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Chaos expansion and asymptotic behavior of the Pareto distribution

Authors
Journal
Statistics & Probability Letters
0167-7152
Publisher
Elsevier
Volume
91
Identifiers
DOI: 10.1016/j.spl.2014.04.012
Keywords
  • Multiple Stochastic Integrals
  • Malliavin Calculus
  • Pareto Distribution
  • Stein Method
  • Convergence In Law

Abstract

Abstract We give the chaos expansion of a random variable with Pareto distribution and we analyze, by using the Malliavin calculus, the convergence in the distribution of a sequence of random variable with Pareto distribution toward the standard exponential law.

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