Exploring the relation between the r* approximation and the Edgeworth expansion
In this paper we study the relation between the r* saddlepoint approximation and the Edgeworth expansion when quite general assumptions for the statistic under consideration are fulfilled. We will show that the two term Edgeworth expansion approximates the r* formula up to an O(n −3/2 ) remainder; this provides a new way of looking at the order of the error of the r* approximation. This finding will be used to inspect the close connection between the r* formula and the Edgeworth B adjustment introduced in Phillips (Biometrika 65:91–98, 1978 ). We will show that, whenever an Edgeworth expansion exists, this adjustment approximates both the distribution function of the statistic and the r* formula to the same order degree as the Edgeworth expansion. Some numerical examples for the sample mean and U-statistics are given in order to shed light on the theoretical discussion. Copyright Springer-Verlag 2012
Volume (Year): 75 (2012)
Issue (Month): 8 (November)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/statistics/journal/184/PS2|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Killmann Frank & von Collani Elart, 2001. "A Note on the Convolution of the Uniform and Related Distributions and Their Use in Quality Control," Economic Quality Control, De Gruyter, vol. 16(1), pages 17-41, January.
- Monti, Anna Clara, 1993. "A new look at the relationship between Edgeworth expansion and saddlepoint approximation," Statistics & Probability Letters, Elsevier, vol. 17(1), pages 49-52, May.
When requesting a correction, please mention this item's handle: RePEc:spr:metrik:v:75:y:2012:i:8:p:1009-1024. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.