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

DOI10.1080/17442508.2014.1002785MaRDI QIDQ2804010zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• A simple expression for the multivariate Hermite polynomials
• Accurate distribution and its asymptotic expansion for the tetrachoric correlation coefficient
• Asymptotic constants for minimal distance in the central limit theorem
• Edgeworth expansions for realized volatility and related estimators
• Expressions for the normal distribution and repeated normal integrals
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Inversion theorems for functions with power series in a parameter
• New expressions for repeated upper tail integrals of the normal distribution
• Optimizing lengths of confidence intervals: fourth-order efficiency in location models

Cited in

(7)

• Saddlepoint expansions in terms of Bell polynomials
• Charlier and Edgeworth expansions for distributions and densities in terms of Bell polynomials
• Expansions about the gamma for the distribution and quantiles of a standard estimate
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• Cumulants and expansions for sums of log-normals
• Inversion theorems for functions with power series in a parameter
• scientific article; zbMATH DE number 3940412 (Why is no real title available?)

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