This paper presents discussion of properties of asymptotic confidence intervals based on a normalizing transformation and a Cornish-Fisher inversion of a studentized statistic. The normalizing transformation discussed herein removes bias, skewness and kurtosis. The Cornish-Fisher inversion is obtained from the Edgeworth expansion of the studentized statistic with residual term o(n-1). Asymptotic mean-squared errors and simulation results are also discussed.
All Science Journal Classification (ASJC) codes
- Applied Mathematics
- Statistics and Probability
- Statistics, Probability and Uncertainty