us that we cannot expect more examples from commutative probability theory. Then various notions of cumulants from truly noncommutative probability spaces are reviewed, like free, boolean, conditionally free etc. Considerations on Fock spaces are postponed to a separate paper \[Leh03b\].

### 4.1. Classical cumulants

Given a classical probability space $`(\mathrm{\Omega },\mathrm{\Sigma },\mu )`$, we construct the noncommutative probability space $`L^{\mathrm{}}(\mathrm{\Omega },\mu )`$ which is commutative in this case. The expectation is denoted as usual by $`𝐄`$. We can construct infinitely many interchangeable copies of $`𝒜=L^{\mathrm{}}(\mathrm{\Omega },\mu )`$ by embedding it into $`𝒰=L^{\mathrm{}}(\mathrm{\Omega }^{\mathrm{}},\mu ^{\mathrm{}})`$. This gives rise to an exchangeability system for $`𝒜`$ and independence of subalgebras of $`𝒜`$ is equivalent to exchangeability with respect to this exchangeability system. From the very definition of classical independence it follows immediately that for a partition $`\pi \mathrm{\Pi }_n`$, the partitioned moment is

$$𝐄_\pi (X_1,X_2,\mathrm{},X_n)=\underset{B\pi }{}𝐄\underset{iB}{}X_i$$

and similarly for the cumulants we have

$$\kappa _\pi (X_1,X_2,\mathrm{},X_n)=\underset{B\pi }{}\kappa _{\left|B\right|}(X_i:iB)$$

and we deduce from (2.4) the well known formula of Schützenberger \[Sch47\]

$$\kappa _n(X_1,X_2,\mathrm{},X_n)=\underset{\pi \mathrm{\Pi }_n}{}\kappa _\pi (X_1,X_2,\mathrm{},X_n)\mu (\pi ,\widehat{1}_n)$$

### 4.2. Classical conditionally independent random variables

If we take conditional expectations to a $`\mathrm{\Sigma }`$-subalgebra $`𝒜`$, then the partitioned conditional expectation factors just like the partitioned expectation of independent random variables, and the result is a $``$-measurable random variable:

$$m_\pi (X_1,X_2,\mathrm{},X_n|)=\underset{j}{}𝐄(\underset{i\pi _j}{}X_i|);$$

consequently the partitioned $``$-valued *conditioned cumulants* factorize as well and can be expressed via Möbius inversion:

$$\kappa _\pi (X_1,X_2,\mathrm{},X_n|)=\underset{\sigma \pi }{}m_\sigma (X_1,X_2,\mathrm{},X_n|)\mu (\pi ,\widehat{1}_n)$$

Conditioned cumulants can be used to detect conditional independence, namely if $`X_1,X_2,\mathrm{},X_n`$ can be divided into two groups which are independent conditionally on $``$, then the cumulant $`\kappa _n(X_1,X_2,\mathrm{},X_n|)`$ vanishes.

### 4.3. Classical exchangeable random variables

Classical (infinite) sequences of exchangeable random variables are characterized by *de Finetti’s theorem*.

###### Theorem 4.1 (De Finetti \[CT78, Kin78\]).

Let $`(X_i)`$ be an infinite exchangeable sequence of random variables. Then $`X_i`$ are i.i.d. conditionally on some $`\sigma `$-algebra $``$.

Note that no such theorem holds for finite sequences.

There are two different kinds of cumulants for classical exchangeable random variables which one may consider, namely the classical cumulants $`\kappa _n(X)`$ and the cumulants $`K_n^{}(X)`$ induced by the exchangeability relation. By De Finetti’s Theorem, the exchangeability system can be realized by considering conditionally independent copies and therefore the corresponding cumulants can be expressed in terms of the conditional cumulants $`\kappa _n(X|)`$. The conditional cumulants are

$$\kappa _\pi (X_1,X_2,\mathrm{},X_n|)=\underset{\sigma \pi }{}𝐄(X_1^{(\sigma (1))}X_2^{(\sigma (2))}\mathrm{}X_n^{(\sigma (n))}|)\mu (\sigma ,\pi )$$

and also

$`K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ $`={\displaystyle \underset{\sigma \pi }{}}𝐄(X_1^{\sigma (1)}X_2^{\sigma (2)}\mathrm{}X_n^{\sigma (n)})\mu (\sigma ,\pi )`$
$`=𝐄{\displaystyle \underset{\sigma \pi }{}}𝐄(X_1^{\sigma (1)}X_2^{\sigma (2)}\mathrm{}X_n^{\sigma (n)}|)\mu (\sigma ,\pi )`$
$`=𝐄(\kappa _\pi (X|)).`$
Note that $`K_\pi ^{}`$ does not factorize along the blocks in this case. On the other hand, the classical cumulants $`\kappa _n(X)`$ are given by the more complicated formula of Brillinger \[Bri69\]:

(4.1)
$$\kappa _n(X_1,X_2,\mathrm{},X_n)=\underset{\pi \mathrm{\Pi }_n}{}\kappa _{\left|\pi \right|}(\kappa _{\left|\pi _j\right|}(X_i:i\pi _j|):j=1,\mathrm{},\left|\pi \right|).$$

### 4.4. Free cumulants

Free independence is one of the most fundamental notions of independence in noncommutative probability. It was introduced by Voiculescu in \[Voi85\], where among many other facts existence of cumulants was shown. A systematic theory was established by Speicher \[Spe94\], who found the fundamental connection to the lattice of noncrossing partitions. For further information on free probability we refer to \[VDN92, Voi00, HP00, NS00\]. Here we rederive the basic facts in an elementary way.

Let us recall the definition of free independence.

###### Definition 4.2 (\[Voi85\]).

Let $`(𝒜,\phi )`$ be a noncommutative probability space. Subalgebras $`𝒜_i𝒜`$ are called *free* if $`\phi (X_1X_2\mathrm{}X_n)=0`$ whenever $`\phi (X_j)=0`$, $`X_j𝒜_{i_j}`$ and $`i_ji_{j+1}`$. Elements $`X_i𝒜`$ are said to be free if the algebras they generate are free.

