A general version of Price's theorem. A tool for bounding the expectation of nonlinear functions of Gaussian random vectors

DOI10.1007/s10959-020-01017-wzbMath1469.60109OpenAlexW3037463823MaRDI QIDQ2042047

Felix Voigtlaender

Publication date: 26 July 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-020-01017-w

zbMATH Keywords

normal distributionGaussian random variablesexpectationPrice's theoremnonlinear functions of Gaussian random vectors

Mathematics Subject Classification ID

Gaussian processes (60G15) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites Work

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• \(\ell^1\)-analysis minimization and generalized (co-)sparsity: when does recovery succeed?
• An Intermediate Course in Probability
• Distributions
• A useful theorem for nonlinear devices having Gaussian inputs
• An extension of Price's theorem (Corresp.)
• Comments on 'An extension of Price's theorem' by McMahon, E. L.
• Generalized form of Price's theorem and its converse

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