Expansion of Perturbed Random Variables Based on Generalized Wiener Functionals

Yuji Sakamoto and Nakahiro Yoshida

Journal of Multivariate Analysis, 1996, vol. 59, issue 1, 34-59

Abstract: 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

Keywords: Malliavin; calculus; asymptotic; expansion; scale; mixture (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (11)

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