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

DOI10.1007/S11009-013-9328-9zbMATH Open1305.62081arXiv1210.4052OpenAlexW2013672658MaRDI QIDQ479178FDOQ479178

Authors: Christopher S. Withers, Saralees Nadarajah 

Publication date: 5 December 2014

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

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.

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

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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)

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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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