Some applications require the consideration of variation of concentration function for small changes in the probability measure. We prove that the Gateaux differential of the concentration function exists in any direction and provide its expression. Moreover we show that the concentration function is not Frechet differentiable.
Differential properties of the concentration function.
FORTINI, SANDRA;
1997
Abstract
Some applications require the consideration of variation of concentration function for small changes in the probability measure. We prove that the Gateaux differential of the concentration function exists in any direction and provide its expression. Moreover we show that the concentration function is not Frechet differentiable.
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