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The dual multivariate Charlier and Edgeworth expansions

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  • Withers, Christopher S.
  • Nadarajah, Saralees

Abstract

The Charlier differential series for distribution and density functions is the foundation for the Edgeworth expansions of distribution and density functions of sample estimators. Here, we give two forms of these expansions for multivariate distributions using multivariate Bell polynomials. Two forms arise because the multivariate Hermite polynomials have a dual form. These dual forms for the multivariate Charlier and Edgeworth expansions appear to be new.

Suggested Citation

  • Withers, Christopher S. & Nadarajah, Saralees, 2014. "The dual multivariate Charlier and Edgeworth expansions," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 76-85.
    • Handle: RePEc:eee:stapro:v:87:y:2014:i:c:p:76-85
    DOI: 10.1016/j.spl.2014.01.003
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    References listed on IDEAS

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    1. Christopher Withers & Saralees Nadarajah, 2011. "The distribution of the maximum of a first order autoregressive process: the continuous case," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 247-266, September.
    2. Esther B. Del Brio & Trino-Manuel Niguez & Javier Perote, 2009. "Gram-Charlier densities: a multivariate approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 855-868.
    3. Javier Perote, 2004. "The multivariate Edgeworth-Sargan density," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(1), pages 77-96, April.
    4. Withers, C. S., 2000. "A simple expression for the multivariate Hermite polynomials," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 165-169, April.
    5. Tõnu Kollo & Dietrich Von Rosen, 1998. "A Unified Approach to the Approximation of Multivariate Densities," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 93-109, March.
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    Cited by:

    1. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
    2. Christopher S. Withers & Saralees Nadarajah, 2016. "Expansions for Log Densities of Multivariate Estimates," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 911-920, September.

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