Second Order Expansions for Sample Median with Random Sample Size

MaRDI QIDQ6318993arXivFDO

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

Publication date 19 May 2019

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)

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.

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