Accurate Approximation of Correlation Coefficients by Short Edgeworth-Chebyshev Expansion and Its Statistical Applications

DOI10.1007/978-3-642-33549-5_13MaRDI QIDQ2838145zbMATH OpenOpenAlexFDO

Authors Gerd Christoph, Yasunori Fujikoshi, V. V. Ulyanov

Publication date 8 July 2013

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-33549-5_13

zbMATH Keywords

Bartlett correctioncomputable error boundFisher transformhigh-dimensional Gaussian random vectorssample correlation coefficientshort Edgeworth-Chebyshev expansions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10)

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Cited in

(3)

• Non-asymptotic results for Cornish-Fisher expansions
• High-dimensional Edgeworth expansion of the determinant of sample correlation matrix and its error bound
• On the real accuracy of approximation in the central limit theorem. II

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