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

DOI10.1007/S11009-013-9328-9MaRDI QIDQ479178zbMATH OpenOpenAlexFDO

Authors Christopher S. Withers, Saralees Nadarajah

Publication date 5 December 2014

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.4052

zbMATH Keywords

normal distributiongamma distributionBell polynomials

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45)

Abstract: We give expansions for the distribution, density, and quantiles of an estimate, building on results of Cornish, Fisher, Hill, Davis and the authors. The estimate is assumed to be non-lattice with the standard expansions for its cumulants. By expanding about a skew variable with matched skewness, one can drastically reduce the number of terms needed for a given level of accuracy. The building blocks generalize the Hermite polynomials. We demonstrate with expansions about the gamma.

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Cites work

• scientific article; zbMATH DE number 3934086 (Why is no real title available?)
• scientific article; zbMATH DE number 3940411 (Why is no real title available?)
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• scientific article; zbMATH DE number 3046346 (Why is no real title available?)
• A simple expression for the multivariate Hermite polynomials
• Edgeworth expansions for realized volatility and related estimators
• Edgeworth-Cornish-Fisher-Hill-Davis expansions for normal and non-normal limits via Bell polynomials
• Expansions about the gamma for the distribution and quantiles of a standard estimate
• Expansions for the distribution and quantiles of a regular functional of the empirical distribution with applications to nonparametric confidence intervals
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Generalized Cornish-Fisher expansions
• Nonparametric confidence intervals for functions of several distributions
• The Percentile Points of Distributions Having Known Cumulants
• The distribution and cumulants of a studentised statistic
• The distribution and quantiles of a function of parameter estimates

Cited in

(4)

• Expansion of scale mixtures of the gamma distribution
• Expansions about the gamma for the distribution and quantiles of a standard estimate
• An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student's \(t\)-distribution
• Asymptotic expansion of the percentiles for a sample mean standardized by GMD in a normal case with applications

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