Improved confidence regions based on Edgeworth expansions

Christopher S. Withers and Saralees Nadarajah

Computational Statistics & Data Analysis, 2012, vol. 56, issue 12, 4366-4380

Abstract: Let ŵ be a consistent estimate of w in Rp satisfying the standard cumulant expansion in powers of n−1 with asymptotic covariance n−1V. Then n1/2(ŵ−w) has the standard Edgeworth expansion about Np(0,V). We obtain from this the Edgeworth expansions for Tn(V)=n(ŵ−w)′V−1(ŵ−w) about χp2 and for its Studentized version, Tn(V̂). So, we obtain a confidence region for w of level α+O(n−2).

Keywords: Cumulants; Edgeworth expansions; Ellipsoidal confidence regions (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947312001454
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:12:p:4366-4380

DOI: 10.1016/j.csda.2012.03.019

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().