Higher-order comparisons of asymptotic confidence intervals

Yoshihiko Maesono

doi:10.1016/j.jspi.2004.02.009

Higher-order comparisons of asymptotic confidence intervals

Yoshihiko Maesono^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

This paper presents discussion of properties of asymptotic confidence intervals based on a normalizing transformation and a Cornish-Fisher inversion of a studentized statistic. The normalizing transformation discussed herein removes bias, skewness and kurtosis. The Cornish-Fisher inversion is obtained from the Edgeworth expansion of the studentized statistic with residual term o(n^-1). Asymptotic mean-squared errors and simulation results are also discussed.

Original language	English
Pages (from-to)	359-379
Number of pages	21
Journal	Journal of Statistical Planning and Inference
Volume	133
Issue number	2
DOIs	https://doi.org/10.1016/j.jspi.2004.02.009
Publication status	Published - 1 Aug 2005
Externally published	Yes

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10.1016/j.jspi.2004.02.009

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title = "Higher-order comparisons of asymptotic confidence intervals",

abstract = "This paper presents discussion of properties of asymptotic confidence intervals based on a normalizing transformation and a Cornish-Fisher inversion of a studentized statistic. The normalizing transformation discussed herein removes bias, skewness and kurtosis. The Cornish-Fisher inversion is obtained from the Edgeworth expansion of the studentized statistic with residual term o(n-1). Asymptotic mean-squared errors and simulation results are also discussed.",

keywords = "Asymptotic U-statistics, Confidence interval, Cornish-Fisher inversion, Mean-squared error, Normalizing transformation",

author = "Yoshihiko Maesono",

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doi = "10.1016/j.jspi.2004.02.009",

language = "English",

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N2 - This paper presents discussion of properties of asymptotic confidence intervals based on a normalizing transformation and a Cornish-Fisher inversion of a studentized statistic. The normalizing transformation discussed herein removes bias, skewness and kurtosis. The Cornish-Fisher inversion is obtained from the Edgeworth expansion of the studentized statistic with residual term o(n-1). Asymptotic mean-squared errors and simulation results are also discussed.

AB - This paper presents discussion of properties of asymptotic confidence intervals based on a normalizing transformation and a Cornish-Fisher inversion of a studentized statistic. The normalizing transformation discussed herein removes bias, skewness and kurtosis. The Cornish-Fisher inversion is obtained from the Edgeworth expansion of the studentized statistic with residual term o(n-1). Asymptotic mean-squared errors and simulation results are also discussed.

KW - Asymptotic U-statistics

KW - Confidence interval

KW - Cornish-Fisher inversion

KW - Mean-squared error

KW - Normalizing transformation

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U2 - 10.1016/j.jspi.2004.02.009

DO - 10.1016/j.jspi.2004.02.009

M3 - Article

SN - 0378-3758

VL - 133

SP - 359

EP - 379

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 2

ER -

Higher-order comparisons of asymptotic confidence intervals

Abstract

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