Timeline for Can I use the delta method with a function that depends on n to approximate the distribution of a function of the sum of iid random variables?
Current License: CC BY-SA 4.0
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| when toggle format | what | by | license | comment | |
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| Aug 18, 2021 at 11:32 | vote | accept | DM-97 | ||
| Aug 18, 2021 at 11:32 | comment | added | DM-97 | Thanks. I ran some more simulations to test a few different distributions for $X_i$ and functions $f$, and found approximately the right mean, variance, skew (0) and kurtosis (3) most of the time. The approximation is poor for lognormal $X_i$ unless (presumably) $n$ is larger than I'm patient enough to simulate. But that's not too surprising as it's heavy-tailed. | |
| Aug 16, 2021 at 23:48 | history | answered | Geoffrey Johnson | CC BY-SA 4.0 |