On computing distributions of products of random variables via Gaussian multiresolution analysis

DOI10.1016/j.acha.2017.08.008zbMath1479.60023arXiv1611.08580OpenAlexW2962918553MaRDI QIDQ2325538

Lucas Monzón, Ignas Satkauskas, Gregory Beylkin

Publication date: 26 September 2019

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.08580

zbMATH Keywords

multiresolution analysisprobability density functionproduct of independent random variables

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Probability distributions: general theory (60E05) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

Multiresolution approximation and consistent estimation of a multivariate density function ⋮ A faster algorithm to estimate multiresolution densities ⋮ Adaptive algorithm for electronic structure calculations using reduction of Gaussian mixtures

Uses Software

• DLMF

Cites Work

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• On approximation of functions by exponential sums
• Recursive Bayesian estimation using Gaussian sums
• Ten Lectures on Wavelets
• Fast and Accurate Con-Eigenvalue Algorithm for Optimal Rational Approximations

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