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MathGroup Archive 2004

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Re: Whats the Edgeworth expansion of a random vector?

  • To: mathgroup at smc.vnet.net
  • Subject: [mg48558] Re: [mg48526] Whats the Edgeworth expansion of a random vector?
  • From: Oleksandr Pavlyk <pavlyk at phys.psu.edu>
  • Date: Sat, 5 Jun 2004 07:18:58 -0400 (EDT)
  • Organization: Penn State University; Department of Physics
  • References: <200406040849.EAA23697@smc.vnet.net>
  • Reply-to: pavlyk at phys.psu.edu
  • Sender: owner-wri-mathgroup at wolfram.com

Fred,

My understanding is that Edgeworth expansion is the expansion
of the distribution not of a vector.

It is not clear to me how your question pertains to
Mathematica. Please refine your question.

You might wanna look at one of these books in the library

N. Johnson, S. Kotz and A. Kemp,
    "Continuous Univariate Distributions",
     2nd edition, Wiley & Sons (1994);

P. Hall, "The Bootstrap and the Edgeworth Expansion",
     Springer-Verlag (1992).

Regards,
Sasha


Fred wrote:

> 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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