Edgeworth Series for Lattice Distributions
Kolassa, John E. ; McCullagh, Peter
Ann. Statist., Tome 18 (1990) no. 1, p. 981-985 / Harvested from Project Euclid
This paper investigates the use of Edgeworth expansions for approximating the distribution function of the normalized sum of $n$ independent and identically distributed lattice-valued random variables. We prove that the continuity-corrected Edgeworth series, using Sheppard-adjusted cumulants, is accurate to the same order in $n$ as the usual Edgeworth approximation for continuous random variables. Finally, as a partial justification of the Sheppard adjustments, it is shown that if a continuous random variable $Y$ is rounded into a discrete part $D$ and a truncation error $U$, such that $Y = D + U$, then under suitable limiting conditions the truncation error is approximately uniformly distributed and independent of $Y$, but not independent of $D$.
Publié le : 1990-06-14
Classification:  Cumulant,  Edgeworth series,  lattice distribution,  rounding error,  Sheppard correction,  62E20,  60F05
@article{1176347637,
     author = {Kolassa, John E. and McCullagh, Peter},
     title = {Edgeworth Series for Lattice Distributions},
     journal = {Ann. Statist.},
     volume = {18},
     number = {1},
     year = {1990},
     pages = { 981-985},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347637}
}
Kolassa, John E.; McCullagh, Peter. Edgeworth Series for Lattice Distributions. Ann. Statist., Tome 18 (1990) no. 1, pp.  981-985. http://gdmltest.u-ga.fr/item/1176347637/