High-dimensional Edgeworth expansion of a test statistic on independence and its error bound

Authors:
Tomoyuki Akita;Jinghua Jin;Hirofumi Wakaki
Affiliations:
Department of Mathematics, Hiroshima University, Japan;Daiichi Giken Co. Ltd., Japan;Department of Mathematics, Hiroshima University, Japan
Venue:
Journal of Multivariate Analysis
Year:
2010

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Abstract

In this paper, we calculate Edgeworth expansion of a test statistic on independence when some of the parameters are large, and simulate the goodness of fit of its approximation. We also calculate an error bound for Edgeworth expansion. Some tables of the error bound are given, which show that the derived bound is sufficiently small for practical use.