Approximation of a multivariate conditional density
Probability
2014-01-15 v1
Abstract
This paper extends the result of Broniatowski and Caron (2013) pertaining to the asymptotic distribution of a random walk conditioned on its final value as the number of summands increase. We consider multivariate light-tailed random walk and present a sharp approximation of long runs conditioned by an average of a function of its summands as their number tends to infinity.
Cite
@article{arxiv.1401.3256,
title = {Approximation of a multivariate conditional density},
author = {Caron Virgile},
journal= {arXiv preprint arXiv:1401.3256},
year = {2014}
}