Expansion of Perturbed Random Variables Based on Generalized Wiener Functionals
By means of the Malliavin calculus, we present an expansion formula for the distribution of a random variableFhaving a stochastic expansionF=F0+R, whereF0is an easily tractable random variable andRis the remainder term. From this result, we derive an expansion of the distribution of the scale mixturesZof a normal random variableZby a scale random variables. Applications to shrinkage estimators of the Stein type are mentioned
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Volume (Year): 59 (1996)
Issue (Month): 1 (October)
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