par Ernst, Marie;Reinert, Gesine;Swan, Yvik 
Référence Alea (Rio de Janeiro), 19, 2, page (1827-1849)
Publication Publié, 2022-07-01
Référence Alea (Rio de Janeiro), 19, 2, page (1827-1849)
Publication Publié, 2022-07-01
Article révisé par les pairs
| Résumé : | In this paper we provide a probabilistic representation of Lagrange’s identity which we use to obtain Papathanasiou-type variance expansions of arbitrary order. Our expansions lead to generalized sequences of weights which depend on an arbitrarily chosen sequence of (non-decreasing) test functions. The expansions hold for univariate target distribution under weak assumptions, in particular they hold for continuous and lattice distributions alike. The weights are studied under different sets of assumptions either on the test functions or on the underlying distributions. Many concrete illustrations for standard probability distributions are provided (including Pearson, Ord, Laplace, Rayleigh, Cauchy, and Levy distributions) |
