A Saddle Point Approximation for Certain Multivariate Tail Probabilities

DOI10.1137/S1064827594277338MaRDI QIDQ4389292zbMATH OpenFDO

Authors Satish Iyengar, Mainak Mazumdar

Publication date 12 May 1998

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S1064827594277338

zbMATH Keywords

control variateEdgeworth expansionHunter's inequalityMonte Carlopower systemsreliability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Reliability and life testing (62N05)

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Cited in

(14)

• Saddlepoint approximations for the doubly noncentral t distribution
• Tail uncertainty analysis in complex systems
• A note on the tail accuracy of the univariate saddlepoint approximation
• On multidimensional expansions of distributions of sums by the saddle point method
• Reliabilities for feedback systems and their saddlepoint approximation.
• Portfolio value at risk based on independent component analysis
• Saddlepoint Approximations for a Product and Its Application
• Saddlepoint approximations for multinomial distributions,with applications to the joint
• Statistical modelling and saddle-point approximation of tail probabilities for accumulated splice loss in fibre-optic networks
• Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
• Applying the saddlepoint approximation to bivariate stochastic processes
• A saddlepoint approximation to the distribution of the sum of independent non‐identically beta random variables
• Multivariate saddlepoint approximations in tail probability and conditional inference
• A reversion of the Chernoff bound

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