The dual multivariate Charlier and Edgeworth expansions

DOI10.1016/J.SPL.2014.01.003MaRDI QIDQ2452876zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 5 June 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2014.01.003

zbMATH Keywords

Bell polynomialsCharlier seriesCornish and Fisher expansions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• Charlier and Edgeworth expansions for distributions and densities in terms of Bell polynomials
• Expansions for multivariate densities
• Edgeworth-Cornish-Fisher-Hill-Davis expansions for normal and non-normal limits via Bell polynomials
• Expansions for log densities of multivariate estimates
• On Multivariate Edgeworth Expansions

Cites work

• scientific article; zbMATH DE number 3940411 (Why is no real title available?)
• scientific article; zbMATH DE number 4007433 (Why is no real title available?)
• scientific article; zbMATH DE number 3443655 (Why is no real title available?)
• A Unified Approach to the Approximation of Multivariate Densities
• A simple expression for the multivariate Hermite polynomials
• Bivariate Exponential Distributions
• Charlier and Edgeworth expansions for distributions and densities in terms of Bell polynomials
• Fredholm equations for non-symmetric kernels with applications to iterated integral operators
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Gram-Charlier densities: a multivariate approach
• New identities for the partial Bell polynomials
• On the validity of the formal Edgeworth expansion
• The Percentile Points of Distributions Having Known Cumulants
• The distribution of the maximum of a first order autoregressive process: The continuous case
• The distribution of the maximum of a first order moving average: the continuous case
• The multivariate distribution of complex normal variables
• Transformations of multivariate Edgeworth type expansions
• Using the penalized mutual information criterion in the multivariate Edgeworth-expanded Gaussian mixture density for blind separation of convolutive post-nonlinear mixtures

Cited in

(9)

• On the generalization of the Edgeworth/Gram-Charlier series
• Chain rules for multivariate cumulant coefficients
• A multidimensional counterpart of the Gram-Charlier and Edgeworth- Cramér expansions
• On stochastic linear systems with zonotopic support sets
• Multivariate generalized Gram-Charlier series in vector notations
• A reciprocal relation for Hermite polynomials
• Expansions for log densities of multivariate estimates
• Charlier and Edgeworth expansions for distributions and densities in terms of Bell polynomials
• Edgeworth-Cornish-Fisher-Hill-Davis expansions for normal and non-normal limits via Bell polynomials

Describes a project that uses

Uses Software

• Mathematica
• Matlab

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