It is not difficult to show that the mixed moments of free random variables depend only on the moments of the individual random variables in a universal way. An exchangeability system $``$ can be constructed by taking the reduced free product of copies of a given algebra: Let $`(𝒜,\phi )`$ be a noncommutative probability space, $`𝒰=\mathrm{}_i𝒜_i`$ be the free product of infinitely many copies of $`𝒜`$ and $`\stackrel{~}{\phi }=\mathrm{}_i\phi _i`$ the free product state \[Voi85, Avi82\]. Then the $`𝒜_i`$ are interchangeable copies of $`𝒜`$ and two subalgebras $`,𝒞𝒜`$ are free if and only if they are $``$-independent in the sense of Definition 1.8.

It is easily seen from Definition 4.2 that freeness implies pyramidal independence (see section 3.5) and therefore by Proposition 3.11 we have factorization along noncrossing partitions.

###### Proposition 4.3.

For a noncrossing partition $`\pi =\{\pi _1,\pi _2,\mathrm{},\pi _p\}NC_n`$ the partitioned expectations and cumulants factorize:

$`\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ $`={\displaystyle \underset{B\pi }{}}\phi (\underset{iB}{\stackrel{}{{\displaystyle }}}X_i)`$
$`K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ $`={\displaystyle \underset{B\pi }{}}K_{\left|B\right|}^{}(X_i:iB)`$
The products and sequences are to be taken in the order of the indices.

The expression for $`\phi _\pi ^{}`$ is rather complicated if $`\pi `$ has a crossing. The cumulants however vanish in this case.

###### Proposition 4.4.

If $`\pi \mathrm{\Pi }_n`$ has a crossing then

$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=0$$

for any choice of $`X_i`$.

###### Proof.

We use Proposition 2.8. By pyramidal independence we can factor out the connected components of $`\pi `$. As $`\pi `$ has a crossing, there is at least one connected component which is not a block itself, i.e., it contains at least $`2`$ blocks. It is enough to show that the contribution of this connected component is zero. So without loss of generality we may assume that $`\pi `$ is connected. In this case no block of $`\pi `$ is an interval because of Lemma 2.4 we find that the cumulant $`K_\pi ^{}(X_1,X_2,\mathrm{},X_n)`$ equals the expectation of an alternating word of centered free random variables. Therefore it vanishes. ∎

It follows that

$$\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\begin{array}{c}\sigma \pi \\ \sigma NC_n\end{array}}{}K_\sigma ^{}(X_1,X_2,\mathrm{},X_n)$$

and we can apply Möbius inversion on the lattice of noncrossing partitions to obtain Speicher’s formula \[Spe94\]: For a noncrossing partition $`\pi `$ we have

$$K_\pi ^{}(X_1,X_2,\mathrm{},X_n)=\underset{\begin{array}{c}\sigma NC_n\\ \sigma \pi \end{array}}{}\phi _\sigma ^{}(X_1,X_2,\mathrm{},X_n)\mu _{NC}(\sigma ,\pi )$$

where $`\mu _NC(\pi ,\sigma )`$ is the Möbius function on the lattice of noncrossing partitions, which was found by Kreweras \[Kre72\], and $`\phi _\sigma ^{}`$ factorizes according to Proposition 4.3.

###### Remark 4.5.

It follows from the considerations above that we have the remarkable identity

$$\underset{\pi NC_n}{}\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)\mu _{NC}(\pi ,\widehat{1}_n)=\underset{\pi \mathrm{\Pi }_n}{}\phi _\pi ^{}(X_1,X_2,\mathrm{},X_n)\mu (\pi ,\widehat{1}_n)$$

(both sides are equal to $`K_n^{}(X_1,X_2,\mathrm{},X_n)`$), for which there is probably no simple “direct” proof.

### 4.5. Operator valued free cumulants

There is an operator valued generalization of free probability which was also developed by Voiculescu \[Voi85, Voi95\]. Roughly speaking, operator valued free probability is obtained by replacing the field $`𝐂`$ by a subalgebra $``$ of the given algebra and the expectation map $`\psi `$, which has values in $``$, can be seen as an analogue of conditional expectations in classical probability.

###### Definition 4.6 (\[Voi85\]).

Let $`(𝒜,\psi )`$ be a $``$-valued noncommutative probability space, that is, $``$ is a unital subalgebra of $`𝒜`$ and $`\psi :𝒜`$ is a conditional expectation. Subalgebras $`𝒜_i𝒜`$ are called *free (with amalgamation) over $``$* or *$``$-free* if $`\psi (X_1X_2\mathrm{}X_n)=0`$ whenever $`\psi (X_j)=0`$, $`X_j𝒜_{i_j}`$ and $`i_ji_{j+1}`$. Elements $`X_i𝒜`$ are said to be $``$-free if the algebras they generate are $``$-free.

An exchangeability system $`_a`$ realizing freeness with amalgamation can be constructed by taking amalgamated free products of algebras. The corresponding cumulants are again governed by the lattice of noncrossing partitions as found by Speicher \[Spe98\]. A “nested” analogue of pyramidal independence holds and by a similar argument as above we have a factorization of partitioned expectations along connected components; this time, however, the factors are noncommutative and remain nested.

###### Proposition 4.7.

Let $`\pi \mathrm{\Pi }_n`$ be an arbitrary partition and let $`\sigma `$ be a connected component of $`\pi `$, such that $`\sigma _j=\{k,k+1,\mathrm{},l\}`$ is an interval. Then

$$\psi _\pi (X_1,X_2,\mathrm{},X_n)=\psi _{\pi \sigma }(X_1,X_2,\mathrm{},X_{k1},\psi _\sigma (X_kX_{k+1}\mathrm{}X_l)X_{l+1},X_n)$$

In particular, if $`\pi =\{\pi _1,\pi _2,\mathrm{},\pi _n\}NC_n`$ is a noncrossing partition and $`\pi _j=\{k,k+1,\mathrm{},l\}\pi `$ is an interval block, then

$$\psi _\pi (X_1,X_2,\mathrm{},X_n)=\psi _{\pi \pi _j}(X_1,X_2,\mathrm{},X_{k1},\psi (X_kX_{k+1}\mathrm{}X_l)X_{l+1},X_n)$$

The noncrossing cumulants enjoy the same factorization property, while the crossing cumulants vanish. The proof is essentially the same as above.

