An example in which the Lugannani - Rice saddlepoint formula fails

DOI10.1016/0167-7152(94)00094-OzbMath0820.62018OpenAlexW2008981517MaRDI QIDQ1892114

Andrew T. A. Wood, James G. Booth

Publication date: 6 July 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(94)00094-o

zbMATH Keywords

convergence ratesfirst passage timerelative errorLugannani-Rice formularandom walk with driftapproximation to tail probabilitiesinverse Gaussian basenonnormal base distributionsample space asymptotics

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (5)

Reliabilities for feedback systems and their saddlepoint approximation. ⋮ Likelihood and higher‐order approximations to tail areas: A review and annotated bibliography ⋮ Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications ⋮ The higher order large-deviation approximation for the distribution of the sum of independent discreterandom variables ⋮ The higher order large-deviation approximation for the distribution of the sum of independent discreterandom variables

Cites Work

• Sequential analysis. Tests and confidence intervals
• Modified signed log likelihood ratio
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
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