Some asymptotic expansions of moments of order statistics
AbstractSeries expansions of moments of order statistics are obtained from expansions of the inverse of the distribution function. They are valid for certain types of distributions with regularly varying tails. We show that the expansions converge quickly when the sample size is moderate to large, and we obtain bounds on the rate of convergence. The special case of the Cauchy distribution is treated in more detail.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 7 (1978)
Issue (Month): 3 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Thomas A. Gresik & Mark A. Satterthwaite, 1985.
"The Rate At Which a Simple Market Becomes Efficient as the Number of Traders Increases: An Asymptotic Result for Optimal Trading Mechanisms,"
708, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Thomas A. Gresik & Mark A. Satterthwaite, 1985. "The Rate at Which a Simple Market Becomes Efficient as the Number of Traders Increases: An Asymptotic Result for Optimal Trading Mechanisms," Discussion Papers 641, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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