Higher-order comparisons of asymptotic confidence intervals

Yoshihiko Maesono

doi:10.1016/j.jspi.2004.02.009

Higher-order comparisons of asymptotic confidence intervals

Yoshihiko Maesono

Research output: Contribution to journal › Article › peer-review

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Abstract

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.

Original language	English
Pages (from-to)	359-379
Number of pages	21
Journal	Journal of Statistical Planning and Inference
Volume	133
Issue number	2
DOIs	https://doi.org/10.1016/j.jspi.2004.02.009
Publication status	Published - Aug 1 2005

All Science Journal Classification (ASJC) codes

Applied Mathematics
Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.jspi.2004.02.009

Cite this

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abstract = "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.",

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AB - 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.

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JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

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ER -

Higher-order comparisons of asymptotic confidence intervals

Abstract

All Science Journal Classification (ASJC) codes

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