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MathGroup Archive 2004

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Whats the Edgeworth expansion of a random vector?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg48526] Whats the Edgeworth expansion of a random vector?
  • From: "Fred" <fzh113 at hecky.it.northwestern.edu>
  • Date: Fri, 4 Jun 2004 04:49:50 -0400 (EDT)
  • Sender: owner-wri-mathgroup at wolfram.com

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



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