###### Proposition 4.8.

If $`\pi \mathrm{\Pi }_n`$ has a crossing then $`K_\pi ^_a(X_1,X_2,\mathrm{},X_n)=0`$ for any choice of $`X_i`$.

### 4.6. Boolean cumulants

*Boolean convolution* of measures was studied in \[SW97, BS91\]. It comes from the so-called *regular free product* of states on free products of groups \[Boż87\].

###### Definition 4.9.

Let $`(𝒜_i=𝐂[X_i],\phi _i)`$ be polynomial algebras. The regular free product of the states $`\phi =\mathrm{}\phi _i`$ is the state on the unital free product of the algebras $`\mathrm{}𝒜_i`$ which is given by the rule

$$\phi (X_{i_1}^{k_1}X_{i_2}^{k_2}\mathrm{}X_{i_n}^{k_n})=\phi _{i_1}(X_{i_1}^{k_1})\phi _{i_2}(X_{i_2}^{k_2})\mathrm{}\phi _{i_n}(X_{i_n}^{k_n})$$

if $`i_ji_{j+1}`$ and $`k_j>0`$.

This is a special case of conditional free products considered in section 4.7 below. The partitions of relevance here are the interval partitions considered first by von Waldenfels in \[vW73, vW75\].

###### Proposition 4.10.

If $`\pi \mathrm{\Pi }_n`$ is an interval partition, then the partitioned expectation factorizes:

$$\phi _\pi (X_1X_2\mathrm{}X_n)=\underset{j}{}\phi (\underset{i\pi _j}{\stackrel{}{}}X_i)$$

More generally, the partitioned expectations factorize along the irreducible components of the partition. The cumulants also factorize for interval partitions and moreover they vanish for any other partition.

###### Proposition 4.11.

If $`\pi \mathrm{\Pi }_nI_n`$ then $`K_\pi ^{\mathrm{Boo}}(X_1,X_2,\mathrm{},X_n)`$ vanishes for any choice of $`X_i`$.

###### Proof.

If there is a block which is not an interval, then it is sliced into at least two parts. We have therefore an alternating word in which by Lemma 2.4 one (even two) of the factors has zero expectation and therefore the expectation of the whole word vanishes. ∎

Thus we can write

$$\phi _\pi (X_1,X_2,\mathrm{},X_n)=\underset{\begin{array}{c}\sigma \pi \\ \sigma I_n\end{array}}{}K_\sigma ^{\mathrm{Boo}}(X_1,X_2,\mathrm{},X_n)$$

and we can apply Möbius inversion on the lattice of interval partitions and get the formula

$$K_n^{\mathrm{Boo}}(X_1,X_2,\mathrm{},X_n)=\underset{\pi I_n}{}\phi _\pi (X_1,X_2,\mathrm{},X_n)\mu _I(\pi ,\widehat{1}_n).$$

The name *boolean cumulants* stems from the fact that the the set of interval partitions of order $`n`$ forms a lattice $`I_n`$ which is isomorphic to the (boolean) lattice of subsets of the set $`\{1,2,\mathrm{},n1\}`$. There is an obvious antiisomorphism which takes an interval partition to the set of the endpoints of its blocks, except the last one which is redundant. Then take the antiisomorphism of the boolean lattice which consists of taking complements.

### 4.7. Conditional free cumulants

A free product of algebras with pairs of states was defined in \[BS91\] and \[BLS96\], generalizing both free and boolean free product. Let $`𝒜_i`$ be algebras with states $`\phi _i`$, $`\psi _i`$ ($`\phi `$ may also be operator-valued, see \[Mło02\]). On the free product $`𝒜=\mathrm{}𝒜_i`$ let $`\psi =\mathrm{}\psi _i`$ be the free product state and define $`\phi `$ be the condition

$$\phi (X_1X_2\mathrm{}X_n)=\phi _{i_1}(X_1)\phi _{i_2}(X_2)\mathrm{}\phi _{i_n}(X_n)$$

whenever $`X_j𝒜_{i_j}`$, $`i_ji_{j+1}`$ and $`\psi _{i_j}(X_j)=0`$. The resulting noncommutative probability space is called the conditional free product of $`(𝒜_i,\phi _i,\psi _i)`$ and denoted

(4.2)
$$(𝒜,\phi ,\psi )=\mathrm{}(𝒜_i,\phi _i,\psi _i).$$

###### Theorem 4.12 (\[BLS96\]).

If all $`\phi _i`$, $`\psi _i`$ are states, then $`\phi `$ is a state.

One can show that the conditional free product is associative, that is

$$((𝒜_1,\phi _1,\psi _1)(𝒜_2,\phi _2,\psi _2))(𝒜_3,\phi _3,\psi _3)=(𝒜_1,\phi _1,\psi _1)((𝒜_2,\phi _2,\psi _2)(𝒜_3,\phi _3,\psi _3)).$$

It follows that the conditional free product

$$\mathrm{}_{i𝐍}(𝒜,\phi ,\psi )$$

of infinitely many copies $`(𝒜^{(i)},\phi ^{(i)},\psi ^{(i)})`$ of (4.2) gives rise to an exchangeability system $`\mathrm{CF}`$ such that the free factors $`𝒜^{(i)}`$ are $`\mathrm{CF}`$-exchangeable and moreover the subalgebras $`𝒜_i𝒜`$ are independent in the sense of definition 1.8. We can therefore proceed to compute cumulants. It turns out that crossing cumulants vanish, just as in the free case:

We can decompose $`𝒜_i=𝐂I\stackrel{}{𝒜_i}`$ where $`\stackrel{}{𝒜_i}=\mathrm{ker}\psi _i`$ and

$$𝒜=𝐂I\underset{i_1i_2\mathrm{}}{}\stackrel{}{𝒜_{i_1}}\stackrel{}{𝒜_{i_2}}\mathrm{}\stackrel{}{𝒜_{i_n}}$$

###### Lemma 4.13 (\[BLS96\]).

Let $`X_1=S_1S_2\mathrm{}S_n\stackrel{}{𝒜_{i_1}}\stackrel{}{𝒜_{i_2}}\mathrm{}\stackrel{}{𝒜_{i_m}}`$ with $`i_ki_{k+1}`$, and let $`X_2=T_1T_2\mathrm{}T_n\stackrel{}{𝒜_{j_1}}\stackrel{}{𝒜_{j_2}}\mathrm{}\stackrel{}{𝒜_{j_n}}`$ with $`j_kj_{k+1}`$.

