Generalized Laguerre expansions of multivariate probability densities with moments
نویسندگان
چکیده
منابع مشابه
Generalized Laguerre expansions of multivariate probability densities with moments
We generalize the well-known Laguerre series approach to approximate multivariate probability density functions (PDFs) using multidimensional Laguerre polynomials. The generalized Laguerre series, which is defined around a Gamma PDF, is suited for simulating high complex natural phenomena that deviate from Gaussianity. Combining the multivariate Laguerre approximation and Bayes theorem, an appr...
متن کاملScanning Multivariate Conditional Densities with Probability Integral Transforms
This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts. Our approach enables us to “scan” multivariate densities in various different ways. A simple bivariate normal example is given that illustrates how “scanning” a multivariate density ...
متن کاملConvex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities
It is known that each symmetric stable distribution in Rd is related to a norm on Rd that makes Rd embeddable in Lp([0, 1]). In case of a multivariate Cauchy distribution the unit ball in this norm is the polar set to a convex set in Rd called a zonoid. This work interprets general stable laws using convex or star-shaped sets and exploits recent advances in convex geometry in order to come up w...
متن کاملOn Laguerre Expansions and Systolic Arrays
Discrete-time Laguerre sequences are eeective for representing sequences in the form of orthogonal expansions. The main objective of this communication is to propose a systolic-array implementaion for nite-duration Laguerre expansions.
متن کاملExpansions for Quantiles and Multivariate Moments of Extremes for Distributions of Pareto Type
Let Xnr be the rth largest of a random sample of size n from a distribution F (x) = 1− ∑∞ i=0 cix −α−iβ for α > 0 and β > 0. An inversion theorem is proved and used to derive an expansion for the quantile F−1(u) and powers of it. From this an expansion in powers of (n−1, n−β/α) is given for the multivariate moments of the extremes {Xn,n−si , 1 ≤ i ≤ k}/n1/α for fixed s = (s1, . . . , sk), where...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2010
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2010.08.008