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Seminar on Probability and Statistics
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2018/10/30
15:30-16:40 Room #126 (Graduate School of Math. Sci. Bldg.)
Ciprian A. Tudor (Université de Lille 1, Université de Panthéon-Sorbonne Paris 1)
Asymptotic expansion for random vectors
Ciprian A. Tudor (Université de Lille 1, Université de Panthéon-Sorbonne Paris 1)
Asymptotic expansion for random vectors
[ Abstract ]
We develop the asymptotic expansion theory for vector-valued sequences $F_{N}$ of random variables. We find the second-order term in the expansion of the density of $F_{N}$, based on assumptions in terms of the convergence of the Stein-Malliavin matrix associated to the sequence $F_{N}$ . Our approach combines the classical Fourier approach and the recent theory on Stein method and Malliavin calculus. We find the second order term of the asymptotic expansion of the density of $F_{N}$ and we discuss the main ideas on higher order asymptotic expansion. We illustrate our results by several examples.
We develop the asymptotic expansion theory for vector-valued sequences $F_{N}$ of random variables. We find the second-order term in the expansion of the density of $F_{N}$, based on assumptions in terms of the convergence of the Stein-Malliavin matrix associated to the sequence $F_{N}$ . Our approach combines the classical Fourier approach and the recent theory on Stein method and Malliavin calculus. We find the second order term of the asymptotic expansion of the density of $F_{N}$ and we discuss the main ideas on higher order asymptotic expansion. We illustrate our results by several examples.
