Results 161 to 170 of about 1,291 (204)

A Theorem of Validity for Edgeworth Expansions

Econometrica, 1986
A method for approximating the exact densities of the estimators by Edgeworth expansion is derived and applied to an autoregressive equation which frequently arises in economic models. Let c(p,T) be a vector of statistics where p denotes the sample moments and T the sample size.
Sargan, J D, Satchell, S E
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The Bootstrap and Edgeworth Expansion

, 1992
This monograph addresses two quite different topics, in the belief that each can shed light on the other. Firstly, it lays the foundation for a particular view of the bootstrap. Secondly, it gives an account of Edgeworth expansion. Chapter 1 is about the
Hall, Peter
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An Edgeworth expansion for symmetric finite population statistics

Annals of Probability, 2002
Bloznelis M, Götze F. An Edgeworth expansion for symmetric finite population statistics. ANNALS OF PROBABILITY. 2002;30(3):1238-1265.Let T be a symmetric statistic based on sample of size n drawn without replacement from a finite population of size N ...
M Bloznelis, F Götze
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Edgeworth expansions in Gaussian autoregression [PDF]

Statistics & Probability Letters, 2001
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On Multivariate Edgeworth Expansions

International Statistical Review / Revue Internationale de Statistique, 1986
In this paper general conditions are given for the validity of multivariate Edgeworth expansions for a sequence of random vectors. The main difference between the author's approach and the classical one [see, e.g., the monograph by \textit{R. N. Bhattacharya} and \textit{R. R.
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Edgeworth Expansion of a Function of Sample Means

Annals of Statistics, 1991
Many important statistics can be written as functions of sample means of vector variables. A fundamental contribution to the Edgeworth expansion for functions of sample means was made by Bhattacharya and Ghosh.
Zhidong Bai, C Radhakrishna Rao
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Edgeworth Expansions of Stochastic Trading Time

SSRN Electronic Journal, 2009
Abstract Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Young and DeWitt-Morette (1986) [8] , we propose to apply the Duru–Kleinert process-cum-time ...
Decamps, Marc, De Schepper, Ann
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Maximum entropy and the Edgeworth expansion

IEEE Information Theory Workshop, 2005., 2005
For sums of i.i.d. random variables the maximum entropy distribution with respect to the first moments fixed is compared with the Edgeworth expansion. It is demonstrated that the Edgeworth expansion can and shall be considered as a linear extrapolation of the maximum entropy distribution.
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Interpretation and manipulation of Edgeworth expansions

Annals of the Institute of Statistical Mathematics, 1993
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Onm-dependence and Edgeworth expansions

Annals of the Institute of Statistical Mathematics, 1994
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