Expansion of perturbed random variables based on generalized Wiener functionals

DOI10.1006/JMVA.1996.0053zbMATH Open0866.60046OpenAlexW2007222732MaRDI QIDQ1817488FDOQ1817488

Yuji Sakamoto, Nakahiro Yoshida

Publication date: 20 July 1997

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1996.0053

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zbMATH Keywords

asymptotic expansionMalliavin calculusperturbed Wiener functionalscale mixture estimator

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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• Expansions of the coverage probabilities of prediction region based on a shrinkage estimator
• On Convergence rate of Wiener-Ito expansion for generalized random variables
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• Conditional expansions and their applications.
• High order asymptotic expansion for Wiener functionals
• The Wiener-Hermite expansion with time-dependent ideal random function. II: The three-mode model.

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