General order adjusted Edgeworth expansions for generalized $t$-tests
Abstract
We develop generalized approach to obtaining Edgeworth expansions for -statistics of an arbitrary order using computer algebra and combinatorial algorithms. To incorporate various versions of mean-based statistics, we introduce Adjusted Edgeworth expansions that allow polynomials in the terms to depend on a sample size in a specific way and prove their validity. Provided results up to 5th order include one and two-sample ordinary -statistics with biased and unbiased variance estimators, Welch -test, and moderated -statistics based on empirical Bayes method, as well as general results for any statistic with available moments of the sampling distribution. These results are included in a software package that aims to reach a broad community of researchers and serve to improve inference in a wide variety of analytical procedures; practical considerations of using such expansions are discussed.
Cite
@article{arxiv.2105.07406,
title = {General order adjusted Edgeworth expansions for generalized $t$-tests},
author = {Inna Gerlovina and Alan E. Hubbard},
journal= {arXiv preprint arXiv:2105.07406},
year = {2021}
}
Comments
22 pages, 3 figures, 2 tables