This analysis provides formulas for edgeworth coefficients in multivariate estimates, suggesting various applications to analytical sets.
I give for the first time explicit formulas for the coefficients needed for the fourth-order Edgeworth expansions of a multivariate standard estimate. I call these the Edgeworth coefficients. They are Bell polynomials in the cumulant coefficients. Standard estimates include most estimates of interest, including smooth functions of sample means and other empirical estimates. I also give applications to ellipsoidal and hyperrectangular sets.
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Christopher S. Withers (2025) studied this question.
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