Approximate distribution involving a log. Still an easy CLT application?

Fix . Suppose has distribution . Set . What is an asymptotic distribution for...

...?

November 19th 2011, 10:45 PM

CaptainBlack

Re: Approximate distribution involving a log. Still an easy CLT application?

Quote:

Originally Posted by subfallen

Fix . Suppose has distribution . Set . What is an asymptotic distribution for...

...?

I would put: , where

Then expand the as a power series in and proceed from there (you will end up ignoring all but the first term in , or all but the first two terms if you want to estimate the bias correction).

Spoiler:

I include this as I will eventually lose my notes: