Expansion of perturbed random variables based on generalized Wiener functionals (Q1817488)
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scientific article; zbMATH DE number 954540
| Language | Label | Description | Also known as |
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| English | Expansion of perturbed random variables based on generalized Wiener functionals |
scientific article; zbMATH DE number 954540 |
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Expansion of perturbed random variables based on generalized Wiener functionals (English)
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20 July 1997
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Using Watanabe's approach of generalized Wiener functionals, the authors present a general expansion formula for the distribution of a perturbated random variable, together with an estimate of the remainder term. They stress on the particular case of statistical estimators of the following form: a normal random variable perturbed by a (non-independent) scale factor.
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Malliavin calculus
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asymptotic expansion
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perturbed Wiener functional
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scale mixture estimator
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