Validity of the formal Edgeworth expansion when the underlying distribution is partly discrete

DOI10.1007/BF00367300MaRDI QIDQ1111268zbMATH OpenFDO

Authors Jens Ledet Jensen

Publication date 1989

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00367300

zbMATH Keywords

censored exponential life timescensored life timesconditional expansionEdgeworth expansionpartly discrete distributionstransformed expansionvarying censoring times

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20)

Review text

Validity of the formal Edgeworth expansion for the distribution of the statistic \(\sqrt{n g(X_ n/n,Y_ n/n)}\) is considered. Here \(X_ n\) is a continuous variate and \(Y_ n\) is a discrete variate. In general if \((X_ n,Y_ n)\) resemble the sum of i.i.d. variables and the partial derivative of g with respect to the first variable has full rank it is possible to establish an Edgeworth expansion.

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Cites work

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Cited in

(4)

• On the validity of the formal Edgeworth expansion
• Continuity corrections for discrete distributions under the Edgeworth expansion
• Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains
• Improved density and distribution function estimation

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