1. if $`i_1j_1`$ then

(4.3)
$$\phi (X_1^{}X_2)=\phi (X_1^{})\phi (X_2)$$
2. if $`Y𝒜_i`$ with $`ii_1,j_1`$ then

$$\phi (X_1^{}YX_2)=\psi _i(Y)(\phi (X_1^{}X_2)\phi (X_1^{})\phi (X_2))+\phi _i(Y)\phi (X_1^{})\phi (X_2)$$

We will need the following simpler version only.

###### Lemma 4.14.

1. If $`X`$, $`Y`$ are c-free then $`\phi (XY)=\phi (X)\phi (Y)`$.
2. If $`\{X_1,X_2\}`$ and $`Y`$ are c-free, then

$$\phi (X_1YX_2)=\phi (X_1)\phi (Y)\phi (X_2)+\psi (Y)(\phi (X_1X_2)\phi (X_1)\phi (X_2))$$

###### Proof.

Denote $`\xi =\psi (X)`$, $`\overline{X}=\phi (X)`$, $`\stackrel{}{X}=X\psi (X)=X\xi `$, etc. Then we have

$`\phi (XY)`$ $`=\phi ((\stackrel{}{X}+\xi )(\stackrel{}{Y}+\eta ))`$
$`=\phi (\stackrel{}{X})\phi (\stackrel{}{Y})+\xi \phi (\stackrel{}{\eta })+\phi (\stackrel{}{X})\eta +\xi \eta `$
$`=(\overline{X}\xi )(\overline{Y}\eta )+\xi (\overline{Y}\eta )+(\overline{X}\xi )\eta +\xi \eta `$
$`=\overline{X}\overline{Y}`$
For the second part,

$`\phi (X_1YX_2)`$ $`=\phi (\stackrel{}{X_1}YX_2)+\xi _1\overline{Y}\overline{X_2}`$
$`=\phi (\stackrel{}{X_1}Y\stackrel{}{X_2})+\xi _2\phi (\stackrel{}{X_1})\overline{Y}+\xi _1\overline{X}_2\overline{Y}`$
$`=\phi (\stackrel{}{X_1})\phi (\stackrel{}{Y})\phi (\stackrel{}{X_2})+\phi (\stackrel{}{X_1}\stackrel{}{X_2})\eta +\xi _2\phi (\stackrel{}{X_1})\overline{Y}+\xi _1\overline{X}_2\overline{Y}`$
$`=(\overline{X}_1\xi _1)(\overline{Y}\eta )(\overline{X}_2\xi _2)+(\phi (X_1X_2)\overline{X}_1\xi _2\xi _1\overline{X}_2+\xi _1\xi _2)\eta `$
$`+(\overline{X}_1\xi _1)\xi _2\overline{Y}+\xi _1\overline{X}_2\overline{Y}`$
$`=\overline{X}_1\overline{X}_2\overline{Y}\overline{X}_1\overline{X}_2\eta \overline{X}_1\xi _2\overline{Y}+\overline{X}_1\xi _2\eta \xi _1\overline{X}_2\overline{Y}+\xi _1\overline{X}_2\eta +\xi _1\xi _2\overline{Y}\xi _1\xi _2\eta `$
$`+\phi (X_1X_2)\eta \overline{X}_1\xi _2\eta \xi _1\overline{X}_2\eta +\xi _1\xi _2\eta +\overline{X}_1\xi _2\overline{Y}\xi _1\xi _2\overline{Y}+\xi _1\overline{X}_2\overline{Y}`$
$`=\overline{X}_1\overline{X}_2\overline{Y}+\eta (\phi (X_1X_2)\overline{X}_1\overline{X}_2)`$
In particular, pyramidal independence does not hold (unless $`\phi _i=\psi _i`$, i.e. free independence). Let us consider interval partitions first. We can work in the full algebra with $`\psi =\mathrm{}\psi _i`$.

###### Lemma 4.15.

The partitioned $`\phi `$-cumulants are multiplicative on irreducible components. Let $`\pi =\pi _1\pi _2\mathrm{}\pi _m`$ where $`\pi _j`$ are the irreducible components. Then

$$\begin{array}{c}K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)\hfill \\ \hfill =K_{\pi _1}^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_{n_1})K_{\pi _2}^{\mathrm{CF}}(X_{n_1+1},X_{n_1+2},\mathrm{},X_{n_2})\mathrm{}K_{\pi _m}^{\mathrm{CF}}(X_{n_{m1}+1},X_{n_1+1},\mathrm{},X_n)\end{array}$$

###### Proof.

This is clear for moments from stochastic independence (Proposition 4.14) and associativity of the c-free product. ∎

Although pyramidal independence does not hold for moments, it holds for cumulants in a modified way, namely one has to distinguish inner and outer blocks.

###### Proposition 4.16.

Let $`\pi `$ be an irreducible partition with outer connected component $`\pi _1`$ and inner components $`\pi _2`$. Then

$$K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)=K_{\pi _1}^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)K_{\pi _2}^{,\psi }(X_1,X_2,\mathrm{},X_n)$$

where $`K_{\pi _2}^{,\psi }`$ is the free cumulant with respect to $`\psi `$. Therefore it vanishes unless $`\pi _2`$ is noncrossing.

