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
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 59 (1996)
Issue (Month): 1 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:59:y:1996:i:1:p:34-59. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.