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Approximate polynomial expansion for joint density

D. Pommeret — 2005

Applicationes Mathematicae

Let (X,Y) be a random vector with joint probability measure σ and with margins μ and ν. Let ( P ) n and ( Q ) n be two bases of complete orthonormal polynomials with respect to μ and ν, respectively. Under integrability conditions we have the following polynomial expansion: σ ( d x , d y ) = n , k ϱ n , k P ( x ) Q k ( y ) μ ( d x ) ν ( d y ) . In this paper we consider the problem of changing the margin μ into μ̃ in this expansion. That is the case when μ is the true (or estimated) margin and μ̃ is its approximation. It is shown that a new joint probability with new margins...

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