###### Proof.

We may assume that the partition is irreducible, i.e., there is one outer connected component and one or more inner connected components. For simplicity let us assume that there is only one inner component, of length $`mk`$. Then we have

$$K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)=\frac{1}{_{B\pi }\left|B\right|}\phi (X_1^{\pi ,\omega }X_2^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })$$

where $`\{X_1^{\pi ,\omega },X_2^{\pi ,\omega },\mathrm{},X_k^{\pi ,\omega },X_{m+1}^{\pi ,\omega },\mathrm{},X_n^{\pi ,\omega }\}`$ and $`\{X_{k+1}^{\pi ,\omega },X_{k+2}^{\pi ,\omega },\mathrm{},X_m^{\pi ,\omega }\}`$ are independent. The pyramidal law of Lemma 4.14 allows the following factorization:

$$\begin{array}{c}K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)\hfill \\ \hfill =\frac{1}{_{B\pi }\left|B\right|}(\phi (X_1^{\pi ,\omega }\mathrm{}X_k^{\pi ,\omega })\phi (X_{k+1}^{\pi ,\omega }\mathrm{}X_m^{\pi ,\omega })\phi (X_{m+1}^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })\\ \hfill +\psi (X_{k+1}^{\pi ,\omega }\mathrm{}X_m^{\pi ,\omega })(\phi (X_1^{\pi ,\omega }\mathrm{}X_k^{\pi ,\omega }X_{m+1}^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })\\ \hfill \phi (X_1^{\pi ,\omega }\mathrm{}X_k^{\pi ,\omega })\phi (X_{m+1}^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })))\end{array}$$

Now both $`\phi (X_1^{\pi ,\omega }\mathrm{}X_k^{\pi ,\omega })`$ and $`\phi (X_{m+1}^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })`$ vanish because at least one block of $`\pi _1`$ is split into two and Lemma 2.4 applies. Therefore we are left with one term

$$\psi (X_{k+1}^{\pi ,\omega }\mathrm{}X_m^{\pi ,\omega })\phi (X_1^{\pi ,\omega }\mathrm{}X_k^{\pi ,\omega }X_{m+1}^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega }),$$

which is equal to the claimed value. ∎

###### Proposition 4.17.

$`K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)`$ vanishes unless $`\pi `$ is noncrossing.

###### Proof.

Using the above formulas, we can reduce the proof to consider the connected components separately. For the inner components we know by Proposition 4.4 that crossing free cumulants vanish. Thus it is enough to consider a connected partition $`\pi `$ with at least two blocks. In this case no block of $`\pi `$ is an interval, therefore

$$K_\pi ^{\mathrm{CF}}(X_1,X_2,\mathrm{},X_n)=\phi (X_1^{\pi ,\omega }X_2^{\pi ,\omega }\mathrm{}X_n^{\pi ,\omega })=\phi (Y_1Y_2\mathrm{}Y_m)$$

is the expectation of an alternating word $`Y_1Y_2\mathrm{}Y_m`$ whose letters satisfy $`\phi (Y_j)=\psi (Y_j)=0`$ by Lemma 2.4 and therefore the expectation vanishes. ∎

###### Remark 4.18.

Besides boolean convolution (see section 4.6), which corresponds to the state $`\psi =\delta _0`$ on the polynomial algebra $`𝐂[X]`$, several other choices of $`\psi `$ have been studied \[Boż01, KY02, Yos02a, Yos02b\]. Some of these can be reduced to the following “$`\mathrm{\Delta }`$-convolution” \[Boż01, Yos02b\]: Let $`\mu `$ be a probability measure on the real line and define a state $`\phi `$ on $`𝐂[X]`$ by $`\phi (X^k)=t^k𝑑\mu (t)`$. Let $`\omega `$ be any probability measure with moments $`(\omega _n)_{n𝐍}`$. Let $`\psi =\omega \phi `$, that is

$$\psi (X^n)=\omega _n\phi (X^n).$$

A certain moment-cumulant formula was found in \[Yos02b\], namely

$$\phi (X^n)=\underset{\pi NC_n}{}w(\pi )\alpha _\pi ^\mathrm{\Delta }(X)$$

where $`w(\pi )`$ is the products of the lengths of all “arcs” of $`\pi `$. However, the term $`w(\pi )\alpha _\pi ^\mathrm{\Delta }`$ is different from the corresponding term $`K_\pi ^{\mathrm{CF}}(X)`$ in the moment-cumulant formula of Proposition 2.7, which corresponds to the conditional free cumulants.

### 4.8. Fermions and graded indendence

Tensor independence, free independence and boolean independence are the only possible notions of independence in a certain natural axiomatic scheme \[Spe97\]. There are however other notions of independence if an additional structure is imposed on the noncommutative probability space. One such example is $`𝐙_2`$-graded independence \[MN97\]. There is generalization \[Goo02\] to $`𝐙_n`$-graded independence, which however does not give rise to interchangeable algebras and thus does not fit in our framework.

###### Definition 4.19.

A $`𝐙_2`$-graded noncommutative probability space $`(𝒜,\gamma ,\phi )`$ consists of a $`𝐙_2`$-graded algebra $`𝒜=𝒜_+𝒜_{}`$, a unital linear functional $`\phi `$ and a grading automorphism $`\gamma `$ of order $`2`$ such that $`\phi \gamma =\phi `$. The elements $`X`$ of $`𝒜_\pm `$ are called *homogeneous* and satisfy $`\gamma (X)=\pm X=(1)^XX`$ for $`X𝒜_\pm `$, where the *degree* $`X`$ is defined as $`X=0`$ if $`X𝒜_+`$ and $`X=1`$ if $`X𝒜_{}`$. A subalgebra of $`𝒜`$ is called *homogeneous* if it is invariant under $`\gamma `$. Homogeneous subalgebras $`𝒜_1`$, $`𝒜_2`$ of $`𝒜`$ are *graded independent* if

1. they *gradedly commute*, i.e., homogeneous elements $`X_1𝒜_1`$ and $`X_2𝒜_2`$ satisfy $`X_1X_2=(1)^{X_1X_2}X_2X_1`$.
2. $`\phi (X_1X_2)=\phi (X_1)\phi (X_2)`$ for all $`X_i𝒜_i`$.

