High-dimensional Edgeworth expansion of a test statistic on independence and its error bound

In this paper, we calculate Edgeworth expansion of a test statistic on independence when some of the parameters are large, and simulate the goodness of fit of its approximation. We also calculate an error bound for Edgeworth expansion. Some tables of the error bound are given, which show that the derived bound is sufficiently small for practical use.

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Year of publication:	2010
Authors:	Akita, Tomoyuki ; Jin, Jinghua ; Wakaki, Hirofumi
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 8, p. 1806-1813
Publisher:	Elsevier
Keywords:	Edgeworth expansion Error bound High dimension Likelihood ratio

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488089