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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Year of publication:	1996
Authors:	Sakamoto, Yuji ; Yoshida, Nakahiro
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 59.1996, 1, p. 34-59
Publisher:	Elsevier
Keywords:	Malliavin calculus asymptotic expansion scale mixture

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

Persistent link: https://www.econbiz.de/10005152850