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 <Superscript>−3/2</Superscript>) 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, <CitationRef CitationID="CR16">1978</CitationRef>). 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