Results 101 to 110 of about 159 (149)

Edgeworth Expansions in Nonparametric Statistics

Annals of Statistics, 1974
This is a survey of recent work on Edgeworth expansions for $(M)$ estimates, rank tests and some other statistics arising in nonparametric models. A Berry-Esseen theorem for $U$-statistics which seems to be new is also proved.
P J Bickel
exaly   +4 more sources

Edgeworth Expansions and Smoothness

Annals of Probability, 1982
We give a necessary and sufficient condition for the distribution function of $n^{-1/2} \sum^n_{i=1} X_i$, where the $X_i$ are independently identically distributed with $EX_1 = 0, EX^2_1 = 1$ and $E|X_1|^{k+3} < \infty$, to possess an Edgeworth expansion to $k$ terms. The condition is not practicable but clarifies the relation between the existence of
Bickel, P. J., Robinson, J.
exaly   +4 more sources

On Edgeworth Expansions in Banach Spaces

Annals of Probability, 1981
In this paper we define a generalization of Edgeworth expansions for the expectation of functions of normalized sums of i.i.d. Banach space valued random vectors. These expansions are valid up to $0(n^{-(s - 2)/2})$ for functions with $3(s - 2)$ bounded Frechet derivatives and random vectors with finite $s^{th}$ absolute moment.
F Götze
exaly   +4 more sources

On Edgeworth Expansions in the Mixture Cases

Annals of Statistics, 1989
Let X be a random vector with at least one marginal having a lattice distribution. For a wide class of statistics which can be written as a function of means of independent copies of X, it is established in this article that the one-term Edgeworth expansion is typically the same as the usual one-term expansion in the pure nonlattice case.
Babu, G. J., Singh, K.
exaly   +4 more sources

On Edgeworth Expansions with Unknown Cumulants

Annals of Statistics, 1975
In this paper a new method of approximating one distribution by another is introduced. The method is essentially a modification of the Edgeworth technique which eliminates the necessity of knowing the cumulants of the distributions involved.
Gray, H. L., Coberly, W. A., Lewis, T. O.   +2 more
exaly   +4 more sources

Some of the next articles are maybe not open access.

Related searches:

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
openaire   +2 more sources

Edgeworth expansions in Gaussian autoregression [PDF]

Statistics & Probability Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

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.
openaire   +1 more source

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
openaire   +2 more sources