It follows that for odd elements $`X`$ (i.e., $`X=1`$) the expectation $`\phi (X)=0`$.

Examples of graded independence include Clifford algebras and the rotation algebra $`𝒜_{1/2}`$, cf. \[MN97\].

Here we only recall the graded tensor product, which we will use to construct graded independent copies of a given algebra.

###### Definition 4.20.

Let $`(𝒜_1,\gamma _1,\phi _1)`$ and $`(𝒜_2,\gamma _2,\phi _2)`$ be graded non-commutative probability spaces. Their graded tensor product $`(𝒜_1_2𝒜_2,\gamma ,\phi )`$ is defined as the usual tensor product $`𝒜_1𝒜_2`$ with multiplication

$$(X_1X_2)(X_1^{}X_2^{})=(1)^{X_1X_2}X_1X_1^{}X_2X_2^{}$$

for homogeneous elements $`X_1,X_1^{}𝒜_1`$ and $`X_2,X_2^{}𝒜_2`$. For arbitrary elements the product is defined by bilinear extension. If $`𝒜_1`$ and $`𝒜_2`$ are $``$-algebras, then we can make $`𝒜_1_2𝒜_2`$ into a star algebra with involution

$$(X_1X_2)^{}=(1)^{X_1X_2}X_1^{}X_2^{}.$$

The expectation functional is as usual $`\phi =\phi _1\phi _2`$.

It can be shown that the graded tensor product is associative. Moreover, it gives rise to exchangeable algebras.

###### Proposition 4.21.

Let $`𝒰`$ be the infinite graded tensor product of copies of the graded noncommutative probability space $`𝒜,\gamma ,\phi `$ and let $`𝒜_k`$ be the $`k`$-th copy of $`𝒜`$ in $`𝒰`$. As usual we denote for $`X𝒜`$ its image in $`A_k`$ by $`X^{(k)}`$. Then $`(A_k)_{k𝐍}`$ are interchangeable.

###### Proof.

By associativity of the graded tensor product and by multilinearity it is enough to show that for homogeneous elements $`X_i`$, $`Y_i𝒜`$ we have

$$\phi (X_1^{(1)}Y_1^{(2)}X_2^{(1)}Y_2^{(2)}\mathrm{}X_n^{(1)}Y_n^{(2)})=\phi (X_1^{(2)}Y_1^{(1)}X_2^{(2)}Y_2^{(1)}\mathrm{}X_n^{(2)}Y_n^{(1)})$$

We proceed by commuting the tensors:

$`\phi (X_1^{(1)}Y_1^{(2)}X_2^{(1)}Y_2^{(2)}\mathrm{}X_n^{(1)}Y_n^{(2)})`$ $`=\phi ((X_1I)(IY_1)(X_2I)(IY_2)\mathrm{}(X_nI)(IY_n))`$
$`=\phi ((X_1Y_1)(X_2Y_2)\mathrm{}(X_nY_n))`$
$`=(1)^{Y_1X_2}\phi ((X_1X_2Y_1Y_2)(X_3Y_3)\mathrm{}(X_nY_n))`$
$`=\mathrm{}`$
$`=(1)^{_{k=2}^n(Y_1+\mathrm{}+Y_{k1})X_k}\phi (X_1X_2\mathrm{}X_nY_1Y_2\mathrm{}Y_n)`$
$`=(1)^{_{i<j}Y_iX_j}\phi (X_1X_2\mathrm{}X_n)\phi (Y_1Y_2\mathrm{}Y_n).`$
On the other hand,

$`\phi (X_1^{(2)}Y_1^{(1)}X_2^{(2)}Y_2^{(1)}\mathrm{}X_n^{(2)}Y_n^{(1)})`$ $`=\phi ((IX_1)(Y_1I)(IX_2)(Y_2I)\mathrm{}(IX_n)(Y_nI))`$
$`=(1)^{X_1Y_1+\mathrm{}+X_nY_n}\phi ((Y_1X_1)(Y_2X_2)\mathrm{}(Y_nX_n))`$
$`=(1)^{_iX_iY_i+_{i<j}X_iY_j}\phi (Y_1Y_2\mathrm{}Y_n)\phi (X_1X_2\mathrm{}X_n).`$
Now unless both $`Y_i`$ and $`X_i`$ are even, the expectations vanish, so we may assume that they are even. In this case, the signs are equal, as their product is $`1`$:

$$(1)^{_{i>j}X_iY_j}(1)^{_iX_iY_i+_{i<j}X_iY_j}=(1)^{({\scriptscriptstyle X_i})({\scriptscriptstyle Y_j})}=1$$

###### Proposition 4.22.

Graded independence coincides with $`\mathrm{GT}`$-independence induced, via Definition 1.8, by the exchangeability system $`\mathrm{GT}`$ of Proposition 4.21.

###### Proposition 4.23.

Pyramidal independence holds: If $`\{X_1,X_2\}`$ and $`Y`$ are graded independent, then

$$\phi (X_1YX_2)=\phi (X_1X_2)\phi (Y)$$

###### Proof.

We may assume that all random variables involved are homogeneous, then we haven

$$\phi (X_1YX_2)=(1)^{X_2Y}\phi (X_1X_2)\phi (Y)$$

and $`\phi (Y)=0`$ unless $`Y=0`$. ∎

It follows by Proposition 3.11 that moments and cumulants factorize along connected components. For general partitions the partitioned moments and cumulants also factorize, but with a weight counting the number of a certain kind of crossings.

