On error bounds for high-dimensional asymptotic distribution of L2-type test statistic for equality of means

Masashi Hyodo, Takahiro Nishiyama and Tatjana Pavlenko

Statistics & Probability Letters, 2020, vol. 157, issue C

Abstract: Two new asymptotic approximations for the distribution of Chen and Qin’s statistic are derived and their explicit error bounds are established. The proposed approximations are shown to be far more accurate than the conventional normal limits in large-p-small-n settings which is successfully approved by the numerical experiments.

Keywords: Convergence rate; Normal approximation; Chi-squared approximation; Higher order Edgeworth expansion (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2019.108637

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