ISSN:
1572-9052
Keywords:
Cornish-Fisher inverse expansion
;
distribution of quadratic forms
;
Edgeworth expansion
;
normalizing transformation
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract Higher order asymptotic expansions for the distribution of quadratic forms in normal variables are obtained. The Cornish-Fisher inverse expansions for the percentiles of the distribution are also given. The resulting formula for a definite quadratic form guarantees accuracy almost up to fourth decimal place if the distribution is not very skew. The normalizing transformation investigated by Jensen and Solomon (1972, J. Amer. Statist. Assoc., 67, 898–902) is reconsidered based on the rate of convergence to the normal distribution.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00052345
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