非线性估计量的埃奇沃思与鞍点展开

EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

Econometric Theory · 2013
被引 14
人大 A-ABS 4

中文导读

为多元和非线性模型的估计量开发了简单的埃奇沃思、鞍点等展开方法,并通过模拟表明这些方法优于标准渐近和自助法。

Abstract

Simple methods are developed for deriving Edgeworth, saddlepoint, and related expansions for the estimators of multivariate and nonlinear models. Illustrations are provided. Simulations are reported indicating the methods work well compared to standard asymptotic and bootstrapped approaches.

Edgeworth展开鞍点展开非线性估计渐近近似