Edgeworth expansions in state perturbation estimation

Edgeworth expansions for semiparametric Whittle estimation of long memory

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a re ned, Edgeworth, approximation, for both a tapered estimate, and the ori...

Rearranging Edgeworth- Cornish-Fisher Expansions

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the dist...

Edgeworth Expansions for Errors-in-Variables Models

Edgeworth expansions for sums of independent but not identically distributed multivariate random vectors are established. The results are applied to get valid Edgeworth expansions for estimates of regression parameters in linear errors-invariable models. The expansions for studentized versions are also developed. Further, Edgeworth expansions for the corresponding bootstrapped statistics are ob...

Interpretation and Manipulation of Edgeworth Expansions

Approximating random inequalities with Edgeworth expansions

Random inequalities of the form