Normal approximation and smoothness for sums of means of lattice-valued random variables

DOI10.3150/12-BEJSP02MaRDI QIDQ373527zbMATH OpenOpenAlexFDO

Publication date 17 October 2013

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.7752, https://projecteuclid.org/euclid.bj/1377612851

bootstrap confidence interval continuity correction Edgeworth expansion irrational number sum of binomial proportions

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Bootstrap, jackknife and other resampling methods (62F40)

Abstract: Motivated by a problem arising when analysing data from quarantine searches, we explore properties of distributions of sums of independent means of independent lattice-valued random variables. The aim is to determine the extent to which approximations to those sums require continuity corrections. We show that, in cases where there are only two different means, the main effects of distribution smoothness can be understood in terms of the ratio

h o_{12} = (e_{2} n_{1}) / (e_{1} n_{2})

, where

e_{1}

and

e_{2}

are the respective maximal lattice edge widths of the two populations, and

n_{1}

and

n_{2}

are the respective sample sizes used to compute the means. If

h o_{12}

converges to an irrational number, or converges sufficiently slowly to a rational number; and in a number of other cases too, for example those where

h o_{12}

does not converge; the effects of the discontinuity of lattice distributions are of smaller order than the effects of skewness. However, in other instances, for example where

h o_{12}

converges relatively quickly to a rational number, the effects of discontinuity and skewness are of the same size. We also treat higher-order properties, arguing that cases where

h o_{12}

converges to an algebraic irrational number can be less prone to suffer the effects of discontinuity than cases where the limiting irrational is transcendental. These results are extended to the case of three or more different means, and also to problems where distributions are estimated using the bootstrap. The results have practical interpretation in terms of the accuracy of inference for, among other quantities, the sum or difference of binomial proportions.

Review text

Let \( \hat{\theta}\) be a given statistic for which a central limit theorem applies. To obtain estimates for the difference between the exact distribution of \(T=(\hat{\theta} - E[ \hat{\theta}])/\sqrt{\mathrm{Var} ( \hat{\theta})}\) and the standard normal distribution \(\Phi (x)\), several expansions for the distribution of \(T\) are available. An important class of these expansions is given by Edgeworth expansions, which are expansions of the form NEWLINE\[NEWLINE P (T \leq x) = \Phi (x) + \sum_{j=0}^{r} \frac{p_j(x)}{n^{j/2}} \, \phi (x) + O(n^{-(r+1)/2}), \qquad r \geq 0,NEWLINE\]NEWLINE where \(p_0 (x) \equiv 0\), \(\phi (x)\) is the derivative of \(\Phi (x)\), and for \(j \geq 1\), \(p_j(x)\) are polynomials whose coefficients depend on the cumulants of \(\hat{\theta} - E[ \hat{\theta}]\). For examples, see [\textit{P. Hall}, The bootstrap and Edgeworth expansion. Springer Series in Statistics. New York etc.: Springer-Verlag. (1992; Zbl 0744.62026)], and [\textit{X. H. Zhou, C. M. Li} and \textit{Z. Yang}, ``Improving interval estimation of binomial proportions, Phil. Trans. Roy. Soc. Ser. A 366, 2405--2418 (2001)].NEWLINENEWLINEIn this article the authors investigate the first order Edgeworth expansions of sums of independent means of independent lattice-valued random variables. Sums or differences of binomial proportions are special cases of the problem under investigation. Let \(\{X_{j1}, X_{j2}, \dots , X_{jn_j}\}\), \(j=1,2,\dots , k\), \(k\geq 2\), be \(k\) independent samples of independent lattice-valued random variables, with \(E[|X_{j1}|^3]< +\infty\). Put \(\mu_j = E(X_{j1})\), \(\sigma_j^2 = \mathrm{Var} (X_{j1})\), \(\overline{X}_j = n_j^{-1} \sum_i X_{ji}\), and \(S = \sum_{j=1}^k \overline{X}_j \). Under these assumptions one would expect \(S\) to have a first order Edgeworth expansion of the form NEWLINE\[NEWLINEP\left(\frac{S - E(S)}{\sqrt{\mathrm{Var} (S)}}\leq x \right) = \Phi (x) + \frac{\beta (1-x^2) \phi (x) }{6 \sqrt{n}} + \frac{d_n(x) \phi (x)}{\sqrt{n}} + o(n^{-1/2}), NEWLINE\]NEWLINE where \(n = n_1 + \dots + n_k\), NEWLINE\[NEWLINE \beta = \beta (n) = \frac{\sqrt{n} \, E[(S - E(S))^3]}{{(\mathrm{Var} (S))^{3/2}}},NEWLINE\]NEWLINE and \(d_n\) is a discontinuous term in general needed when dealing with lattice distributions see [\textit{C.-G. Esseen}, Acta Math. 77, 1--125 (1945; Zbl 0060.28705)]. The terms \(d_n\) are often referred to as continuity corrections.NEWLINENEWLINEThe authors investigate the distribution of S, and describe a methodology and conditions under which continuity corrections are not needed for this multi-sample problem. Specifically, suppose that the sample sizes \(n_1, n_2, \dots , n_k\) are changing in such a way that the correspondent sequence of values of \(n\) is strictly increasing, and that NEWLINE\[NEWLINE\min_{1 \leq j \leq k} \liminf_{n\rightarrow +\infty} \frac{n_j}{n} > 0.NEWLINE\]NEWLINE Let \(e_j\) denote the span of the distribution of \(X_{j1}\), and for every \(1 \leq j_1 < j_2 \leq k\) put \(\rho_{j_1j_2} = (e_{j_2}n_{j_1})/ (e_{j_1}n_{j_2})\). The authors prove that if for at least one of the \(\rho_{j_1j_2}\), NEWLINE\[NEWLINE \lim_{n\rightarrow +\infty} \sqrt{n} \, | \sin (l \rho_{j_1j_2} \pi)| = +\infty \qquad \text{ for every positive integer \(l\), }NEWLINE\]NEWLINE then NEWLINE\[NEWLINEP\left(\frac{S - E(S)}{\sqrt{\mathrm{Var} (S)}}\leq x \right) = \Phi (x) + \frac{\beta (1-x^2) \phi (x) }{6 \sqrt{n}} + o(n^{-1/2})NEWLINE\]NEWLINE holds uniformly in \(x\). The authors also give conditions under which a continuity correction \(d_n\) is needed, and for the case \(k=2\), \(d_n\) is derived. Extensions to problems where distributions are estimated using the bootstrap are also given.

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