Chaos expansion and asymptotic behavior of the Pareto distribution

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.

MoreLess

Year of publication:	2014
Authors:	Tudor, Ciprian A.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 91.2014, C, p. 62-68
Publisher:	Elsevier
Subject:	Multiple stochastic integrals \| Malliavin calculus \| Pareto distribution \| Stein method \| Convergence in law

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776542