Edgeworth Expansions for Integrals of Smooth Functions
Hipp, C.
Ann. Probab., Tome 5 (1977) no. 6, p. 1004-1011 / Harvested from Project Euclid
Let $X_1, X_2,\cdots$ be a sequence of independent, identically distributed random variables with $E(X_1) = 0, E(X_1^2) = 1$, and $E(X_1^4) < \infty$, and for $n = 1,2,\cdots$ let $P_n$ be the distribution of $n^-\frac{1}{2} \sum^n_{i=1} X_i$. If $f$ is a function with bounded uniformly continuous derivative of order 4, then $\int f dP_n$ has an asymptotic expansion in terms of $n^{-\frac{1}{2}}$ with a remainder term of $o(n^{-1})$. This remains true even if $P_1$ is purely discrete and nonlattice.
Publié le : 1977-12-14
Classification:  Edgeworth expansions,  sums of independent random variables,  60F05,  60G50
@article{1176995667,
     author = {Hipp, C.},
     title = {Edgeworth Expansions for Integrals of Smooth Functions},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 1004-1011},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995667}
}
Hipp, C. Edgeworth Expansions for Integrals of Smooth Functions. Ann. Probab., Tome 5 (1977) no. 6, pp.  1004-1011. http://gdmltest.u-ga.fr/item/1176995667/