Higher-order comparisons of asymptotic confidence intervals

Yoshihiko Maesono

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)359-379
Number of pages21
JournalJournal of Statistical Planning and Inference
Volume133
Issue number2
DOIs
Publication statusPublished - Aug 1 2005

All Science Journal Classification (ASJC) codes

  • Statistics, Probability and Uncertainty
  • Applied Mathematics
  • Statistics and Probability

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