On moment conditions for valid formal Edgeworth expansions

DOI10.1016/0047-259X(88)90116-9MaRDI QIDQ1120213zbMATH OpenFDO

Authors Rabi Bhattacharya, Jayanta K. Ghosh

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(88)90116-9

zbMATH Keywords

asymptotic expansionconditional distributionformal Edgeworth expansionsfunctions of sample averagesrelaxation of the moment conditionsStudent statistics

Mathematics Subject Classification ID

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

Review text

The validity of formal Edgeworth expansions for statistics of the form \(W_ n=\sqrt{n\{H(\bar Z)-H(\mu)\}}\) was established by the authors [Ann. Stat. 6, 434-451 (1978; Zbl 0396.62010)] under moment conditions which are sometimes too severe, where \(\bar Z=(1/n)\sum^{n}_{j=1}Z_ j\) is the mean of i.i.d. vectors and H is a smooth function in a neighbourhood of \(\mu =E(Z_ j)\). If all the components of grad H(\(\mu)\) are nonzero then one cannot significantly weaken these established moment conditions. In this article the authors provide a relaxation of the moment conditions in case grad H(\(\mu)\) has some zero components. Then, they sketch a method for obtaining an asymptotic expansion of a conditional distribution, where the conditioning is with respect to the coordinates of \(Z_ j\) for which the corresponding elements of grad H(\(\mu)\) are equal to zero.

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Cites work

• Asymptotic Expansion for the Distribution of a Statistic Admitting a Stochastic Expansion. II
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• Edgeworth expansion for Student's t statistic under minimal moment conditions
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