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Большой семинар кафедры теории вероятностей МГУ
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[Multidimensional Stein-Malliavin calculus for Gaussian and Gamma distribution] Ciprian Tudor Университет Лилля |
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Аннотация: We develop an extension of the Stein-Malliavin calculus which allows to measure the Wasserstein distance between the probability distributions of (X,Y) and (Z,Y), where X,Y are arbitrary random vectors and Z N(0, σ^2) (or it is Gamma distributed) is independent of Y. We apply this method to study the asymptotic independence for sequences of random vectors. Язык доклада: английский |
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