Edgeworth and saddlepoint expansions for nonlinear estimators

DOI10.1017/S0266466612000837MaRDI QIDQ4979324zbMATH OpenFDO

Authors Gubhinder Kundhi, Paul Rilstone

Publication date 20 June 2014

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466612000837

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Point estimation (62F10)

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Cites work

• A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System
• Approximate and estimated saddlepoint approximations
• Bootstrap tests: how many bootstraps?
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• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Edgeworth expansions for M-estimators of a regression parameter
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• Matrix derivatives with an application to an adaptive linear decision problem
• On the empirical saddlepoint approximation
• On the Formulation of Wald Tests of Nonlinear Restrictions
• On the relationship between empirical likelihood and empirical saddlepoint approximation for multivariate M-estimators
• On the validity of the formal Edgeworth expansion
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations for regression models
• Saddlepoint Approximations in Statistics
• Saddlepoint Approximations with Applications
• The bootstrap and Edgeworth expansion
• The Density of the Maximum Likelihood Estimator
• The second-order bias and mean squared error of nonlinear estimators
• The Third-Order Bias of Nonlinear Estimators

Cited in

(7)

• A new look at the relationship between Edgeworth expansion and saddlepoint approximation
• The empirical saddlepoint estimator
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• Saddlepoint expansions for GEL estimators
• Edgeworth expansions for nonparametric density estimators, with applications
• On oracle property and asymptotic validity of Bayesian generalized method of moments
• Tilted Edgeworth expansions for asymptotically normal vectors

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