Multivariate edgeworth expansions
Abstract
Consider the Edgeworth expansion in powers of n − 1 2 for P ( Y n < x ) about Φ V ( x ), the multivariate normal distribution, where Y n ∈ R q is a standard estimate with asymptotic covariance V . Here, n typically denotes the sample size. For p ≤ q , one can often choose y ∈ R q such that P ( Y n < x + n − 1 2 y ) = Φ V ( x ) + O ( n − p + 1 2 ) .
Fields of Study & Subjects
Probability and Statistical Research
Statistical Distribution Estimation and Applications
Statistical Methods and Applications
Publication details
- Journal / source
- Journal of Computational and Applied Mathematics
- Volume
- 483
- Pages
- 117399–117399
- Publication date
- 7 February 2026
- Language
- EN