Edgeworth–Cornish–Fisher–Hill–Davis expansions for normal and non-normal limits via Bell polynomials

DOI10.1080/17442508.2014.1002785zbMATH Open1360.60058OpenAlexW1981818415MaRDI QIDQ2804010FDOQ2804010

Christopher S. Withers, Saralees Nadarajah

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.1002785

zbMATH Keywords

normal distributionBell polynomialsEdgeworth-Cornish-Fisher-Hill-Davis expansions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• A simple expression for the multivariate Hermite polynomials
• Edgeworth expansions for realized volatility and related estimators
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Asymptotic constants for minimal distance in the central limit theorem
• Accurate distribution and its asymptotic expansion for the tetrachoric correlation coefficient
• Expressions for the normal distribution and repeated normal integrals
• New expressions for repeated upper tail integrals of the normal distribution
• Inversion theorems for functions with power series in a parameter
• Optimizing Lengths of Confidence Intervals: Fourth-Order Efficiency in Location Models

Cited In (1)

• Expansions about the gamma for the distribution and quantiles of a standard estimate

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