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Whats the Edgeworth expansion of a random vector?
Dear All, I have a statistical question regarding on the Edgeworth expansion of a random vector. Assume x is a d-dimensional random vector, and whats the expression of its Edgeworth expansion up to order 4 about its best Gaussian approximation? I only get the formulation for a scalar random variable. So anyone can help me out on this problem? Thanks for your comments or advice. Fred