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Interpretation and manipulation of Edgeworth expansions
Authors:W C M Kallenberg
Institution:(1) Department of Applied Mathematics, University of Twente, P.O. Box 217, 7500 AE Enschede, The Netherlands
Abstract:With a given Edgeworth expansion sequences of i.i.d. r.v.'s are associated such that the Edgeworth expansion for the standardized sum of these r.v.'s agrees with the given Edgeworth expansion. This facilitates interpretation and manipulation of Edgeworth expansions. The theory is applied to the power of linear rank statistics and to the combination of such statistics based on subsamples. Complicated expressions for the power become more transparent. As a consequence of the sum-structure it is seen why splitting the sample causes no loss of first order efficiency and only a small loss of second order efficiency.
Keywords:Asymptotic expansions  combination of test statistics  one-sample problem  two-sample problem  power  contiguous alternatives  second order efficiency  second order standardization
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