Approximate polynomial expansion for joint density
Let (X,Y) be a random vector with joint probability measure σ and with margins μ and ν. Let and be two bases of complete orthonormal polynomials with respect to μ and ν, respectively. Under integrability conditions we have the following polynomial expansion: . 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...