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Higher-order comparisons of asymptotic confidence intervals

Maesono, Yoshihiko

Description

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.

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/85246
Source: Journal of Statistical Planning and Inference
DOI: 10.1016/j.jspi.2004.02.009

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