Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146276 | Journal of Multivariate Analysis | 2012 | 18 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Haruhiko Ogasawara,