Improved confidence regions based on Edgeworth expansions

DOI10.1016/j.csda.2012.03.019zbMath1255.62078OpenAlexW2027400950MaRDI QIDQ1927223

Christopher S. Withers, Saralees Nadarajah

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.03.019

zbMATH Keywords

cumulantsellipsoidal confidence regions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items

Some integrals involving multivariate Hermite polynomials: application to evaluating higher-order local powers ⋮ Bias reduction for standard and extreme estimates ⋮ Comparison among simultaneous confidence regions for nonlinear diffusion models

Uses Software

• SIP

Cites Work

• Expansions for the distribution and quantiles of a regular functional of the empirical distribution with applications to nonparametric confidence intervals
• Improved confidence regions for a mean vector under general conditions
• Nonparametric confidence intervals for functions of several distributions
• The distribution and quantiles of a function of parameter estimates
• Probability matching priors: Higher order asymptotics
• Confidence bands in generalized linear models.
• Confidence Intervals for Linear Combinations of Poisson Means
• Confidence Regions Based on Edgeworth Expansion
• Statistical Applications of the Multivariate Skew Normal Distribution
• The multivariate skew-normal distribution
• Multivariate T-Distributions and Their Applications
• The bootstrap and Edgeworth expansion
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