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Chaos expansion and asymptotic behavior of the Pareto distribution

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  • Tudor, Ciprian A.

Abstract

We give the chaos expansion of a random variable with Pareto distribution and we analyze, by using the Malliavin calculus, the convergence in the distribution of a sequence of random variable with Pareto distribution toward the standard exponential law.

Suggested Citation

  • Tudor, Ciprian A., 2014. "Chaos expansion and asymptotic behavior of the Pareto distribution," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 62-68.
    • Handle: RePEc:eee:stapro:v:91:y:2014:i:c:p:62-68
    DOI: 10.1016/j.spl.2014.04.012
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    References listed on IDEAS

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    1. Kusuoka, Seiichiro & Tudor, Ciprian A., 2012. "Stein’s method for invariant measures of diffusions via Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1627-1651.
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