Stein引理:假设 X X X是均值为 μ \mu μ,方差 σ 2 \sigma^2 σ2的高斯随机变量(Gaussian random variable)。进一步假设映射 g g g存在期望 E [ g ( X ) ( X − μ ) ] \mathbb{E}[g(X)(X-\mu)] E[g(X)(X−μ)]和 E [ g ′ ( X ) ] \mathbb{E}[g'(X)] E[g′(X)],则有
E [ g ( X ) ( X − μ ) ] = σ 2 E [ g ′ ( X ) ] \mathbb{E}[g(X)(X-\mu)]=\sigma^2\mathbb{E}[g'(X)] E[g(X)(X−μ)]=σ2E[g′(X)]一般说,假设 X X X
Stein引理(Stein's lemma)
最新推荐文章于 2023-03-16 14:25:13 发布
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