Chaos expansion and asymptotic behavior of the Pareto distribution

DOI10.1016/j.spl.2014.04.012zbMath1292.60036OpenAlexW1985372352MaRDI QIDQ2453995

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

Malliavin calculusconvergence in lawPareto distributionmultiple stochastic integralsStein method

Mathematics Subject Classification ID

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

Cites Work

• Stein's method for invariant measures of diffusions via Malliavin calculus
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics