کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146276 957502 2012 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cornish–Fisher expansions using sample cumulants and monotonic transformations
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Cornish–Fisher expansions using sample cumulants and monotonic transformations
چکیده انگلیسی

General formulas of the asymptotic cumulants of a studentized parameter estimator are given up to the fourth order with the added higher-order asymptotic variance. Using the sample counterparts of the asymptotic cumulants, formulas for the Cornish–Fisher expansions with third-order accuracy are obtained. Some new methods of monotonic transformations of the studentized estimator are presented. In addition, similar transformations of a fixed normal deviate are proposed up to the same order with some asymptotic comparisons to the transformations of the studentized estimator. Applications to a mean and a binomial proportion are shown with simulations for estimation of the proportion.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 103, Issue 1, January 2012, Pages 1–18
نویسندگان
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