High-dimensional Edgeworth expansion of a test statistic on independence and its error bound

Tomoyuki Akita, Jinghua Jin and Hirofumi Wakaki

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1806-1813

Abstract: In this paper, we calculate Edgeworth expansion of a test statistic on independence when some of the parameters are large, and simulate the goodness of fit of its approximation. We also calculate an error bound for Edgeworth expansion. Some tables of the error bound are given, which show that the derived bound is sufficiently small for practical use.

Keywords: Edgeworth; expansion; Error; bound; High; dimension; Likelihood; ratio (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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