###### Definition 4.24.

Let $`\pi =\{B_1,\mathrm{},B_p\}\mathrm{\Pi }_n`$ be a partition with $`\mathrm{min}B_i<\mathrm{min}B_j`$ for $`i<j`$. For two blocks $`A`$ and $`B`$ of $`\pi `$ with $`\mathrm{min}(A)<\mathrm{min}(B)`$ denote

$$c_0(A,B)=\mathrm{\#}\{(a,b):aA,bB,\mathrm{min}(B)<a<b\}$$

the *(left) reduced number of crossings* of these blocks; the total number of reduced crossings of $`\pi `$ is

$$c_0(\pi )=\underset{i<j}{}c_0(B_i,B_j)$$

###### Proposition 4.25.

For homogeneous elements of degree $`1`$ the partitioned moment and cumulant is

$`\phi _\pi (X_1,X_2,\mathrm{},X_n)`$ $`=(1)^{c_0(\pi )}{\displaystyle \underset{B\pi }{}}\phi _B({\displaystyle \underset{ib}{}}X_i)`$
$`K_\pi ^{\mathrm{GT}}(X_1,X_2,\mathrm{},X_n)`$ $`=(1)^{c_0(\pi )}{\displaystyle \underset{B\pi }{}}K_B^{\mathrm{GT}}(X_i:ib)`$
###### Proof.

By associativity it is enough to prove that for noncommutative random variables $`X_1,X_2,\mathrm{},X_n𝒜`$ and a partition $`\pi `$ consisting of two blocks $`B_1`$ and $`B_2`$ with $`\mathrm{min}(B_1)=1<\mathrm{min}(B_2)`$

$$\phi (X_1^{(\pi (1))}X_2^{(\pi (2))}\mathrm{}X_n^{(\pi (n))})=(1)^{c_0(B_1,B_2)}\phi (\underset{iB_1}{}X_i)\phi (\underset{iB_2}{}X_i).$$

To do this, we determine the effect of commuting $`X_m^{(1)}`$ to the left of an $`X_l^{(2)}`$, where $`k`$, $`l`$ and $`m`$ are such that

$$X_1^{(\pi (1))}X_2^{(\pi (2))}\mathrm{}X_n^{(\pi (n))}=X_1^{(1)}X_2^{(1)}\mathrm{}X_k^{(1)}X_{k+1}^{(2)}X_{k+2}^{(2)}\mathrm{}X_l^{(2)}X_{l+1}^{(1)}X_{l+2}^{(\pi (l+2))}\mathrm{}X_n^{(\pi (n))}$$

On the one hand,

$$\begin{array}{c}X_1^{(1)}X_2^{(1)}\mathrm{}X_k^{(1)}X_{k+1}^{(2)}X_{k+2}^{(2)}\mathrm{}X_l^{(2)}X_{l+1}^{(1)}X_{l+2}^{(\pi (l+2))}\mathrm{}X_n^{(\pi (n))}\hfill \\ \hfill =X_1^{(1)}X_2^{(1)}\mathrm{}X_k^{(1)}X_{k+1}^{(2)}X_{k+2}^{(2)}\mathrm{}X_{l1}^{(2)}X_{l+1}^{(1)}X_l^{(2)}X_{l+2}^{(\pi (l+2))}\mathrm{}X_n^{(\pi (n))}\end{array}$$

on the other hand, the corresponding new partition $`\pi ^{}=\{A^{},B^{}\}`$ has

$$c_0(A^{},B^{})=\{\begin{array}{cc}c_0(A,B)+1\hfill & \text{if }lk2\hfill \\ c_0(A,B)(\left|B\right|1)\hfill & \text{if }l=k+1\hfill \end{array}$$

crossings. Unless $`\left|B\right|`$ is even, the expectation vanishes anyway, therefore in any case we have $`(1)^{c_0(A^{},B^{})}=(1)^{c_0(A,B)}`$. Repeating this step until the partition becomes uncrossing finishes the proof. ∎

### 4.9. Noncrossing cumulants of type $`B`$

Recently \[BGN03\] there has been introduced a framework for noncrossing cumulants of type $`B`$ which were defined in \[Rei97\]. We are indebted to A. Nica for explaining the model to us.

Roughly speaking the setup is as follows. Let $`𝒜`$ be an algebra and $`V`$ and $`𝒜`$-bimodule, define a multiplication on $`𝒜\times V`$ induced by the matrix multiplication

$$\left[\begin{array}{cc}a& \xi \\ 0& a\end{array}\right]\left[\begin{array}{cc}a^{}& \xi ^{}\\ 0& a^{}\end{array}\right]=\left[\begin{array}{cc}aa^{}& a\xi ^{}+\xi a^{}\\ 0& aa^{}\end{array}\right]$$

i.e., we define the multiplication of a pair

$$(a,\xi )(a^{},\xi ^{})=(aa^{},a\xi ^{}+\xi a^{})$$

A similar multiplication is defined on $`𝐂^2`$:

(4.4)
$$(\alpha ,\beta )(\alpha ^{},\beta ^{})=(\alpha \alpha ^{},\alpha \beta ^{}+\alpha ^{}\beta )$$

For a given pair of functionals $`\phi :𝒜𝐂`$ and $`f:V𝐂`$ we define the $`𝐂^2`$-valued expectation map

$`\psi :𝒜\times V`$ $`𝐂^2`$
$`(a,\xi )`$ $`(\phi (a),f(\xi ))`$
###### Definition 4.26.

Let $`𝒜_i`$ be subalgebras of $`𝒜`$ and $`V_i`$ subspaces of $`V`$ s.t. $`V_i`$ is invariant under the action of $`𝒜_i`$. The family $`(𝒜_i,V_i)`$ is *free of type B* if

1. $`𝒜_i`$ are free
2. Whenever $`a_j𝒜_{i_j}`$, $`\xi 𝒜_{i_0}`$ and $`b_j𝒜_{i_j}`$ with $`i_ji_{j+1}`$, $`\phi (a_j)=\phi (b_j)=0`$ we have

(4.5)
$$f(a_ma_{n1}\mathrm{}a_1\xi b_1b_2\mathrm{}b_n)=\{\begin{array}{cc}0\hfill & mn\hfill \\ \delta _{j_1j_1}\delta _{j_2j_2}\mathrm{}\delta _{j_nj_n}\phi (a_1b_1)\phi (a_2b_2)\mathrm{}\phi (a_nb_n)f(\xi )\hfill & \end{array}$$

There is also a natural free product construction associated to this notion.

