Open Access
June, 1990 Edgeworth Series for Lattice Distributions
John E. Kolassa, Peter McCullagh
Ann. Statist. 18(2): 981-985 (June, 1990). DOI: 10.1214/aos/1176347637
Abstract

This paper investigates the use of Edgeworth expansions for approximating the distribution function of the normalized sum of $n$ independent and identically distributed lattice-valued random variables. We prove that the continuity-corrected Edgeworth series, using Sheppard-adjusted cumulants, is accurate to the same order in $n$ as the usual Edgeworth approximation for continuous random variables. Finally, as a partial justification of the Sheppard adjustments, it is shown that if a continuous random variable $Y$ is rounded into a discrete part $D$ and a truncation error $U$, such that $Y = D + U$, then under suitable limiting conditions the truncation error is approximately uniformly distributed and independent of $Y$, but not independent of $D$.

Kolassa and McCullagh: Edgeworth Series for Lattice Distributions
Copyright © 1990 Institute of Mathematical Statistics
John E. Kolassa and Peter McCullagh "Edgeworth Series for Lattice Distributions," The Annals of Statistics 18(2), 981-985, (June, 1990). https://doi.org/10.1214/aos/1176347637
Published: June, 1990
Vol.18 • No. 2 • June, 1990
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