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

DOI10.1007/S10958-020-04655-XMaRDI QIDQ2199131zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Non-asymptotic results for Cornish-Fisher expansions
• Transfer theorems concerning asymptotic expansions for the distribution functions of statistics based on samples with random sizes
• Generalized Cornish-Fisher expansions
• scientific article; zbMATH DE number 3940411
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}

Cites work

• scientific article; zbMATH DE number 4205621 (Why is no real title available?)
• scientific article; zbMATH DE number 107593 (Why is no real title available?)
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 204994 (Why is no real title available?)
• scientific article; zbMATH DE number 893785 (Why is no real title available?)
• Discrete Pareto distributions
• Error bounds and exponential improvements for the asymptotic expansions of the gamma function and its reciprocal
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Multivariate statistics. High dimensional and large-sample approximations.
• Non-asymptotic results for Cornish-Fisher expansions
• On an Application of the Student Distribution in the Theory of Probability and Mathematical Statistics
• On rate of convergence in distribution of asymptotically normal statistics based on samples of random size
• Recurrence of extreme observations
• Univariate Discrete Distributions
• Weak convergence to the student and Laplace distributions

Cited in

(6)

• Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics
• An algorithm for simulation in mixed models with crossed factors considering the sample sizes as random
• Transfer theorems concerning asymptotic expansions for the distribution functions of statistics based on samples with random sizes
• scientific article; zbMATH DE number 7470640 (Why is no real title available?)
• scientific article; zbMATH DE number 5002028 (Why is no real title available?)
• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}

This page was built for publication: Second-order Chebyshev-Edgeworth and Cornish-Fisher expansions for distributions of statistics constructed from samples with random sizes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2199131)