Higher Order Asymptotic Cumulants of Studentized Estimators in Covariance Structures

Abstract

In covariance structure analysis, the Studentized pivotal statistic of a parameter estimator is often used since the statistic is asymptotically normally distributed with mean zero and unit variance. For more accurate asymptotic distribution, the first and third asymptotic cumulants can be used to have the single-term Edgeworth, Cornish-Fisher, and Hall type asymptotic expansions. In this paper, the higher order asymptotic variance and the fourth asymptotic cumulant of the statistic are obtained under nonnormality when the partial derivatives of a parameter estimator with respect to sample variances and covariances up to the third order and the moments of the associated observed variables up to the eighth order are available. The result can be used to have the two-term Edgeworth expansion. Simulations are performed to see the accuracy of the asymptotic results in finite samples.