Polynomial expansions of density of power mixtures

Denys Pommeret

ESAIM: Probability and Statistics (2007)

  • Volume: 11, page 248-263
  • ISSN: 1292-8100

Abstract

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For any given random variable Y with infinitely divisible distribution in a quadratic natural exponential family we obtain a polynomial expansion of the power mixture density of Y. We approach the problem generally, and then consider certain distributions in greater detail. Various applications are indicated and the results are also applied to obtain approximations and their error bounds. Estimation of density and goodness-of-fit test are derived.

How to cite

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Pommeret, Denys. "Polynomial expansions of density of power mixtures." ESAIM: Probability and Statistics 11 (2007): 248-263. <http://eudml.org/doc/250090>.

@article{Pommeret2007,
abstract = { For any given random variable Y with infinitely divisible distribution in a quadratic natural exponential family we obtain a polynomial expansion of the power mixture density of Y. We approach the problem generally, and then consider certain distributions in greater detail. Various applications are indicated and the results are also applied to obtain approximations and their error bounds. Estimation of density and goodness-of-fit test are derived. },
author = {Pommeret, Denys},
journal = {ESAIM: Probability and Statistics},
keywords = {Approximation; convolution; error bound; goodness-of-fit test; mixed distribution; orthogonal polynomials; scale mixture.; approximation; goodness-of-fit test; scale mixture},
language = {eng},
month = {6},
pages = {248-263},
publisher = {EDP Sciences},
title = {Polynomial expansions of density of power mixtures},
url = {http://eudml.org/doc/250090},
volume = {11},
year = {2007},
}

TY - JOUR
AU - Pommeret, Denys
TI - Polynomial expansions of density of power mixtures
JO - ESAIM: Probability and Statistics
DA - 2007/6//
PB - EDP Sciences
VL - 11
SP - 248
EP - 263
AB - For any given random variable Y with infinitely divisible distribution in a quadratic natural exponential family we obtain a polynomial expansion of the power mixture density of Y. We approach the problem generally, and then consider certain distributions in greater detail. Various applications are indicated and the results are also applied to obtain approximations and their error bounds. Estimation of density and goodness-of-fit test are derived.
LA - eng
KW - Approximation; convolution; error bound; goodness-of-fit test; mixed distribution; orthogonal polynomials; scale mixture.; approximation; goodness-of-fit test; scale mixture
UR - http://eudml.org/doc/250090
ER -

References

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