A Bayesian Edgeworth expansion by Stein's identity

[摘要] The Edgeworth expansion is a series that approximates a probability distribution in terms of its cumulants. One can derive it by first expanding the probability distribution in Hermite orthogonal functions and then collecting terms in powers of the sample

[学科分类] 统计和概率

[关键词] Edgeworth expansion;Hermite polynomials;Laplace method;marginal posterior distribution;Stein’s identity