Second-order Chebyshev-Edgeworth and Cornish-Fisher expansions for distributions of statistics constructed from samples with random sizes

DOI10.1007/s10958-020-04655-xzbMath1453.62378OpenAlexW2771680782MaRDI QIDQ2199131

M. M. Monakhov, Vladimir V. Ulyanov, Gerd Christoph

Publication date: 16 September 2020

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-020-04655-x

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Non-asymptotic results for Cornish-Fisher expansions
• Discrete Pareto distributions
• Weak convergence to the Student and Laplace distributions
• Recurrence of extreme observations
• Error bounds and exponential improvements for the asymptotic expansions of the gamma function and its reciprocal
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• On an Application of the Student Distribution in the Theory of Probability and Mathematical Statistics
• Univariate Discrete Distributions
• Multivariate Statistics

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