Asymptotic expansions for the Laplace approximations of sums of Banach space-valued random variables

DOI10.1214/009117904000001017MaRDI QIDQ2497216zbMATH OpenOpenAlexFDO

Authors Song Liang, S. Albeverio

Publication date 3 August 2006

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503601

zbMATH Keywords

Banach space-valued random variablesi.i.d. random vectors

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20)

Abstract: Let X_i, iin N, be i.i.d. B-valued random variables, where B is a real separable Banach space. Let Phi be a smooth enough mapping from B into R. An asymptotic evaluation of Z_n=E(exp (nPhi (sum_{i=1}^nX_i/n))), up to a factor (1+o(1)), has been gotten in Bolthausen [Probab. Theory Related Fields 72 (1986) 305-318] and Kusuoka and Liang [Probab. Theory Related Fields 116 (2000) 221-238]. In this paper, a detailed asymptotic expansion of Z_n as n o infty is given, valid to all orders, and with control on remainders. The results are new even in finite dimensions.

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