The distribution and quantiles of functionals of weighted empirical distributions when observations have different distributions

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This paper extends Edgeworth-Cornish-Fisher expansions for the distribution and quantiles of nonparametric estimates in two ways. Firstly it allows observations to have different distributions. Secondly it allows the observations to be weighted in a predetermined way. The use of weighted estimates has a long history including applications to regression, rank statistics and Bayes theory. However, asymptotic results have generally been only first order (the CLT and weak convergence). We give third order asymptotics for the distribution and percentiles of any smooth functional of a weighted empirical distribution, thus allowing a considerable increase in accuracy over earlier CLT results. Consider independent non-identically distributed (non-iid) observations X₁ₙ,..., Xnn in Rˢ. Let F(x) be their weighted empirical distribution with weights w₁ₙ,..., wnn. We obtain cumulant expansions and hence Edgeworth-Cornish-Fisher expansions for T(F) for any smooth functional T(·) by extending the concepts of von Mises derivatives to signed measures of total measure 1. As an example we give the cumulant coefficients needed for Edgeworth-Cornish-Fisher expansions to O(n⁻³/²) for the sample variance when observations are non-iid.