###### Lemma 4.27.

Pyramidal independence holds. Assume that $`\{(a,\xi ),(a^{},\xi ^{})\}`$ and $`(b,\eta )`$ are free of type B. Then

$$\psi ((a,\xi )(b,\eta )(a^{},\xi ^{}))=\psi ((aa^{},\xi \xi ^{}))\psi ((b,\eta ))$$

###### Proof.

By definition we have

$$\psi ((a,\xi )(b,\eta )(a^{},\xi ^{}))=(\phi (aba^{}),f(\xi ba^{}+a\eta a^{}+ab\xi ^{}))$$

Pyramidal independence holds in free probability and therefore the first component is clearly $`\phi (aba^{})=\phi (aa^{})\phi (b)`$. The other terms are

$`f(\xi ba^{})`$ $`=f(\xi (\stackrel{}{b}+\phi (b))(\stackrel{}{a^{}}+\phi (a^{}))`$
$`=f(\xi \stackrel{}{b}\stackrel{}{a^{}})+f(\xi \stackrel{}{b})\phi (a^{})+f(\xi \stackrel{}{a^{}})\phi (b)f(\xi )\phi (b)\phi (a^{})`$
$`=f(\xi a^{})\phi (b)`$
$`f(a\eta a^{})`$ $`=f((\stackrel{}{a}+\phi (a))\eta (\stackrel{}{a^{}}+\phi (a^{})))`$
$`=f(\stackrel{}{a}\eta \stackrel{}{a^{}})+f(\stackrel{}{a}\eta )\phi (a^{})+\phi (a^{})f(\eta \stackrel{}{a})+\phi (a^{})f(\eta )\phi (a^{})`$
$`=\phi (\stackrel{}{a}\stackrel{}{a^{}})f(\eta )+\phi (a)f(\eta )\phi (a^{})`$
$`=\phi (aa^{})f(\eta )`$
$`f(ab\xi ^{})`$ $`=f(a\xi ^{})\phi (b)`$
On the other hand (noting that $`𝐂^2`$ ist commutative with the multiplication (4.4)) we have

$`\psi ((a,\xi )(a^{},\xi ^{}))\psi ((b,\eta ))`$ $`=(\phi (aa^{}),f(a\xi ^{})+f(\xi a^{}))(\phi (b),f(\eta ))`$
$`=(\phi (aa^{})\phi (b),\phi (aa^{})f(\eta )+\phi (b)(f(a\xi ^{})+f(\xi a^{})))`$
and this coincides with the value above. ∎

###### Proposition 4.28.

Crossing cumulants vanish.

###### Proof.

By Corollary 3.11 the cumulants factor along connected components. It is therefore enough to compute them for connected partitions. Assume that $`\pi `$ is connected and has at least $`2`$ blocks. Consider

$$\begin{array}{c}\psi ((a_1,\xi _1)^{(\pi ,\omega )}(a_2,\xi _2)^{(\pi ,\omega )}\mathrm{}(a_n,\xi _n)^{(\pi ,\omega )})\hfill \\ \hfill =(\phi (a_1^{(\pi ,\omega )}a_2^{(\pi ,\omega )}\mathrm{}a_n^{(\pi ,\omega )}),f(\xi _1^{(\pi ,\omega )}a_2^{(\pi ,\omega )}\mathrm{}a_n^{(\pi ,\omega )}+a_1^{(\pi ,\omega )}\xi _2^{(\pi ,\omega )}\mathrm{}a_n^{(\pi ,\omega )}+a_1^{(\pi ,\omega )}\mathrm{}a_{n1}^{(\pi ,\omega )}\xi _n^{(\pi ,\omega )}))\end{array}$$

The first component vanishes by Proposition 4.4; for the second component consider the summand

$$f(a_1^{(\pi ,\omega )}\mathrm{}a_{k1}^{(\pi ,\omega )}\xi _k^{(\pi ,\omega )}a_{k+1}^{(\pi ,\omega )}\mathrm{}a_n^{(\pi ,\omega )})$$

assume that $`\{j,j+1,\mathrm{},k1,k,k+1,\mathrm{},l\}`$ is the maximal interval containing $`k`$ and contained in a block of $`\pi `$ by assumption on $`\pi `$ this interval is not a block of $`\pi `$ and therefore by Lemma 2.4 we have

$$f(a_j^{(\pi ,\omega )}\mathrm{}a_{k1}^{(\pi ,\omega )}\xi _k^{(\pi ,\omega )}a_{k+1}^{(\pi ,\omega )}\mathrm{}a_l^{(\pi ,\omega )})=0.$$

Now by (4.5) it follows that

$$f(a_1^{(\pi ,\omega )}\mathrm{}a_{k1}^{(\pi ,\omega )}\xi _k^{(\pi ,\omega )}a_{k+1}^{(\pi ,\omega )}\mathrm{}a_n^{(\pi ,\omega )})=0$$

To summarize, only noncrossing cumulants contribute and are multiplicative (w.r. to the multiplication (4.4)). They are expressed in terms of so-called noncrossing cumulants of type B in \[BGN03\].

### 4.10. Further examples

Other interesting examples can be constructed from relatively free groups. Take any relatively free group on infinitely many generators, for instance the free nilpotent group $`G=g_1,g_2,\mathrm{}|[x,[y,z]]=1`$ or the free metabelian group $`G=g_1,g_2,\mathrm{}|[[v,w],[x,y]]=1`$ (or, even more daring, the Burnside group $`G=g_1,g_2,\mathrm{}|x^n=1`$). Then the group algebra of such a group contains an interchangeable family of copies of the group algebra of $`𝐙`$ or the free nilpotent (metabelian) group on a fixed finite number $`N`$ of generators. It seems to be an interesting problem to determine the relevant partition lattice for these groups, that is, to sieve out those partitions, for which the cumulants always vanish. We will deal with this “free nilpotent probability” and “free metabelian probability” elsewhere.