scientific article; zbMATH DE number 4052785

MaRDI QIDQ3788884zbMATH OpenFDO

Authors Kei Takeuchi, Akimichi Takemura

Publication date 1988

zbMATH Keywords

validityCornish-Fisher expansiondegree of the polynomialmultivariate Cornish- Fisher expansions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Recommendations

• Non-asymptotic results for Cornish-Fisher expansions
• Generalized Cornish-Fisher expansions
• The Cornish-Fisher expansion for a class of statistics in first order autoregression
• Cornish-Fisher expansions about the \(F\)-distribution
• HIGHER ORDER RELATIONS BETWEEN CORNISH-FISHER EXPANSIONS AND INVERSIONS OF SADDLEPOINT APPROXIMATIONS

Cited in

(13)

• Normal moments and Hermite polynomials
• Generalized Cornish-Fisher expansions
• Expansions for log densities of asymptotically normal estimates
• A simple expression for the multivariate Hermite polynomials
• Wiener-Hermite polynomial expansion for multivariate Gaussian probability measures
• Asymptotic expansions of the null distributions of some test statistics for profile analysis in general distributions
• Power calculations and critical values for two-stage nonparametric testing regimes
• The d-variate vector Hermite polynomial of order k
• Expansions for log densities of multivariate estimates
• Non-asymptotic results for Cornish-Fisher expansions
• Higher-order Bartlett-type adjustment
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• A proof of independent Bartlett correctability of nested likelihood ratio tests

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