On Multivariate Edgeworth Expansions

DOI10.2307/1403142MaRDI QIDQ4722997zbMATH OpenOpenAlexFDO

Authors Ib M. Skovgaard

Publication date 1986

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403142

zbMATH Keywords

asymptotic expansionscharacteristic functiondensity approximationsdependent random variablesdirectional derivativesinfinite moving average processlattice casemultivariate Edgeworth expansionsrates of convergenceuniform local asymptotic expansions for densities

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20)

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Cited in

(35)

• A multidimensional counterpart of the Gram-Charlier and Edgeworth- Cramér expansions
• Validity of the formal Edgeworth expansion when the underlying distribution is partly discrete
• On Edgeworth expansions in the mixture cases
• Geometrical expansions for the distributions of the score vector and the maximum likelihood estimator
• Edgeworth expansions in very-high-dimensional problems
• On m-dependence and Edgeworth expansions
• On Edgeworth expansions for dependency-neighborhoods chain structures and Stein's method
• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
• Multivariate generalized Gram-Charlier series in vector notations
• Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
• Approximating by the Wishart distribution
• Automatic bandwidth choice and confidence intervals in nonparametric regression
• A simple expression for the multivariate Hermite polynomials
• New Edgeworth-type expansions with finite sample guarantees
• Edgeworth expansions for independent bounded integer valued random variables
• Transformations of multivariate Edgeworth type expansions
• The dual multivariate Charlier and Edgeworth expansions
• Higher-order asymptotic normality of approximations to the modified signed likelihood ratio statistic for regular models
• Normal moments and Hermite polynomials
• Distribution and density approximation of the co variance matrix in the growth curve model
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
• ECF estimation of Markov models where the transition density is unknown
• Edgeworth expansion for linear regression processes with long-memory errors
• scientific article; zbMATH DE number 1210308 (Why is no real title available?)
• On the convergence rate of model selection criteria
• scientific article; zbMATH DE number 721882 (Why is no real title available?)
• Pointwise Confidence Intervals in Nonparametric Regression with Heteroscedastic Error Structure
• Generalized bartlett correction
• Edgeworth expansions for triangular arrays
• Generic consistency for approximate stochastic programming and statistical problems
• scientific article; zbMATH DE number 758250 (Why is no real title available?)
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• A Monte Carlo multi-asset option pricing approximation for general stochastic processes
• Higher order properties of the wild bootstrap under misspecification
• Higher-order coverage errors of batching methods via Edgeworth expansions on t-statistics

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