Higher-order comparisons of asymptotic confidence intervals
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.
|Collections||ANU Research Publications|
|Source:||Journal of Statistical Planning and Inference|
|01_Maesono_Higher-order_comparisons_of_2005.pdf||262.34 kB||Adobe PDF||Request a copy|
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