Second Order Expansions for Sample Median with Random Sample Size

arXiv1905.07765MaRDI QIDQ6318993FDOQ6318993

Authors: Gerd Christoph, V. V. Ulyanov, Vladimir E. Bening 

Publication date: 19 May 2019

Abstract: In practice, we often encounter situations where a sample size is not defined in advance and can be a random value. The randomness of the sample size crucially changes the asymptotic properties of the underlying statistic. In the present paper second order Chebyshev--Edgeworth and Cornish--Fisher expansions based of Student's $t$- and Laplace distributions and their quantiles are derived for sample median with random sample size of a special kind.

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10) Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Sums of independent random variables; random walks (60G50)

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