Related papers: The asymptotic expansion of the regular discretiza…
Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given…
We consider sums of independent identically distributed random variables whose distributions have $d+1$ atoms. Such distributions never admit an Edgeworth expansion of order $d$ but we show that for almost all parameters the Edgeworth…
An Edgeworth-type expansion is established for the entropy distance to the class of normal distributions of sums of i.i.d. random variables or vectors, satisfying minimal moment conditions.
In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint…
Motivated, roughly, by comparing the mean and median of an IID sum of bounded lattice random variables, we develop explicit and effective bounds on the errors involved in the one-term Edgeworth expansion for such sums.
We study Edgeworth expansions in limit theorems for self-normalized sums. Non-uniform bounds for expansions in the central limit theorem are established while only imposing minimal moment conditions. Within this result, we address the case…
In this paper we present the Edgeworth expansion for the Euler approximation scheme of a continuous diffusion process driven by a Brownian motion. Our methodology is based upon a recent work \cite{Yoshida2013}, which establishes Edgeworth…
We derive asymptotic formulas for central extended binomial coefficients, which are generalizations of binomial coefficients. To do so, we relate the exact distribution of the sum of independent discrete uniform random variables to the…
We study the distribution of a general class of asymptoticallylinear statistics which are symmetric functions of $N$ independent observations. The distribution functions of these statistics are approximated by an Edgeworth expansion with a…
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional…
We derive Edgeworth expansions that describe corrections to the Gaussian limiting behaviour of slow-fast systems. The Edgeworth expansion is achieved using a semi-group formalism for the transfer operator, where a Duhamel-Dyson series is…
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes…
We develop a higher-order asymptotic analysis for the semi-hard triplet loss using the Edgeworth expansion. It is known that this loss function enforces that embeddings of similar samples are close while those of dissimilar samples are…
Edgeworth expansion provides higher-order corrections to the normal approximation for a probability distribution. The classical proof of Edgeworth expansion is via characteristic functions. As a powerful method for distributional…
We obtain asymptotic expansions for local probabilities of partial sums for uniformly bounded independent but not necessarily identically distributed integer-valued random variables. The expansions involve products of polynomials and…
We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when…
This is a survey note of the author's observations on the discrete-time analogues of It\^o formulas.
In this paper, we will present advanced discretization methods for solving retarded potential integral equations. We employ a $C^{\infty}$-partition of unity method in time and a conventional boundary element method for the spatial…
The paper considers an Euler discretization based numerical scheme for approximating functionals of invariant distribution of an ergodic diffusion. Convergence of the numerical scheme is shown for suitably chosen discretization step, and a…
The "typical" asymptotic behavior of the weighted sums of independent, identically distibuted random vectors in k-dimensional space is considered. It is shown that under finitnes of fifth absolute moment of an individual term the rate of…