Arevalillo, Jorge - In: Metrika 75 (2012) 8, pp. 1009-1024
In this paper we study the relation between the r* saddlepoint approximation and the Edgeworth expansion when quite general assumptions for the statistic under consideration are fulfilled. We will show that the two term Edgeworth expansion approximates the r* formula up to an O(n <Superscript>−3/2</Superscript>)...</superscript>