Edgeworth expansion

E174595

Edgeworth expansion is an asymptotic series that refines the central limit theorem by providing higher-order approximations to the distribution of normalized sums of random variables.

All labels observed (2)

Label Occurrences
Edgeworth expansion canonical 1
Gram–Charlier series 1

How this entity was disambiguated

Statements (45)

Predicate Object
instanceOf asymptotic expansion ⓘ
probability theory concept ⓘ
statistical approximation method ⓘ
aimsTo approximate tail probabilities more accurately than the normal approximation ⓘ
appliesTo normalized sums of random variables ⓘ
approximates distribution function of standardized sums ⓘ
probability density function of standardized sums ⓘ
assumes independent and identically distributed summands in its classical form ⓘ
canBeExtendedTo certain dependent data settings ⓘ
canBeWrittenAs series involving standardized cumulants ⓘ
converges asymptotically rather than absolutely in general ⓘ
field mathematical statistics ⓘ
probability theory ⓘ
generalizes normal approximation in the central limit theorem ⓘ
hasOrder first-order correction beyond the central limit theorem ⓘ
second-order correction beyond the central limit theorem ⓘ
historicalDevelopment originated in early 20th century work of Edgeworth and others ⓘ
improves accuracy of normal approximation for finite samples ⓘ
includes kurtosis corrections ⓘ
skewness corrections ⓘ
is an asymptotic series in powers of n^{-1/2} ⓘ
typically truncated after a finite number of terms in applications ⓘ
isDiscussedIn advanced textbooks on asymptotic statistics ⓘ
isOftenDerivedUsing characteristic functions ⓘ
cumulant generating functions ⓘ
isRelatedTo Berry–Esseen theorem ⓘ
Gram–Charlier series ⓘ
linked to: Edgeworth expansion

saddlepoint approximation ⓘ
isUsedFor refined approximations to confidence interval coverage ⓘ
refined approximations to distribution quantiles ⓘ
refined approximations to p-values ⓘ
isUsedIn approximating sampling distributions ⓘ
asymptotic statistics ⓘ
higher-order asymptotics ⓘ
statistical inference ⓘ
isValidAs asymptotic approximation as sample size tends to infinity ⓘ
may produce negative probabilities when truncated ⓘ
namedAfter Francis Ysidro Edgeworth ⓘ
provides higher-order approximations to probability distributions ⓘ
refines central limit theorem ⓘ
requires existence of sufficiently high-order moments ⓘ
regularity conditions on the underlying distribution ⓘ
uses Hermite polynomials ⓘ
linked to: Hermite functions

cumulants of random variables ⓘ
moments of random variables ⓘ

How these facts were elicited

Referenced by (2)

Full triples — surface form annotated when it differs from this entity's canonical label.

Berry–Esseen theorem → relatedTo → Edgeworth expansion ⓘ
Edgeworth expansion → isRelatedTo → Gram–Charlier series ⓘ
linked to: Edgeworth expansion