Chaos expansion and asymptotic behavior of the Pareto distribution

DOI10.1016/J.SPL.2014.04.012MaRDI QIDQ2453995zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor

Publication date 12 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.04.012

zbMATH Keywords

convergence in lawMalliavin calculusmultiple stochastic integralsPareto distributionStein method

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Statistical methods; risk measures (91G70)

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Cites work

• Normal approximations with Malliavin calculus. From Stein's method to universality
• Stein's method for invariant measures of diffusions via Malliavin calculus
• The Malliavin Calculus and Related Topics

Cited in

(3)

• Series expansions for convolutions of Pareto distributions
• Principal directions of the general Pareto distribution with applications
• Wild fluctuations of random functions with the Pareto distribution

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