For any given random variable with infinitely divisible distribution in a quadratic natural exponential family we obtain a polynomial expansion of the power mixture density of . 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.
Mots-clés : approximation, convolution, error bound, goodness-of-fit test, mixed distribution, orthogonal polynomials, scale mixture
@article{PS_2007__11__248_0, author = {Pommeret, Denys}, title = {Polynomial expansions of density of power mixtures}, journal = {ESAIM: Probability and Statistics}, pages = {248--263}, publisher = {EDP-Sciences}, volume = {11}, year = {2007}, doi = {10.1051/ps:2007017}, mrnumber = {2320819}, language = {en}, url = {http://archive.numdam.org/articles/10.1051/ps:2007017/} }
TY - JOUR AU - Pommeret, Denys TI - Polynomial expansions of density of power mixtures JO - ESAIM: Probability and Statistics PY - 2007 SP - 248 EP - 263 VL - 11 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/ps:2007017/ DO - 10.1051/ps:2007017 LA - en ID - PS_2007__11__248_0 ER -
Pommeret, Denys. Polynomial expansions of density of power mixtures. ESAIM: Probability and Statistics, Tome 11 (2007), pp. 248-263. doi : 10.1051/ps:2007017. http://archive.numdam.org/articles/10.1051/ps:2007017/
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