A Sheet of Maple to Compute Second-Order Edgeworth Expansions and Related Quantities of any Function of the Mean of an iid Sample of an Absolutely Continuous Distribution

F. Bertrand; M. Maumy-Bertrand

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arXiv · 1810.00289

A Sheet of Maple to Compute Second-Order Edgeworth Expansions and Related Quantities of any Function of the Mean of an iid Sample of an Absolutely Continuous Distribution

F. Bertrand·M. Maumy-Bertrand

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Abstract

We designed a completely automated Maple ($\geqslant 15$) worksheet for deriving Edgeworth and Cornish-Fisher expansions as well as the acceleration constant of the bootstrap bias-corrected and accelerated technique. It is valid for non-parametric or parametric bootstrap, of any (studentized) statistics that is -a regular enough- function of the mean of an iid sample of an absolutely continuous distribution. This worksheet allowed us to point out one error in the second-order Cornish-Fisher expansion of the studentized mean stated in Theorem 13.5 by Das Gupta in [8, p. 194] as well as lay the stress on the influence of the slight change of the normalizing constant when computing the second-order Edgeworth and Cornish-Fisher expansions of the t-distribution as stated in Theorem 11.4.2 by Lehman and Romano in [14, p. 460]. In addition, we successfully applied the worksheet to a complex maximum likelihood estimator as a first step to derive more accurate confidence intervals in order to enhance quality controls. The worksheet also features export of Maple results into R code. In addition, we provide R code to plot these expansions as well as their increasing rearrangements. All these supplemental materials are available upon request.

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F. Bertrand, M. Maumy-Bertrand. 2018-09-30. A Sheet of Maple to Compute Second-Order Edgeworth Expansions and Related Quantities of any Function of the Mean of an iid Sample of an Absolutely Continuous Distribution. https://arxiv.org/abs/1810.00289

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