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Onm-dependence and Edgeworth expansions
Annals of the Institute of Statistical Mathematics, 1994 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wei-Liem Loh
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A Theorem of Validity for Edgeworth Expansions
Econometrica, 1986A 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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Edgeworth expansions in Gaussian autoregression [PDF]
Statistics & Probability Letters, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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On Multivariate Edgeworth Expansions
International Statistical Review / Revue Internationale de Statistique, 1986In 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 Expansions of Stochastic Trading Time
SSRN Electronic Journal, 2009Abstract 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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Interpretation and manipulation of Edgeworth expansions
Annals of the Institute of Statistical Mathematics, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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1990
Let Q be a probability measure on (ℝ k ,B k ), B k denoting the Borel sigmafield on ℝ k . Assume that the s — th absolute moment of Q is finite, $$ {\rho_s}: = \int {{{\left\| x \right\|}^s}Q(dx) < \infty } $$ (1.1) , for some integer s ≥ 3, and that Q is normalized, $$ \int {{x^{{(i)}}}Q(dx) = 0(1 \leqslant i \leqslant k)}, \int {{x^{{(i)
Rabi Bhattacharya, Manfred Denker
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Let Q be a probability measure on (ℝ k ,B k ), B k denoting the Borel sigmafield on ℝ k . Assume that the s — th absolute moment of Q is finite, $$ {\rho_s}: = \int {{{\left\| x \right\|}^s}Q(dx) < \infty } $$ (1.1) , for some integer s ≥ 3, and that Q is normalized, $$ \int {{x^{{(i)}}}Q(dx) = 0(1 \leqslant i \leqslant k)}, \int {{x^{{(i)
Rabi Bhattacharya, Manfred Denker
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Maximum entropy and the Edgeworth expansion
IEEE Information Theory Workshop, 2005., 2005For 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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EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS
Econometric Theory, 2013Simple methods are developed for deriving Edgeworth, saddlepoint, and related expansions for the estimators of multivariate and nonlinear models. Illustrations are provided. Simulations are reported indicating the methods work well compared to standard asymptotic and bootstrapped approaches.
Kundhi, Gubhinder, Rilstone, Paul
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