Abstract
The approximation of discrete distributions by Edgeworth expansion series for continuity points of a discrete distribution F n implies that if t is a support point of F n, then the expansion should be performed at a continuity point \(t + \theta {\text{,}}\theta \in \left( {0,1} \right)\). When a value \(\theta\) is selected to improve the approximation of \(P\left( {S_n \leqslant t} \right)\), and especially when a single term of the expansion is used, the selected \(\theta ^*\) is defined to be a continuity correction. This paper investigates the properties of the approximations based on several terms of the expansion, when \(\theta ^*\) is the value at which the infimum of a residual term is attained. Methods of selecting the estimation and the residual terms are investigated and the results are compared empirically for several discrete distributions. The results are also compared with the commonly used approximation based on the normal distribution with \(\theta \equiv 0.5\). Some numerical comparisons show that the developed procedure gives better approximations than those obtained under the standard continuity correction technique, whenever \(P\left( {S_n \leqslant t} \right)\) is close to 0 and 1. Thus, it is especially useful for p-value computations and for the evaluation of probabilities of rare events.
Similar content being viewed by others
References
Ch. A. Charalambidès, “Gould series distributions,” J. Statist. Plann. Inference vol. 4 pp. 15-28, 1986.
D. Collet, Modelling Binary Data, Chapman &; Hall: London, UK, 1991.
P. C. Consul and G. C. Jain, “A generalization of the Poisson distribution,” Technometrics vol. 15 pp. 791-799, 1973.
P. C. Consul and L. R. Shenton, “Use of Lagrange expansion for generating discrete generalized probability distributions,” SIAM J. App. Math. vol. 23 pp. 239-248, 1972.
N. R. Draper and D. E. Tierney, “Exact formulas for additional terms in some important expansions,” Comm. Statist. The. Meth. vol. 1 pp. 495-524, 1973.
W. Feller, An Introduction to Probability Theory and its Applications vol. II, 2nd Edition, J. Wiley: New York, 1971.
N. L. Johnson and S. Kotz, Encyclopedia of Statistical Sciences vol. 2, Wiley: New York, 1982.
W. H. Kruskal and W. A. Wallis, “Use of ranks in one-criterion variance analysis,” J. Amer. Statist. Assoc. vol. 47 pp. 587-612, 1952.
E. L. Lehmann, Nonparametric Statistical Methods Based on Ranks, Holden-Day Inc.: New York, 1975.
G. Letac and M. Mora, “Natural real exponential families with cubic variance functions,” Ann. Statist. vol. 18 pp. 1-37, 1990.
N. Mantel and S. W. Greenhouse, “What is the continuity correction?” Amer. Statist. vol. 22 pp. 27-30, 1968.
C. N. Morris, “Natural exponential families with quadratic variance functions,” Ann. Statist. vol. 10 pp. 65-80, 1982.
V. V. Petrov, Limit Theorems of Probability Theory, Clarendon Press, Oxford, 1995.
Takács, “A generalization of the ballot problem and its applications in the theory of queues,” J. Amer. Statist. Assoc. vol. 57 pp. 327-337, 1962.
S. S. Wilks, Mathematical Statistics, J. Wiley: New York, 1963.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Bar-Lev, S.K., Fuchs, C. Continuity Corrections for Discrete Distributions Under the Edgeworth Expansion. Methodology and Computing in Applied Probability 3, 347–364 (2001). https://doi.org/10.1023/A:1015408218938
Issue Date:
DOI: https://doi.org/10.1023/A:1015408218938